本研究旨在探討混合資產配置策略（Hybrid Asset Allocation, HAA）於日本金融市場中的應用表現，並評估其在不同投資情境下相對於等權重策略（Equal Weight, EW）與大摩日本指數（MSCI Japan Index, MIJP）的風險與報酬表現。
研究期間涵蓋2010年1月至2024年12月，建構涵蓋進攻型、防禦型與保護型(或稱金絲雀型)資產之多元資產池，並採用13612U動量過濾器，實作HAA系列等多種策略版本進行歷史回測分析。
實證結果顯示，在未考量交易成本情境下，HAA系列策略之年化報酬略低，惟風險調整後績效（如Sharpe Ratio與R/D值）尚優於MIJP與EW。在考量保守假設的交易成本後，HAA系列策略之報酬水準進一步下降，平均月報酬皆顯著低於MIJP與EW，表現相對劣勢。
此外，進一步模擬定期定額投資法（Dollar-Cost Averaging, DCA）(未考量交易成本)，HAA系列策略在長期資產累積期間雖報酬略低，但部分策略如HAA-G8/T2與HAA-G4於波動度與最大回撤指標上優於MIJP與EW，展現出一定資本保全與風險管理能力，對保守型投資者具有一定參考價值。
總體而言，HAA策略雖未在所有層面全面優於傳統EW策略與MIJP，但其設計架構具備動態調整、風險分層與機制彈性特質，未來可作為資產配置架構優化或策略延伸應用之基礎。

This study investigates the implementation and performance of Hybrid Asset Allocation (HAA) strategies in the Japanese financial market, evaluating their relative risk and return under different investment conditions compared to the Equal Weight (EW) strategy and the MSCI Japan Index (MIJP).
Using monthly data from January 2010 to December 2024, this study constructs a diversified asset pool comprising offensive, defensive, and protective (or “canary”) assets, and applies the 13612U momentum filter to implement various HAA strategy versions.
Empirical results indicate that under the baseline condition without transaction costs, HAA strategies exhibit slightly lower annualized returns but offer better risk-adjusted performance (e.g., Sharpe Ratio and return-to-drawdown ratio) than MIJP and EW. However, once conservative transaction costs (0.1% per side) are incorporated, the performance of HAA strategies declines further, and their average monthly returns become significantly lower than both benchmarks.
In addition, under a Dollar-Cost Averaging (DCA) scenario (without transaction costs), HAA strategies generally deliver lower returns during the asset accumulation phase. Nonetheless, certain variants such as HAA-G8/T2 and HAA-G4 demonstrate advantages in volatility control and maximum drawdown metrics compared to MIJP and EW, indicating their potential value for risk-averse investors.
Overall, while HAA strategies do not consistently outperform traditional benchmarks across all dimensions, their design—characterized by dynamic rebalancing, layered risk management, and structural flexibility—suggests potential utility as a foundation for future research and development in asset allocation frameworks.

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