A catalogue across the risk spectrum. Fixed-weight strategies rebalance quarterly. The dynamic ones rotate books on signals: Regime Rotation v0 (SPY vs its 40-week MA), and the Macro Rotation family — the same 5-signal brain (trend + curve + inflation + home prices + whales, only 5/5 = Risk-On) at three risk levels: Defensive (55% book + 45% AGG sleeve), v3 — the strategy the desk actually runs, and Aggressive (70% book + 30% permanent QQQ). Growth of $1, log scale, dividends reinvested.
| Strategy | CAGR | Net@10bp | Vol | Sharpe | xSharpe | Max DD | Worst 12m | Underwater | Turnover | $1 → |
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Reading it: All curves in a window start on the same date (strategies warm up on prior history). CAGR is gross; Net@10bp charges 10 bps per one-way dollar traded — the honest number for the rotation strategies. xSharpe is the Sharpe ratio on returns in excess of rolling 3-month T-bills (zero-rate Sharpe flatters everyone when cash yields 4%). Turnover = dollars bought + sold (two-way) per $1 over the window. Sharpe = return per unit of risk (higher is better); “Underwater” = longest stretch below a previous peak. The 2007 window includes the global financial crisis — the honest stress test. The 2015 window exists because Bitcoin has no earlier price history; BTC strategies are absent from 2007 for that reason, and their 2015-era numbers ride the greatest bull run Bitcoin may ever have — discount accordingly. Sharpe uses 0% risk-free rate. Nominal returns, no taxes, fees, or slippage. The 1989 window uses spliced histories (S&P 500 ← ^GSPC, QQQ ← ^NDX indexes, bonds ← Vanguard fund NAVs): indexes are price-only before the ETFs exist (equity returns understated ~1.5-2pp in that era) and the gold sleeve is replaced by long treasuries before GLD's 2004 inception — only strategies with full proxy coverage are shown there.