Can exploiting the relatively high betas of small and midsize stocks according to regimes defined by past iShares TIPS Bond ETF (TIP) returns beat the market? In his January 2026 paper entitled "A Regime-Aware Market Capitalization Rotation Strategy Using Hybrid Asset Allocation Momentum", Peter Richman evaluates a momentum strategy inspired by the Hybrid Asset Allocation (HAA) that, at the end of each month (HAA 13612):
- Takes an offensive (defensive) stance if the total return for TIP is positive (not positive).
- If on offense, allocates to the one of SPDR S&P 500 ETF Trust (SPY), SPDR S&P MidCap 400 ETF Trust (MDY) or iShares Core S&P Small-Cap ETF (IJR) with the highest arithmetic mean of total returns over the past 1, 3, 6 and 12 months.
- If on defense, allocates to iShares 1–3 Year Treasury Bond ETF (SHY).
His benchmark is buy-and-hold Vanguard Total Stock Market ETF (VTI). Using monthly total returns for the selected ETFs from the end of January 2005 through the end of December 2025, he finds that:
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