r/letfs
用大白话解释 HAA-RSST：一只基金，每月勾选一次
简化 HAA-RSST 策略：持有一只结合标普500和管理期货的 ETF（RSST），每月根据宏观信号调整。
- 将复杂的策略简化为持有一只ETF（RSST）并每月检查一次宏观信号。
- 结合标普500敞口与管理期货，实现趋势跟踪和下行保护。
- 宏观信号能有效应对通胀和利率趋势，在2022年表现良好。
- 该策略并非无风险，且部分依赖于重构的回测数据。
- 宏观信号对某些市场崩盘的反应可能较慢，如2008年的情况。
有几位朋友说我的 HAA-RSST 帖子读起来像术语大杂烩。确实如此。下面我用大白话把整个策略讲清楚：一个基金，每月一次的勾选操作。
和上次一样，我要声明一下，我开发了 BestFolio，所以难免有偏见。
上周我发了一个策略，里面塞满了金融圈里所有吓人的词：HAA、金丝雀、袖珍仓位、收益叠加、凯勒、管理型期货。有人直接说：‘我觉得自己太笨了，根本没法用这个’。说实话，这怪我表达不清，不怪他们。实际上这个策略简单得要命。让我来拆解一下。
你持有的全部东西就是：一只代码，RSST。这就是整个投资组合。RSST 是一只基金，让你同时持有 100% 的标普 500 指数和 100% 的‘管理型期货’策略，而且只用一个股票代码搞定。所谓管理型期货，其实就是趋势跟踪：在各种市场中买涨的、做空跌的，当股市崩盘时它通常会上涨，因此就像一个减震器。你花一块钱就能同时获得这两样好处，这就是所谓的‘收益叠加’。没有杠杆，没有期权，不用天天盯着。
你真正要做的全部事情是：每个月看一次信号。人们把它叫做‘金丝雀’，源自煤矿里的金丝雀——一种早期预警。它监测通胀和利率趋势，告诉你两个选择之一：继续持有，或暂时退出。如果信号说继续持有，你就啥也不用做。如果信号说退出，你就卖出 RSST，转持短期国债或国库券，直到信号恢复为止。每年只需花五分钟，总共十二次，就搞定了。
所以，去掉那些花里胡哨的术语，整个策略其实就这么回事：持有一只基金，每月看一次开关，偶尔换到债券。‘HAA’ 只是那个每月规则的名字（由研究员 Wouter Keller 设计），‘袖珍仓位’只是投资组合的一小部分，而‘金丝雀’就是那个开/关指示灯。
我可没说这策略零风险。这个信号会监控通胀，所以在 2022 年表现极佳，但对 2008 年的危机反应较慢，而且深度回测的部分数据是重建出来的。但要说必须得有金融学位才能用？别逗了。只要你能每月查一次天气，就能用这个策略。
Yeah, should've dropped it in the post, my bad. Full writeup with the backtest is here: bestfolio.app/blog/haa-rsst-ucits, it walks through the HAA rule, the RSST swap, and the CAGR and drawdown numbers. Only catch is RSST only launched in 2024, so the deep history is reconstructed proxy data for the managed-futures sleeve, the HAA signal on its own goes back to about 2000. If you want a specific window or a different basket run, drop the tickers and I'll pull it. Which stretch are you most curious about?
Thanks for your posts, Laurent. Were there any managed future funds available in 2008, return stacked or otherwise? How did they do as a group? The reason for asking is - what saves me when the canary doesn't.
Great question. Two parts.
On funds: return-stacked wrappers didn't exist in 2008 (RSST is a 2023 fund), and retail managed-futures funds were barely a thing yet. But the strategy did, run as CTAs, and that's what the standard benchmark tracks: the BTOP50 was up about 14% in 2008 while the S&P fell ~37%. 2008 is the textbook "trend pays when stocks break" year.
What saves you when the canary doesn't is exactly that trend sleeve. That's the piece I count on when the signal's late. The canary reads inflation, so it lagged in 2008. The trend sleeve waits for no signal, it's always on, and it shorts falling markets, which is why it had one of its best years right then. Different jobs: the canary catches inflationary regimes like 2022, trend catches fast crashes like 2008.
Honest caveat: trend can whipsaw in sharp reversals. I treat it as a diversifier, not a guarantee.
Trend fund CTAs have historically done really well with inflation. Wouldn’t it be better to have this exposure when the tips HAA signal pulls you out? Go into 100% DBMF or 50/50. Or maybe 50% cash 50% static commodities ?
Sharp point, and it's genuinely one of the variants we kicked around. The canary here is the inflation/rate one, so it's firing in exactly the regime where trend has historically earned its keep, 2022 being the obvious case where DBMF ran up while stocks and bonds both got wrecked. So holding managed futures through the risk-off window instead of parking in bills isn't crazy at all.
The catch is what you give back. The reason we send it to short govvies/T-bills is dry powder and a smooth ride. Trend can whipsaw hard in a choppy non-trending selloff (late 2018, or the spring 2020 reversal) and you'd be eating that vol right when you wanted calm. 100% DBMF hands back most of the drawdown you were trying to dodge.
The 50/50 DBMF/cash middle ground is the one I'd actually lean toward. You keep half the inflation hedge and still cut the wobble roughly in half. The 50% cash 50% static commodities version is more of a pure inflation bet and I find it gets ugly if the thing that breaks is a growth scare rather than an inflation one...
Easiest tell is to run it yourself in testfolio, swap the bills leg for DBMF and eyeball the drawdown delta. That shows you fast whether the extra return is worth the extra vol.
Thank you. That adds to my confidence in the strategy. For some reason, I like the idea of lower risk, higher return 😁
Glad it helped. One honest tweak though, I wouldn't sell it as lower-risk-higher-return like a free lunch. It's just diversification doing its job: two return streams that zig and zag at different times, so the blend rides smoother. In calm bull years it lags plain stocks. The edge shows up over a full cycle, not every year.
And you were right to poke at the pre-2019 data. DBMF's live record only starts in 2019, so anything before that is reconstructed from the underlying index. A sim like that captures the trend signal fine, but it won't fully capture what you flagged, spreads and slippage blowing out in a real liquidity crunch. So I trust the shape of the deep backtest more than the exact CAGR, and I size the sleeve assuming reality runs a bit worse than the model. Good instincts on your part.
Why go risk off when the futures part of RSST should work as an antidote to the stocks market downturn?
Check the backtest and it should become obvious - We get CAGR of 19% with -20% DD, which you wouldn't get from RSST alone...
19% CAGR with 20% max drawdown is incredible. What happens when you increase equity leverage while risk on? Example: 75% RSST 25% UPRO?
That is a lot of managed futures. Why is the canary high inflation? Managed futures and stocks are both good in inflation. If a growth shock hits, your canary misses, stocks and MFs both tank together.
You can check it yourself in Testfolio as well. Just compare the actual ticker with the sim.
I have a q about the ucits version. Is there a reason why it's more appropriate to do 50% 2x S&P 500 + 50% DBMF rather than 1/3rd 3x S&P 500 + 2/3 DBMF? I can imagine that the TIPS signal combined with limiting the risk equities to S&P lends itself more to 2x than 3x daily reset since it can leave you in a bit longer than you might have liked in hindsight sometimes. But curious what your opinion is.
No opinion, just facts ;)
We chose to go with 1/2 2xSP500 + 1/2 MF because the returns were better, but if you want an even more tamed volatility you can go with 1/3 SP500 and 2/3 MF, just lower returns...
Thank you makes sense :)