Regime-Optimized Portfolios
Dynamic allocation driven by regime probabilities
Dynamic Allocation
Regime: expansion53%
equities
20%
bonds long
13%
commodities
10%
cash
4%
bonds short
CAGR
6.7%
Sharpe
0.83
Sortino
1.49
Max Drawdown
-9.6%
Win Rate
68.8%
Volatility
5.5%
| Portfolio | CAGR | Sharpe | Max Drawdown |
|---|---|---|---|
| Dynamic (Regime) | 6.69% | 0.83 | -9.6% |
| 60/40 | 5.78% | 0.43 | -30.3% |
| equal weight | 6.79% | 0.54 | -23.8% |
| 100% equities | 6.35% | 0.35 | -52.6% |
Backtest Performance
Sector Rotation
| Signal | Sector | Ticker | Tilt |
|---|---|---|---|
| overweight | Technology | XLK | +0.67 |
| overweight | Consumer Discretionary | XLY | +0.55 |
| overweight | Industrials | XLI | +0.50 |
| overweight | Financials | XLF | +0.43 |
| overweight | Communication Services | XLC | +0.34 |
| slight overweight | Materials | XLB | +0.18 |
| neutral | Real Estate | XLRE | +0.06 |
| neutral | Energy | XLE | +0.03 |
| neutral | Healthcare | XLV | -0.01 |
| slight underweight | Consumer Staples | XLP | -0.29 |
| underweight | Utilities | XLU | -0.39 |
Regime Portfolios
Slowdown Portfolio
bonds short42%
bonds long30%
equities22%
cash5%
commodities1%
Growth Portfolio
Activeequities59%
bonds long21%
commodities15%
cash5%
Reflation Portfolio
equities49%
bonds long33%
commodities13%
cash5%
Late Cycle Portfolio
cash75%
bonds short24%
Defensive Portfolio
bonds short75%
cash25%
Understand the Regime Driving These Allocations
Historical model portfolio based on regime classification. Not personalized investment advice. Not a recommendation to buy, sell, or hold any security. Past performance does not guarantee future results.