CAPITAL PORTRAIT
Scale / gross 0–150%Exposure
INITIAL CAPITAL$100K— positions
Gross target—
Net target—
Multi-strategy portfolio
Multi-Strat Portfolio
A diversified portfolio combining complementary investment strategies.
Last session—
Month to date—
Model portfolio
Research record
Performance
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Growth of $1Multi-Strat with risk-matched references
Jul 2015 — Sep 2026Research backtest · before implementation costs
Growth of $1Portfolio and benchmark performance
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Return history
Monthly returns
Gross simulated returns by calendar month. Partial months are marked †.
Annual returns will appear when the dated record is available.
Allocation
Portfolio
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Gross exposure—
Net exposure—
Portfolio construction
- Sleeves
- 5
- Initial budget each
- 20%
- Rebalance
- Daily / weekly
- Accounting
- Initial capital
PUBLISHED MODEL TARGETS
Position sizing
01
Target weights translated into USD notionals
02
IMPLEMENTATION
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POSITION SHAPE
Largest absolute targetsCurrent holdings
SHORTLONG
FIVE ENGINES
Gross target / 20% initial-capital budgetStrategy exposure
DECISION CLOCK
Formation → effective closeRebalance schedule
CONTRACT BUILDER
Dated reference pricesContract sizing
Target gross—
Achieved gross—
Gross matched—
Tracking difference—
Whole contracts—
Prices below are editable. Each line shows the full math: quoted price × contract unit = USD notional per contract. Integer rounding creates a visible residual.
Treasury futures are duration proxies and require a current DV01 check. Best Fit can use smaller MWN and MTN contracts when ZB and ZN are too coarse; MWN tracks Ultra Bond and MTN tracks Ultra 10-Year, so each uses its own price. Commodity-pool ETFs are single-contract basis proxies. MCHI and IEV remain unimplemented because no exact listed future has been selected.
ALLOCATION LEDGER
—Positions
| Asset | Target weight | Dollar notional | S&P Faster | Daily Aggressive | Bond | Managed Futures | Macro 1.5x |
|---|
Weights and notionals reference initial capital. Negative weights indicate short positions.
Research preview · Sep 11, 2026
FIVE SYSTEMS / ONE BOOK
Strategy mix
Five complementary strategies across global markets.
05independent sleeves
20%initial budget each
0%bond cash redirected
01 / EQUITY REGIMES&P Faster Regime
A responsive equity allocation that changes with the faster market cycle.
THE COMBINED RECORD
ONE PORTFOLIO.
MORE THAN ONE ENGINE.
Annualized return—Since Jul 2015
Annualized volatility—Weekly series
Maximum drawdown—Daily path
Correlation to SPY—Weekly returns
Equal at the start. Each sleeve receives a fixed 20% initial-capital notional budget. Unused bond capital remains unallocated.
20 + 20 + 20 + 20 + 20THE PORTFOLIOS INSIDE
FIVE WAYS
TO READ RISK.
Select a strategy to explore.
RETURN CONTRIBUTION
Cumulative P&L on initial capitalEVERY SLEEVE ADDED.
CALENDAR YEARS
2015 and 2026 are partial yearsA DIFFERENT MIX, YEAR BY YEAR.
THE TRADING CLOCK
TWO CADENCES.
ONE ACCOUNT.
The daily regime sleeves and weekly cross-market sleeves keep their own decision times. The page shows their returns on a common daily portfolio path.
Read the three regimes.
Faster SPX, Daily Aggressive and Bond Regime form at the market close. The resulting close position earns the next close-to-close return.
Form the weekly books.
Managed Futures forms its new weights on Friday for Friday-close execution. Macro Regimes 1.5x combines the prior trading-session regime states with that Friday cross-market book.
Add the sleeve P&L.
Each sleeve keeps a fixed 20% initial-capital budget. Bond cash stays unused; it is never redirected to Macro Regimes.
Research assumptions and limitations
This page presents a historical research simulation, not a live account, recommendation or estimate of future returns. The primary record spans July 10, 2015 through September 11, 2026 and combines five separately researched strategies with fixed initial-capital notional budgets. Figures shown here exclude transaction costs, funding costs, borrow costs, taxes, slippage and the interest that idle cash could have earned.
Futures sleeves can use notional exposure greater than their allocated capital. The displayed 20% figures are capital budgets; current gross and net exposures describe the resulting underlying positions. Data and labels remain a dated research snapshot until a production feed is connected.