{"schema":1,"asOf":"2026-11-03","hypothetical":true,"label":"Hypothetical. Back-tests and paper records are simulations for education: they are not live results, not investment advice and not a promise of future returns. Daily closes only; paper marks are taken after the close.","paperStart":{"date":"2026-11-04","setBy":"first run after merge: the first trading day after that run's last close"},"rankedBy":"paper record only (return since paper start); the back-test is shown and never ranks","strategies":[{"slug":"country-momentum","name":"Country momentum rotation","group":"countries","risk":"high","summary":"Each month hold the five of nineteen country funds that gained most over the past year, skipping the latest month.","benchmark":"ACWI","asOf":"2026-11-03","spark":{"source":"backtest","points":[100.0,100.91,103.17,100.61,101.34,102.81,103.54,104.98,106.03,109.1,108.76,112.7,113.36,114.19,120.31,120.69,119.84,126.05,125.72,129.74,129.33,117.89,116.13,116.87,115.73,113.61,119.92,128.44,131.55,133.66,131.55,133.08,141.96,140.16,135.74,140.87,144.39,135.06,140.25,145.46,140.91,138.4,137.21,136.6,131.77,132.71,134.16,138.05,137.22,142.02,140.13,142.05,142.91,145.45,140.49,145.84,144.3,141.71,141.85,137.7,133.19,131.48,133.22,128.73],"note":"last 12 months of the back-test (paper record has under 20 days)"},"paper":{"start":null,"configuredStart":"2026-11-04","days":0,"sinceStart":null,"benchmarkSinceStart":null,"1M":null,"YTD":null,"1Y":null,"maxDrawdown":null,"sharpe":null},"sinceFundsListed":null,"hindsightWarning":null,"backtest":{"start":"2004-03-01","years":22.67,"1M":-0.10571,"YTD":0.18364,"1Y":0.28727,"annualised":0.067497,"maxDrawdown":-0.661277,"sharpe":0.320573,"simulatedShare":0.0},"holdings":["EWY","EWS","EWJ","EWZ","EWT"],"holdingsCount":5,"cashPct":0.0,"signal":"risk-on","nextSignalDate":"2026-11-30","nextTradeDate":"2026-12-01","nextRebalance":null,"secondSourceAgree":true,"link":"/models/strategies/country-momentum/","rank":null},{"slug":"country-value-momentum","name":"Country value plus momentum","group":"countries","risk":"high","summary":"Each month hold the five country funds that rank best on cheapness and past-year gain combined. Cheapness is ETFIQ's own stand-in: dividend yield and 5-year price decline, not CAPE or earnings.","benchmark":"ACWI","asOf":"2026-11-03","spark":{"source":"backtest","points":[100.0,101.01,103.14,100.68,101.34,102.48,102.25,103.23,103.81,107.15,106.35,111.14,112.42,113.77,119.7,120.11,118.79,126.32,125.36,131.16,131.18,122.34,121.86,120.95,120.02,118.35,123.89,131.48,132.9,133.8,131.69,132.49,137.66,135.72,132.4,134.13,134.73,127.65,130.54,131.61,128.21,128.13,128.02,130.81,129.19,129.98,133.87,136.06,136.4,138.63,138.61,139.88,140.91,142.07,138.72,142.04,140.79,138.44,141.8,141.7,139.66,138.74,132.98,129.5],"note":"last 12 months of the back-test (paper record has under 20 days)"},"paper":{"start":null,"configuredStart":"2026-11-04","days":0,"sinceStart":null,"benchmarkSinceStart":null,"1M":null,"YTD":null,"1Y":null,"maxDrawdown":null,"sharpe":null},"sinceFundsListed":null,"hindsightWarning":null,"backtest":{"start":"2008-03-03","years":18.67,"1M":-0.07583,"YTD":0.21773,"1Y":0.29501,"annualised":0.043089,"maxDrawdown":-0.617512,"sharpe":0.236441,"simulatedShare":0.0},"holdings":["EWN","EWS","EWM","EWJ","EWZ"],"holdingsCount":5,"cashPct":0.0,"signal":"risk-on","nextSignalDate":"2026-11-30","nextTradeDate":"2026-12-01","nextRebalance":null,"secondSourceAgree":true,"link":"/models/strategies/country-value-momentum/","rank":null},{"slug":"dual-momentum","name":"Dual momentum","group":"core","risk":"medium","summary":"Hold US stocks or foreign stocks, whichever gained more over 12 months, if they beat T-bills. Otherwise hold bonds.","benchmark":"ACWI","asOf":"2026-11-03","spark":{"source":"backtest","points":[100.0,99.13,100.23,97.68,98.62,99.77,100.38,100.99,100.8,102.74,102.55,105.03,106.11,105.46,108.21,108.13,107.55,112.68,112.06,113.19,111.8,105.87,105.12,104.78,103.12,101.27,105.87,110.44,112.22,112.07,111.0,111.38,115.78,115.2,114.32,116.62,118.47,114.04,116.81,119.09,116.71,115.83,115.72,116.08,113.9,114.46,116.44,118.81,119.15,120.64,120.39,120.42,119.43,119.86,117.28,119.66,118.74,116.1,116.57,116.17,114.46,113.52,115.21,113.18],"note":"last 12 months of the back-test (paper record has under 20 days)"},"paper":{"start":null,"configuredStart":"2026-11-04","days":0,"sinceStart":null,"benchmarkSinceStart":null,"1M":null,"YTD":null,"1Y":null,"maxDrawdown":null,"sharpe":null},"sinceFundsListed":null,"hindsightWarning":null,"backtest":{"start":"2010-02-01","years":16.75,"1M":-0.03605,"YTD":0.10358,"1Y":0.13176,"annualised":0.085251,"maxDrawdown":-0.336999,"sharpe":0.493328,"simulatedShare":0.0},"holdings":["ACWX"],"holdingsCount":1,"cashPct":0.0,"signal":"risk-on","nextSignalDate":"2026-11-30","nextTradeDate":"2026-12-01","nextRebalance":null,"secondSourceAgree":true,"link":"/models/strategies/dual-momentum/","rank":null},{"slug":"income-rotation","name":"Income rotation with a return-of-capital guard","group":"income","risk":"medium","summary":"Each month hold the four highest-yielding of ten income funds whose price has not fallen more than 5% in a year.","benchmark":"SPY","asOf":"2026-11-03","spark":{"source":"backtest","points":[100.0,99.85,99.79,99.54,100.54,100.94,100.98,100.94,101.21,102.14,101.88,102.44,102.85,102.1,103.3,103.1,101.75,103.35,103.28,103.37,103.3,102.22,101.85,101.63,100.8,99.35,101.89,102.85,103.54,104.42,104.37,104.82,105.64,105.47,104.87,105.72,106.26,105.36,105.81,106.78,105.35,106.34,106.16,106.76,105.78,105.34,105.89,107.46,107.49,107.66,107.68,108.28,107.77,107.92,107.22,108.66,108.08,107.65,107.96,108.49,108.31,109.04,110.04,108.95],"note":"last 12 months of the back-test (paper record has under 20 days)"},"paper":{"start":null,"configuredStart":"2026-11-04","days":0,"sinceStart":null,"benchmarkSinceStart":null,"1M":null,"YTD":null,"1Y":null,"maxDrawdown":null,"sharpe":null},"sinceFundsListed":null,"hindsightWarning":null,"backtest":{"start":"2016-11-01","years":10.0,"1M":0.01068,"YTD":0.06935,"1Y":0.08946,"annualised":0.031295,"maxDrawdown":-0.276566,"sharpe":0.107401,"simulatedShare":0.0},"holdings":["QYLD","XYLD","HYG","SPYD"],"holdingsCount":4,"cashPct":0.0,"signal":"risk-on","nextSignalDate":"2026-11-30","nextTradeDate":"2026-12-01","nextRebalance":null,"secondSourceAgree":true,"link":"/models/strategies/income-rotation/","rank":null},{"slug":"leveraged-trend-filter","name":"Leverage with a trend filter","group":"2x-shelf","risk":"very-high","summary":"Hold each 2x single-stock fund while its stock trades above its 200-day average, else hold cash. Hindsight: these eight stocks are today's large winners, picked in 2026. Back-test results are flattered; most of the history is simulated.","benchmark":"SPY","asOf":"2026-11-03","spark":{"source":"backtest","points":[100.0,92.29,90.02,89.58,94.86,96.36,97.0,92.8,91.53,96.25,92.81,92.65,94.15,85.97,90.04,89.46,81.96,84.72,80.63,81.67,78.89,77.66,78.6,76.71,74.8,69.6,75.23,76.42,77.92,78.88,79.43,82.4,86.92,89.69,86.46,86.55,88.47,80.2,77.51,79.95,71.89,77.18,78.65,79.69,77.62,73.21,73.12,79.93,78.86,76.73,74.63,76.71,76.18,74.51,73.77,78.08,76.65,75.44,78.3,79.45,76.34,71.7,69.49,66.79],"note":"last 12 months of the back-test (paper record has under 20 days)"},"paper":{"start":null,"configuredStart":"2026-11-04","days":0,"sinceStart":null,"benchmarkSinceStart":null,"1M":null,"YTD":null,"1Y":null,"maxDrawdown":null,"sharpe":null},"sinceFundsListed":{"from":"2024-10-10","days":517,"total":0.05371,"annualised":0.02567,"maxDrawdown":-0.39475,"sharpe":0.145},"hindsightWarning":"Hindsight: these eight stocks are today's large winners, picked in 2026. Back-test results are flattered; most of the history is simulated.","backtest":{"start":"2013-04-01","years":13.59,"1M":-0.12812,"YTD":-0.28029,"1Y":-0.33205,"annualised":0.425414,"maxDrawdown":-0.453296,"sharpe":1.089737,"simulatedShare":0.8199},"holdings":["CASH","MSFU","NVDL","TSLL","AAPU"],"holdingsCount":4,"cashPct":49.845,"signal":"partly-in","nextSignalDate":"2026-11-30","nextTradeDate":"2026-12-01","nextRebalance":null,"secondSourceAgree":true,"link":"/models/strategies/leveraged-trend-filter/","rank":null},{"slug":"multi-asset-momentum","name":"Multi-asset time-series momentum","group":"core","risk":"medium","summary":"Hold each of ten assets that rose over 12 months, sized so each carries similar risk. The rest sits in cash.","benchmark":"AOR","asOf":"2026-11-03","spark":{"source":"backtest","points":[100.0,99.74,99.98,99.28,100.2,100.44,100.26,100.19,100.45,101.35,100.79,101.69,102.38,101.91,103.43,103.09,102.76,104.33,104.66,105.27,105.39,103.9,103.12,103.06,101.7,101.44,103.17,104.11,104.99,105.21,105.13,105.01,106.14,105.71,105.2,105.78,106.2,105.02,105.75,105.87,105.66,105.27,105.17,105.31,105.17,105.01,105.1,105.83,105.83,106.19,106.49,106.74,106.0,105.99,105.11,105.66,104.54,103.63,103.8,104.17,103.75,103.75,104.3,103.72],"note":"last 12 months of the back-test (paper record has under 20 days)"},"paper":{"start":null,"configuredStart":"2026-11-04","days":0,"sinceStart":null,"benchmarkSinceStart":null,"1M":null,"YTD":null,"1Y":null,"maxDrawdown":null,"sharpe":null},"sinceFundsListed":null,"hindsightWarning":null,"backtest":{"start":"2008-05-01","years":18.51,"1M":-0.00097,"YTD":0.02908,"1Y":0.0372,"annualised":0.038437,"maxDrawdown":-0.149298,"sharpe":0.487776,"simulatedShare":0.0},"holdings":["CASH","HYG","SPY","EFA","VNQ","DBC","EEM"],"holdingsCount":6,"cashPct":42.824,"signal":"partly-in","nextSignalDate":"2026-11-30","nextTradeDate":"2026-12-01","nextRebalance":null,"secondSourceAgree":true,"link":"/models/strategies/multi-asset-momentum/","rank":null},{"slug":"protective-allocation","name":"Protective allocation","group":"core","risk":"medium","summary":"Hold the six strongest of twelve assets. When fewer than half are rising, move the rest to Treasuries.","benchmark":"AOR","asOf":"2026-11-03","spark":{"source":"backtest","points":[100.0,98.91,99.78,97.98,99.21,100.18,100.86,101.43,100.96,103.1,101.74,104.65,106.29,106.16,109.2,108.16,107.79,113.01,111.88,113.27,114.08,111.23,111.18,110.75,107.73,107.77,111.96,113.66,115.47,115.86,115.45,116.44,119.47,119.67,118.03,118.86,120.68,117.02,117.89,119.67,117.63,117.31,117.35,118.44,116.81,117.05,117.16,118.75,119.26,120.15,119.73,120.05,119.62,120.21,119.15,120.6,119.79,119.04,118.96,119.36,119.56,120.56,120.98,120.67],"note":"last 12 months of the back-test (paper record has under 20 days)"},"paper":{"start":null,"configuredStart":"2026-11-04","days":0,"sinceStart":null,"benchmarkSinceStart":null,"1M":null,"YTD":null,"1Y":null,"maxDrawdown":null,"sharpe":null},"sinceFundsListed":null,"hindsightWarning":null,"backtest":{"start":"2008-06-02","years":18.42,"1M":0.01475,"YTD":0.18613,"1Y":0.20672,"annualised":0.071142,"maxDrawdown":-0.204435,"sharpe":0.630358,"simulatedShare":0.0},"holdings":["IEF","QQQ","SPY","GSG","IWM","EWJ","VGK"],"holdingsCount":7,"cashPct":0.0,"signal":"partly-in","nextSignalDate":"2026-11-30","nextTradeDate":"2026-12-01","nextRebalance":null,"secondSourceAgree":true,"link":"/models/strategies/protective-allocation/","rank":null},{"slug":"risk-parity","name":"Risk parity (all-weather)","group":"balanced","risk":"low","summary":"Hold five asset classes in proportion to the inverse of their recent swings, so each adds similar risk.","benchmark":"AOR","asOf":"2026-11-03","spark":{"source":"backtest","points":[100.0,99.64,99.91,99.42,100.3,100.46,100.04,99.98,100.25,101.26,100.31,101.15,101.84,101.22,103.16,102.51,102.05,103.23,103.65,104.44,105.14,104.63,104.15,103.97,102.28,102.64,103.6,104.01,104.85,105.36,105.24,105.05,106.08,105.8,104.85,105.19,105.98,104.34,104.5,104.73,104.2,103.68,103.71,104.04,103.87,103.86,103.69,104.63,104.99,105.1,105.82,106.29,105.42,105.47,104.59,105.2,103.77,102.86,102.72,103.72,104.0,104.66,104.96,104.09],"note":"last 12 months of the back-test (paper record has under 20 days)"},"paper":{"start":null,"configuredStart":"2026-11-04","days":0,"sinceStart":null,"benchmarkSinceStart":null,"1M":null,"YTD":null,"1Y":null,"maxDrawdown":null,"sharpe":null},"sinceFundsListed":null,"hindsightWarning":null,"backtest":{"start":"2006-06-01","years":20.42,"1M":0.01364,"YTD":0.03768,"1Y":0.04095,"annualised":0.059581,"maxDrawdown":-0.188315,"sharpe":0.62432,"simulatedShare":0.0},"holdings":["IEF","SPY","TLT","DBC","GLD"],"holdingsCount":5,"cashPct":0.0,"signal":"risk-on","nextSignalDate":"2026-11-30","nextTradeDate":"2026-12-01","nextRebalance":null,"secondSourceAgree":true,"link":"/models/strategies/risk-parity/","rank":null},{"slug":"sector-momentum","name":"Sector momentum rotation","group":"core","risk":"medium","summary":"Each month hold the three of nine US sectors that gained most over six months.","benchmark":"SPY","asOf":"2026-11-03","spark":{"source":"backtest","points":[100.0,97.38,96.39,94.38,95.89,96.76,95.93,95.67,95.41,97.03,96.2,98.83,99.11,96.41,98.79,97.29,99.77,103.93,103.7,104.18,105.51,101.69,101.58,100.69,102.15,103.05,103.26,103.43,102.63,101.56,102.97,103.26,102.17,103.88,102.83,102.87,103.71,100.43,101.57,100.22,99.63,98.48,98.94,100.18,98.98,100.87,99.67,102.05,104.03,105.89,104.05,104.02,103.81,104.37,103.79,103.82,103.22,103.02,104.36,104.34,103.94,104.76,107.36,105.4],"note":"last 12 months of the back-test (paper record has under 20 days)"},"paper":{"start":null,"configuredStart":"2026-11-04","days":0,"sinceStart":null,"benchmarkSinceStart":null,"1M":null,"YTD":null,"1Y":null,"maxDrawdown":null,"sharpe":null},"sinceFundsListed":null,"hindsightWarning":null,"backtest":{"start":"1999-07-01","years":27.34,"1M":0.01949,"YTD":0.09556,"1Y":0.05395,"annualised":0.074133,"maxDrawdown":-0.509962,"sharpe":0.394236,"simulatedShare":0.0},"holdings":["XLK","XLV","XLE"],"holdingsCount":3,"cashPct":0.0,"signal":"risk-on","nextSignalDate":"2026-11-30","nextTradeDate":"2026-12-01","nextRebalance":null,"secondSourceAgree":true,"link":"/models/strategies/sector-momentum/","rank":null},{"slug":"single-stock-2x-momentum","name":"Single-stock leveraged momentum","group":"2x-shelf","risk":"very-high","summary":"Each month hold the three 2x single-stock funds whose stocks gained most over six months, if they gained at all. Hindsight: these eight stocks are today's large winners, picked in 2026. Back-test results are flattered; most of the history is simulated.","benchmark":"SPY","asOf":"2026-11-03","spark":{"source":"backtest","points":[100.0,90.34,87.83,93.34,103.39,101.51,102.35,93.72,85.9,91.63,90.15,88.35,93.21,83.42,89.18,90.15,87.8,88.55,82.03,84.46,80.97,77.1,77.28,76.4,72.28,64.99,73.81,76.67,79.97,80.59,82.5,89.0,93.52,93.47,87.65,89.56,86.65,80.4,77.33,80.7,69.71,75.34,79.49,80.95,75.82,72.73,72.0,83.07,81.48,76.24,72.96,73.61,75.99,74.65,71.55,77.28,76.32,76.89,79.51,81.74,73.91,67.34,67.28,61.04],"note":"last 12 months of the back-test (paper record has under 20 days)"},"paper":{"start":null,"configuredStart":"2026-11-04","days":0,"sinceStart":null,"benchmarkSinceStart":null,"1M":null,"YTD":null,"1Y":null,"maxDrawdown":null,"sharpe":null},"sinceFundsListed":{"from":"2024-10-10","days":517,"total":-0.11088,"annualised":-0.05534,"maxDrawdown":-0.62431,"sharpe":0.112},"hindsightWarning":"Hindsight: these eight stocks are today's large winners, picked in 2026. Back-test results are flattered; most of the history is simulated.","backtest":{"start":"2012-12-03","years":13.92,"1M":-0.21871,"YTD":-0.32294,"1Y":-0.38963,"annualised":0.689132,"maxDrawdown":-0.639395,"sharpe":1.166287,"simulatedShare":0.8043},"holdings":["MSFU","TSLL","AAPU"],"holdingsCount":3,"cashPct":0.0,"signal":"risk-on","nextSignalDate":"2026-11-30","nextTradeDate":"2026-12-01","nextRebalance":null,"secondSourceAgree":true,"link":"/models/strategies/single-stock-2x-momentum/","rank":null},{"slug":"sixty-forty","name":"60/40 with rebalancing bands","group":"balanced","risk":"low","summary":"Hold 60% US stocks and 40% bonds. Trade back only when a holding drifts 5 points from its target.","benchmark":"AOR","asOf":"2026-11-03","spark":{"source":"backtest","points":[100.0,98.88,98.95,98.06,99.48,99.98,100.07,99.87,99.56,101.06,100.22,101.02,101.45,99.73,101.37,101.25,100.0,101.4,101.1,101.28,101.16,99.64,98.74,98.34,97.51,95.61,98.28,100.31,102.46,103.41,103.38,103.79,105.74,106.43,105.65,106.7,107.59,105.6,106.06,106.72,105.79,106.61,106.38,106.92,106.05,105.57,105.88,108.51,108.41,108.56,108.0,108.67,107.88,107.57,106.78,108.5,107.85,107.05,108.16,108.4,107.56,107.36,108.26,107.01],"note":"last 12 months of the back-test (paper record has under 20 days)"},"paper":{"start":null,"configuredStart":"2026-11-04","days":0,"sinceStart":null,"benchmarkSinceStart":null,"1M":null,"YTD":null,"1Y":null,"maxDrawdown":null,"sharpe":null},"sinceFundsListed":null,"hindsightWarning":null,"backtest":{"start":"2010-01-05","years":16.83,"1M":-0.00431,"YTD":0.06775,"1Y":0.07006,"annualised":0.095822,"maxDrawdown":-0.217473,"sharpe":0.781064,"simulatedShare":0.0},"holdings":["SPY","AGG"],"holdingsCount":2,"cashPct":0.0,"signal":"risk-on","nextSignalDate":null,"nextTradeDate":null,"nextRebalance":"when a holding drifts 5 points from its target (checked at each close)","secondSourceAgree":true,"link":"/models/strategies/sixty-forty/","rank":null},{"slug":"trend-following","name":"Trend following","group":"core","risk":"medium","summary":"Hold each of five asset classes while it trades above its 10-month average, else hold cash.","benchmark":"AOR","asOf":"2026-11-03","spark":{"source":"backtest","points":[100.0,99.61,99.76,98.68,99.56,100.16,100.13,100.05,99.64,101.17,100.52,101.35,102.74,102.11,103.75,104.39,103.3,105.74,105.81,106.53,107.53,107.65,107.79,108.09,105.74,106.33,108.95,108.1,108.72,108.95,109.51,109.93,110.5,111.0,110.84,110.41,110.69,109.29,109.74,108.77,108.29,108.15,109.46,110.76,111.1,112.36,112.13,112.06,113.07,113.98,114.42,114.03,114.3,114.58,114.83,114.64,113.99,112.86,113.09,113.93,113.66,113.85,114.16,112.55],"note":"last 12 months of the back-test (paper record has under 20 days)"},"paper":{"start":null,"configuredStart":"2026-11-04","days":0,"sinceStart":null,"benchmarkSinceStart":null,"1M":null,"YTD":null,"1Y":null,"maxDrawdown":null,"sharpe":null},"sinceFundsListed":null,"hindsightWarning":null,"backtest":{"start":"2007-06-01","years":19.43,"1M":-0.00475,"YTD":0.1197,"1Y":0.12547,"annualised":0.0434,"maxDrawdown":-0.151247,"sharpe":0.376406,"simulatedShare":0.0},"holdings":["SPY","GSG","CASH","VNQ","EFA"],"holdingsCount":4,"cashPct":20.005,"signal":"partly-in","nextSignalDate":"2026-11-30","nextTradeDate":"2026-12-01","nextRebalance":null,"secondSourceAgree":true,"link":"/models/strategies/trend-following/","rank":null},{"slug":"volatility-capped-leverage","name":"Volatility-capped leverage","group":"2x-shelf","risk":"very-high","summary":"Hold an equal mix of eight 2x single-stock funds, shrunk toward cash when the mix's recent swings pass a cap. Hindsight: these eight stocks are today's large winners, picked in 2026. Back-test results are flattered; most of the history is simulated.","benchmark":"SPY","asOf":"2026-11-03","spark":{"source":"backtest","points":[100.0,94.51,92.72,91.96,96.54,97.77,98.65,95.44,95.13,98.21,95.85,95.79,96.69,87.26,93.8,94.73,84.8,88.22,83.63,84.19,81.72,81.19,81.18,78.34,74.89,67.55,74.15,80.0,86.9,89.45,89.13,89.79,95.7,98.97,94.62,96.44,96.97,85.74,81.02,83.51,72.1,81.75,82.42,84.29,83.18,78.63,79.74,86.37,86.34,84.44,83.59,85.06,85.55,86.48,85.65,94.27,92.89,89.25,96.22,96.04,90.26,84.19,84.97,81.44],"note":"last 12 months of the back-test (paper record has under 20 days)"},"paper":{"start":null,"configuredStart":"2026-11-04","days":0,"sinceStart":null,"benchmarkSinceStart":null,"1M":null,"YTD":null,"1Y":null,"maxDrawdown":null,"sharpe":null},"sinceFundsListed":{"from":"2024-10-10","days":517,"total":0.3201,"annualised":0.14399,"maxDrawdown":-0.36493,"sharpe":0.441},"hindsightWarning":"Hindsight: these eight stocks are today's large winners, picked in 2026. Back-test results are flattered; most of the history is simulated.","backtest":{"start":"2012-07-02","years":14.34,"1M":-0.1185,"YTD":-0.15031,"1Y":-0.18559,"annualised":0.431294,"maxDrawdown":-0.463328,"sharpe":1.129569,"simulatedShare":0.8566},"holdings":["CASH","AVL","MSFU","FBL","NVDL","AMZU","GGLL","TSLL","AAPU"],"holdingsCount":8,"cashPct":25.923,"signal":"partly-in","nextSignalDate":"2026-11-30","nextTradeDate":"2026-12-01","nextRebalance":null,"secondSourceAgree":true,"link":"/models/strategies/volatility-capped-leverage/","rank":null}],"regime":{"asOf":"2026-11-03","rule":"a fund is on when its total-return price is above its 10-month average (Faber 2007)","groups":{"stocks":{"on":4,"of":5,"tickers":[{"ticker":"SPY","state":"on","gap":0.03005},{"ticker":"QQQ","state":"on","gap":0.00204},{"ticker":"IWM","state":"on","gap":0.00202},{"ticker":"EFA","state":"on","gap":0.00025},{"ticker":"EEM","state":"off","gap":-0.04404}],"text":"4 of 5 stocks funds are above their 10-month average at the 2026-11-03 close."},"bonds":{"on":0,"of":5,"tickers":[{"ticker":"AGG","state":"off","gap":-0.00498},{"ticker":"IEF","state":"off","gap":-0.01039},{"ticker":"TLT","state":"off","gap":-0.01775},{"ticker":"LQD","state":"off","gap":-0.01335},{"ticker":"HYG","state":"off","gap":-0.00577}],"text":"0 of 5 bonds funds are above their 10-month average at the 2026-11-03 close."},"commodities":{"on":2,"of":3,"tickers":[{"ticker":"GLD","state":"off","gap":-0.10163},{"ticker":"DBC","state":"on","gap":0.07986},{"ticker":"GSG","state":"on","gap":0.08945}],"text":"2 of 3 commodities funds are above their 10-month average at the 2026-11-03 close."},"countries":{"on":8,"of":19,"tickers":[{"ticker":"EWA","state":"on","gap":0.00479},{"ticker":"EWC","state":"on","gap":0.02611},{"ticker":"EWG","state":"on","gap":0.00121},{"ticker":"EWH","state":"off","gap":-0.00983},{"ticker":"EWI","state":"off","gap":-0.02403},{"ticker":"EWJ","state":"on","gap":0.00481},{"ticker":"EWL","state":"on","gap":0.03606},{"ticker":"EWD","state":"on","gap":0.02379},{"ticker":"EWN","state":"off","gap":-0.01018},{"ticker":"EWP","state":"off","gap":-0.01593},{"ticker":"EWQ","state":"off","gap":-0.04088},{"ticker":"EWS","state":"off","gap":-0.00463},{"ticker":"EWU","state":"on","gap":0.0059},{"ticker":"EWW","state":"off","gap":-0.01104},{"ticker":"EWZ","state":"off","gap":-0.11838},{"ticker":"EWT","state":"on","gap":0.01864},{"ticker":"EWY","state":"off","gap":-0.07236},{"ticker":"EZA","state":"off","gap":-0.05596},{"ticker":"EWM","state":"off","gap":-0.0317}],"text":"8 of 19 countries funds are above their 10-month average at the 2026-11-03 close."}},"on":14,"of":32},"moves":{"asOf":"2026-11-03","source":"the rules that changed holdings at the last signal close (back-test allocation; the blotter on each page has the paper trades)","strategies":[{"slug":"trend-following","name":"Trend following","signalDate":"2026-10-30","effective":"2026-10-31","moves":[{"ticker":"VNQ","text":"into VNQ: 0.0% to 20.0%. VNQ is 1.0% above its 10-month average."}]},{"slug":"dual-momentum","name":"Dual momentum","signalDate":"2026-10-30","effective":"2026-10-31","moves":[]},{"slug":"sector-momentum","name":"Sector momentum rotation","signalDate":"2026-10-30","effective":"2026-10-31","moves":[{"ticker":"XLE","text":"into XLE: 0.0% to 33.3%. ranked 2 of 9 on 6-month return (+18.9%)."},{"ticker":"XLF","text":"out of XLF: 33.3% to 0.0%."}]},{"slug":"multi-asset-momentum","name":"Multi-asset time-series momentum","signalDate":"2026-10-30","effective":"2026-10-31","moves":[{"ticker":"DBC","text":"into DBC: 4.6% to 5.8%. up 52.8% over 12 months; sized to 5.8% for 17.1% volatility."},{"ticker":"EEM","text":"into EEM: 4.2% to 4.8%. up 12.3% over 12 months; sized to 4.8% for 20.8% volatility."},{"ticker":"EFA","text":"into EFA: 7.9% to 9.1%. up 12.9% over 12 months; sized to 9.1% for 11.0% volatility."},{"ticker":"GLD","text":"out of GLD: 4.0% to 0.0%. down 3.9% over 12 months, so its slot is cash."},{"ticker":"SPY","text":"into SPY: 9.0% to 10.0%. up 12.4% over 12 months; sized to 10.0% for 10.0% volatility."},{"ticker":"VNQ","text":"out of VNQ: 8.2% to 7.5%. up 9.6% over 12 months; sized to 7.5% for 13.4% volatility."}]},{"slug":"protective-allocation","name":"Protective allocation","signalDate":"2026-10-30","effective":"2026-10-31","moves":[{"ticker":"EEM","text":"out of EEM: 2.8% to 0.0%."},{"ticker":"VGK","text":"into VGK: 0.0% to 2.8%. ranked 6 of 12 on momentum (+2.4% above its 12-month average); 17% of the book is at risk."}]},{"slug":"country-momentum","name":"Country momentum rotation","signalDate":"2026-10-30","effective":"2026-10-31","moves":[{"ticker":"EWP","text":"out of EWP: 20.0% to 0.0%."},{"ticker":"EWZ","text":"into EWZ: 0.0% to 20.0%. ranked 3 of 19 on 12-month (skipping the latest 1) return (+25.5%)."}]},{"slug":"country-value-momentum","name":"Country value plus momentum","signalDate":"2026-10-30","effective":"2026-10-31","moves":[{"ticker":"EWM","text":"into EWM: 0.0% to 20.0%. combined rank 5 of 19: momentum rank 12 (+9.7%), yield rank 7 (3.7%), 5-year decline rank 2 (+2.4%)."},{"ticker":"EZA","text":"out of EZA: 20.0% to 0.0%."}]},{"slug":"leveraged-trend-filter","name":"Leverage with a trend filter","signalDate":"2026-10-30","effective":"2026-10-31","moves":[{"ticker":"AMZU","text":"out of AMZU: 12.5% to 0.0%. AMZN is 1.3% below its 200-day average, so its 12.5% slot is cash."},{"ticker":"FBL","text":"out of FBL: 12.5% to 0.0%. META is 2.6% below its 200-day average, so its 12.5% slot is cash."},{"ticker":"GGLL","text":"out of GGLL: 12.5% to 0.0%. GOOGL is 17.8% below its 200-day average, so its 12.5% slot is cash."},{"ticker":"TSLL","text":"into TSLL: 0.0% to 12.5%. TSLA is 3.8% above its 200-day average."}]},{"slug":"single-stock-2x-momentum","name":"Single-stock leveraged momentum","signalDate":"2026-10-30","effective":"2026-10-31","moves":[{"ticker":"AAPU","text":"into AAPU: 0.0% to 33.3%. ranked 2 of 8 on 6-month return (+27.2%)."},{"ticker":"FBL","text":"out of FBL: 33.3% to 0.0%."},{"ticker":"NVDL","text":"out of NVDL: 33.3% to 0.0%."},{"ticker":"TSLL","text":"into TSLL: 0.0% to 33.3%. ranked 3 of 8 on 6-month return (+4.8%)."}]},{"slug":"volatility-capped-leverage","name":"Volatility-capped leverage","signalDate":"2026-10-30","effective":"2026-10-31","moves":[{"ticker":"AAPU","text":"out of AAPU: 12.5% to 9.2%. the mix swung 47.5% a year over 21 days against a cap of 35%, so each fund holds 9.2%."},{"ticker":"AMZU","text":"out of AMZU: 12.5% to 9.2%. the mix swung 47.5% a year over 21 days against a cap of 35%, so each fund holds 9.2%."},{"ticker":"AVL","text":"out of AVL: 12.5% to 9.2%. the mix swung 47.5% a year over 21 days against a cap of 35%, so each fund holds 9.2%."},{"ticker":"FBL","text":"out of FBL: 12.5% to 9.2%. the mix swung 47.5% a year over 21 days against a cap of 35%, so each fund holds 9.2%."},{"ticker":"GGLL","text":"out of GGLL: 12.5% to 9.2%. the mix swung 47.5% a year over 21 days against a cap of 35%, so each fund holds 9.2%."},{"ticker":"MSFU","text":"out of MSFU: 12.5% to 9.2%. the mix swung 47.5% a year over 21 days against a cap of 35%, so each fund holds 9.2%."},{"ticker":"NVDL","text":"out of NVDL: 12.5% to 9.2%. the mix swung 47.5% a year over 21 days against a cap of 35%, so each fund holds 9.2%."},{"ticker":"TSLL","text":"out of TSLL: 12.5% to 9.2%. the mix swung 47.5% a year over 21 days against a cap of 35%, so each fund holds 9.2%."}]},{"slug":"risk-parity","name":"Risk parity (all-weather)","signalDate":"2026-10-30","effective":"2026-10-31","moves":[{"ticker":"DBC","text":"into DBC: 9.8% to 12.5%. 17.4% volatility over 63 days, so it takes 12.5% of the book."},{"ticker":"GLD","text":"into GLD: 8.5% to 8.9%. 24.7% volatility over 63 days, so it takes 8.9% of the book."},{"ticker":"IEF","text":"out of IEF: 41.1% to 37.6%. 5.8% volatility over 63 days, so it takes 37.6% of the book."},{"ticker":"SPY","text":"into SPY: 19.1% to 20.9%. 10.5% volatility over 63 days, so it takes 20.9% of the book."},{"ticker":"TLT","text":"out of TLT: 21.4% to 20.1%. 10.8% volatility over 63 days, so it takes 20.1% of the book."}]},{"slug":"income-rotation","name":"Income rotation with a return-of-capital guard","signalDate":"2026-10-30","effective":"2026-10-31","moves":[]}]},"failed":[],"secondSourceFindings":[],"groups":["core","countries","2x-shelf","balanced","income"],"rulesSha":"ba68a51606b72a66"}