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: expansion42%
equities
23%
cash
16%
bonds long
11%
commodities
8%
bonds short
CAGR
7.3%
Sharpe
0.93
Sortino
1.69
Max Drawdown
-8.5%
Win Rate
70.1%
Volatility
5.5%
| Portfolio | CAGR | Sharpe | Max Drawdown |
|---|---|---|---|
| Regime-Based | 7.26% | 0.93 | -8.5% |
| 60/40 | 6.92% | 0.54 | -29.0% |
| equal weight | 7.08% | 0.56 | -23.5% |
| 100% equities | 8.26% | 0.47 | -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 |
|---|---|---|---|
| overweight | Technology | XLK | +0.48 |
| overweight | Industrials | XLI | +0.40 |
| overweight | Financials | XLF | +0.39 |
| overweight | Consumer Discretionary | XLY | +0.34 |
| slight overweight | Communication Services | XLC | +0.23 |
| slight overweight | Materials | XLB | +0.22 |
| slight overweight | Energy | XLE | +0.16 |
| slight overweight | Healthcare | XLV | +0.11 |
| neutral | Real Estate | XLRE | -0.07 |
| slight underweight | Consumer Staples | XLP | -0.18 |
| slight underweight | Utilities | XLU | -0.29 |