Regime-Based Portfolio
How allocation has historically shifted with the economic regime
This is a descriptive model portfolio: each month it reads the economic regime — growth, inflation, or recession — from macro indicators and reports the allocation historically associated with that regime. It is a lens on which assets have tended to lead in each environment, not a recommendation to trade.
For our validated, drawdown-managed flagship — which sets how much total risk to carry rather than which sleeves to pick — see the Liquidity Compass.
Current Allocation
Regime: late cycle45%
cash
23%
equities
17%
bonds short
10%
bonds long
5%
commodities
CAGR
7.2%
Sharpe
0.91
Sortino
1.63
Max Drawdown
-8.5%
Win Rate
70.3%
Volatility
5.5%
| Portfolio | CAGR | Sharpe | Max Drawdown |
|---|---|---|---|
| Regime-Based | 7.16% | 0.91 | -8.5% |
| 60/40 | 6.92% | 0.53 | -29.0% |
| equal weight | 7.11% | 0.56 | -23.5% |
| 100% equities | 8.36% | 0.47 | -50.9% |
Backtest Performance
Growth of $10,000 invested at inception. The regime-based portfolio shifts allocation with walk-forward regime probabilities — at each point the regime model was refit using only data available up to that date — shown against static benchmarks, with transaction costs, from 2000 to present. Limits: input series are as later revised (vintage-level revisions are not reconstructed), and the per-regime allocation weights were fit on the full sample. Past performance does not guarantee future results.
Sector Rotation
| Signal | Sector | Ticker | Tilt |
|---|---|---|---|
| overweight | Energy | XLE | +0.38 |
| overweight | Healthcare | XLV | +0.35 |
| slight overweight | Materials | XLB | +0.27 |
| slight overweight | Financials | XLF | +0.27 |
| slight overweight | Industrials | XLI | +0.18 |
| neutral | Technology | XLK | +0.10 |
| neutral | Consumer Staples | XLP | +0.07 |
| neutral | Communication Services | XLC | +0.03 |
| neutral | Utilities | XLU | -0.07 |
| neutral | Consumer Discretionary | XLY | -0.08 |
| slight underweight | Real Estate | XLRE | -0.29 |