Cross-Asset Trend— managed-futures diversifier
A time-series-momentum sleeve across bond & commodity ETFs (equity-stripped) — the classic managed-futures / CTA crisis-ballast. Each leg goes long or short on its own trailing trend, inverse-vol-scaled, rebalanced monthly. The one genuinely uncorrelatedsleeve in the book — it earns in grinding bear markets (2008, 2022) when equities bleed. Forward-tracked in shadow mode (no orders).
Backtest (2007-2026, net of cost, 10% vol target)
⚠️ Ballast, NOT a return engine (Sharpe ~0.4-0.55). Genuinely uncorrelated (SPY corr ~-0.02 to -0.14) and delivers in GRINDING bears (2008, 2022) — but slow to help in FAST crashes (COVID), and recent P&L leans on 2022. Size single-digit-% of book. Paper/shadow only — no orders.
Crisis performance (the whole point)
| Equity crisis | This book | SPY |
|---|---|---|
| GFC 2008 | +16.1% | -48.9% |
| COVID Q1 2020 | +11.2% | -19.5% |
| 2022 bear | +34.3% | -18.9% |
Live paper book
| Dir | Ticker | Class | Weight |
|---|---|---|---|
| SHORT | SHY | bond | -0.231 |
| SHORT | IEF | bond | -0.149 |
| SHORT | LQD | bond | -0.129 |
| SHORT | HYG | bond | -0.115 |
| SHORT | BWX | bond | -0.105 |
| SHORT | TLT | bond | -0.078 |
| LONG | DBA | commodity | +0.056 |
| LONG | CORN | commodity | +0.039 |
| LONG | DBC | commodity | +0.036 |
| SHORT | UNG | commodity | -0.022 |
| LONG | GLD | commodity | +0.015 |
| LONG | USO | commodity | +0.015 |
| LONG | SLV | commodity | +0.01 |
Live paper mark of current model positions; backtest curve below is the track record. Equal-risk time-series-momentum across bond + commodity ETFs (equity-stripped, FX-dropped); ensemble of 12-1/3/6/12-mo absolute momentum, inverse-vol scaled, monthly rebalance, excess-of-Tbill, net 4bps/side, 10% vol target. Data asof 2026-10-19.