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 cycle38%
cash
28%
equities
15%
bonds short
12%
bonds long
7%
commodities
CAGR
7.1%
Sharpe
0.91
Sortino
1.63
Max Drawdown
-8.5%
Win Rate
70.2%
Volatility
5.5%
| Portfolio | CAGR | Sharpe | Max Drawdown |
|---|---|---|---|
| Regime-Based | 7.15% | 0.91 | -8.5% |
| 60/40 | 6.85% | 0.53 | -29.0% |
| equal weight | 7.00% | 0.55 | -23.5% |
| 100% equities | 8.19% | 0.46 | -50.9% |
Backtest Performance
Growth of $10,000 invested at inception. The regime-based portfolio shifts allocation with regime probabilities, shown against static benchmarks. Backtested with transaction costs from 2000 to present. Past performance does not guarantee future results.
Sector Rotation
| Signal | Sector | Ticker | Tilt |
|---|---|---|---|
| slight overweight | Healthcare | XLV | +0.30 |
| slight overweight | Energy | XLE | +0.29 |
| slight overweight | Financials | XLF | +0.28 |
| slight overweight | Materials | XLB | +0.23 |
| slight overweight | Industrials | XLI | +0.22 |
| slight overweight | Technology | XLK | +0.19 |
| neutral | Communication Services | XLC | +0.08 |
| neutral | Consumer Staples | XLP | +0.03 |
| neutral | Consumer Discretionary | XLY | +0.02 |
| slight underweight | Utilities | XLU | -0.10 |
| slight underweight | Real Estate | XLRE | -0.21 |