Current macro season

Summer, but conviction is low.

The point-in-time growth, inflation and liquidity readings produce a broad probability mix. The model therefore blends all four season portfolios instead of treating the modal label as a certain forecast.

Spring25.5%

Summer30.7%

Fall24.0%

Winter19.8%

August 2026 long-only positioning

Summer

Current emphasis: cyclicals, commodities and equities, with risk gates still active.

Signal date July 31, 2026

How the seasons are defined

Growth and inflation define the four quadrants. Liquidity affects probabilities and risk intensity; it does not silently redefine the labels. Historical examples are illustrative episodes, not training labels.

Spring

RecoveryGrowth up, inflation cooling

Broad stocks, tech, corporate credit, housinge.g. 2003, 2023

Summer

BoomGrowth up, inflation heating

Energy, industrials, commodities, emerging marketse.g. 2006-07, 2021

Fall

StagflationGrowth down, inflation heating

Gold, commodities, inflation-linked bonds, cashe.g. early 2008, 2022

Winter

DownturnGrowth down, inflation cooling

Treasury bonds, defensive stocks, golde.g. 2001-02, 2008, 2020

Signals and source data

Growth: point-in-time industrial production, payrolls and jobless claims, confirmed by market growth/risk proxies. Inflation: point-in-time CPI, breakevens and oil. Liquidity: point-in-time M2 plus Fed liquidity, financial conditions and credit spreads. Monthly macro series use FRED/ALFRED release vintages; ETF prices come from Yahoo Finance. Each pillar uses trailing transformations calculated only with observations available on that decision date.

Long Only and L/S Portfolio

26.6 years · monthly

Long-only season portfolio

CAGR5.6%

Excess Sharpe0.79

Max loss-5.5%

Calmar1.02

L/S portfolio

CAGR9.2%

Excess Sharpe0.82

Max loss-12.4%

Calmar0.75

Long-only season portfolio

The exact investable ETF mix shown below. It blends the four season allocations, then applies real-rate, credit, momentum, trend and volatility controls. Weights sum to 100%.

L/S portfolio

A separate strategy: 30.0% levered core, 31.1% levered long-only and 38.9% long/short trend sleeve, followed by a 1.46x portfolio risk scale. Its physical, costed IBKR implementation is reported separately below.

Input freshness49/49 PASS

ALFRED vintages4/4 PASS

Data integrity

Every monthly run refreshes the required FRED and Yahoo data. CPI, industrial production, payrolls and M2 are reconstructed from the latest ALFRED vintage available at each historical month-end.

Growth of $1

Log scale · historical point-in-time simulation after modeled trading costs

L/S portfolioLong-only season portfolioS&P 50060/40

SpringSummerFallWinter

Benchmark results

S&P 500: CAGR 8.2%, excess Sharpe 0.40, max loss -50.8%. 60/40 SPY/AGG: CAGR 6.7%, excess Sharpe 0.49, max loss -32.3%.

Long-only allocation for August 2026

BILT-Bills

40.81%

HYGHigh-yield credit

6.06%

XLEEnergy

5.81%

DBCBroad commodities

5.63%

IWMSmall caps

5.59%

SPYS&P 500

5.24%

QQQNasdaq 100

3.70%

EEMEmerging markets

3.55%

SHY1-3y Treasuries

3.37%

XLIIndustrials

3.31%

VLUEValue stocks

3.30%

XLBMaterials

2.95%

XLPConsumer staples

2.35%

XLVHealthcare

2.24%

SMHSemiconductors

2.18%

UUPUS dollar

1.43%

CPERCopper

1.38%

USMVMin-volatility stocks

1.11%

L/S allocation for August 2026

Gross exposure166.3%

Net exposure120.1%

Gross shorts23.1%

Economic cash / borrow-20.1%

Margin debit43.2%

Short collateral23.5%

HYGHigh-yield credit

LONG+23.00%

SPYS&P 500

LONG+11.81%

UUPUS dollar

LONG+11.51%

DBCBroad commodities

LONG+11.26%

IWMSmall caps

LONG+10.22%

EEMEmerging markets

LONG+8.48%

QQQNasdaq 100

LONG+8.34%

GLDGold

LONG+7.92%

XLEEnergy

LONG+7.29%

TIPInflation-linked bonds

LONG+5.74%

EFAInternational developed

LONG+5.38%

SHY1-3y Treasuries

LONG+4.93%

XLIIndustrials

LONG+4.18%

VLUEValue stocks

LONG+4.02%

XLBMaterials

LONG+3.96%

XLPConsumer staples

LONG+3.26%

XLVHealthcare

LONG+2.93%

SMHSemiconductors

LONG+2.63%

CPERCopper

LONG+1.82%

USMVMin-volatility stocks

LONG+1.57%

LQDIG credit

LONG+1.41%

XHBHomebuilders

LONG+0.90%

XLUUtilities

LONG+0.64%

TLT20y+ Treasuries

SHORT-3.42%

FXYJapanese yen

SHORT-6.09%

IEF7-10y Treasuries

SHORT-6.35%

FXFSwiss franc

SHORT-7.21%

USD_CASHUSD cash balance

BORROW-20.13%

Costed CAGR7.79%2007–2026 executable window

Trading10.9 bp/yrcommission, regulatory fees and 1 bp slippage

Margin financing79.6 bp/yrbenchmark plus IBKR tiers

Net short carry7.5 bp/yr17.5 borrow less 10.0 proceeds credit

IBKR segregates short-sale proceeds. The -20.1% economic cash balance therefore consists of a 43.2% margin debit and 23.5% of marked short collateral. The simulation assumes Portfolio Margin. The 16.9% Reg T-equivalent buffer is shown for reference; the full allocation still has to pass IBKR's live Check Margin with at least a 20% projected cushion. Over 2007–2026, the return-level L/S series earned 8.95%. The holdings-based simulation earned 8.56% before IBKR costs and 7.79% after commissions, regulatory fees, slippage, margin interest, stock borrow and interest on short proceeds. After-cost volatility was 8.12%, and maximum drawdown was -11.93%. Futures roll cost is 0.0 bp because the current portfolio holds ETFs, not futures.

Exact TSMOM long and short sleeve

The unaggregated trend sleeve is 145.0% gross and +43.3% net before its ensemble weight. A positive position means the ETF beat BIL over the trailing 12 months; a negative position means it lagged BIL.

Ticker	Side	12m excess	36m vol	Sleeve weight
HYG	LONG	+1.0%	4.5%	+25.60%
UUP	LONG	+0.6%	6.9%	+16.84%
EFA	LONG	+21.0%	12.2%	+9.49%
SPY	LONG	+15.7%	12.9%	+8.96%
EEM	LONG	+30.8%	15.9%	+7.27%
DBC	LONG	+31.8%	16.0%	+7.19%
QQQ	LONG	+18.5%	17.6%	+6.57%
GLD	LONG	+18.8%	18.0%	+6.42%
IWM	LONG	+30.3%	19.8%	+5.84%
TLT	SHORT	-4.9%	13.8%	-8.34%
FXY	SHORT	-9.4%	10.1%	-11.44%
FXF	SHORT	-3.8%	8.6%	-13.44%
IEF	SHORT	-2.0%	6.6%	-17.61%

IBKR assumptions, limits and downloadable artifacts

IBKR Pro Fixed: USD 0.005/share, USD 1 minimum and 1% order-value cap, plus published US regulatory fees. Positive free USD cash: benchmark minus 0.50%, with no interest on the first USD 10,000. Long financing: published benchmark-plus tiers starting at +1.50%. Short collateral is marked at 102%; the first USD 100,000 earns no proceeds interest and higher tiers earn benchmark minus the published spread. Historical borrow data is unavailable, so every liquid ETF short is conservatively charged 1.00% annually and must pass a live SLB check before trading. Hard limits: 175% gross, 150% net, 35% gross shorts, 25% per non-cash ETF and 50% maximum margin debit. Portfolio Margin is risk-based and broker-calculated; no public static formula can replace its live whole-book margin preview. positions CSV · TSMOM CSV · performance CSV · current month CSV · PM check CSV · assumptions CSV.

Monthly returns from 2007

August MTD through Aug 20 close

Long-only portfolio · percent per month after costs · average completed calendar year +5.4% · S&P column shown for context

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	YTD	S&P
2007	0.9	0.5	0.5	2.2	1.5	-0.6	-0.6	0.7	2.3	1.9	0.5	0.9	+11.1	+5.1
2008	0.4	1.1	-0.9	-1.0	0.5	0.3	-2.2	-0.8	-0.4	-1.1	4.0	3.4	+3.1	-36.8
2009	-2.8	-0.6	0.9	-1.5	1.8	-1.1	2.9	0.6	2.3	-0.2	3.7	-0.1	+5.8	+26.4
2010	-1.7	1.3	1.8	1.6	-2.8	-0.9	-0.1	0.1	0.4	1.3	-0.2	2.8	+3.7	+15.1
2011	0.6	2.4	1.3	2.6	-1.7	-1.4	0.9	-0.7	-1.3	0.1	0.2	0.0	+2.8	+1.9
2012	0.8	1.4	0.2	0.0	-3.0	0.6	0.9	0.8	0.9	-0.8	0.3	0.2	+2.3	+16.0
2013	2.1	0.0	1.7	0.9	-0.0	-1.0	2.4	-1.2	1.8	1.9	1.2	1.4	+11.7	+32.3
2014	-2.0	2.6	-0.1	0.3	1.4	1.7	-1.9	1.9	-2.1	1.0	1.4	0.0	+4.3	+13.5
2015	0.2	1.4	-0.4	-0.3	0.6	-1.0	0.3	-1.3	0.1	-0.1	-0.0	-0.2	-0.7	+1.2
2016	-0.5	0.5	0.6	0.7	-0.5	2.2	1.4	-0.3	0.6	-1.5	1.3	0.7	+5.3	+12.0
2017	0.9	1.0	-0.1	0.4	0.6	0.1	1.1	0.8	0.5	1.0	1.0	1.1	+8.8	+21.7
2018	2.3	-2.6	-0.5	0.2	1.0	-0.1	0.5	0.8	0.1	-3.0	0.6	-1.0	-1.8	-4.6
2019	0.5	0.2	1.4	0.8	-1.3	1.6	0.4	1.5	0.0	0.9	0.7	1.3	+8.3	+31.2
2020	-0.7	-2.6	0.0	0.8	0.3	0.3	2.2	0.8	-1.4	-0.4	2.4	1.8	+3.6	+18.3
2021	0.5	3.0	1.4	1.6	1.4	-0.1	-0.3	0.1	-0.9	2.6	-1.3	1.9	+10.2	+28.7
2022	0.1	0.7	1.4	-0.7	0.7	-1.3	0.3	-0.1	-0.2	0.1	0.5	-0.6	+0.8	-18.2
2023	0.6	-2.0	1.3	0.6	-1.1	0.8	1.2	-0.9	-1.6	-0.4	0.9	2.5	+1.9	+26.2
2024	-0.1	1.7	2.9	-1.4	2.1	0.6	2.3	1.2	1.7	-1.2	2.0	-3.0	+9.0	+24.9
2025	1.6	0.3	0.8	-0.7	0.2	1.8	0.4	1.8	2.5	1.5	0.9	0.2	+11.8	+17.7
2026	3.3	2.5	-2.5	2.4	0.7	-1.2	0.4	1.9	–	–	–	–	+7.7	+12.4

L/S portfolio after modeled IBKR costs · average completed calendar year +7.6% · S&P column shown for context

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	YTD	S&P
2007	1.6	-0.2	0.8	3.1	2.1	-1.6	-1.8	1.1	5.0	3.9	-0.5	1.4	+15.7	+5.1
2008	0.2	3.6	-0.8	-2.7	0.5	1.2	-4.1	-2.0	-0.7	-3.8	7.3	4.8	+2.9	-36.8
2009	-3.5	-1.0	0.7	-2.7	1.4	-1.4	3.0	0.7	2.7	-0.3	5.9	-0.3	+4.8	+26.4
2010	-3.0	1.9	2.6	2.0	-4.5	-1.2	1.6	0.2	2.7	2.0	-0.9	3.9	+7.3	+15.1
2011	0.6	4.1	1.9	5.2	-2.1	-2.0	2.1	-1.1	-6.3	2.4	-0.1	-0.1	+4.2	+1.9
2012	2.8	1.2	-0.0	0.9	-2.0	0.4	2.0	0.9	0.6	-1.6	1.1	1.1	+7.5	+16.0
2013	3.4	-0.3	2.9	2.1	-0.3	-2.0	4.3	-2.2	3.5	3.3	2.5	2.8	+21.8	+32.3
2014	-3.6	4.2	-0.3	0.1	1.5	2.8	-3.1	3.9	-3.8	3.2	3.0	1.4	+9.3	+13.5
2015	0.7	2.4	0.0	-1.2	1.3	-2.7	1.9	-3.6	-0.3	1.3	1.3	-1.3	-0.3	+1.2
2016	-0.6	-0.1	-0.5	1.2	-1.0	4.1	2.4	-0.5	1.1	-3.1	1.4	1.4	+5.7	+12.0
2017	2.1	2.2	-0.2	0.6	0.8	0.1	2.2	0.8	1.4	2.2	1.8	1.9	+17.2	+21.7
2018	3.9	-4.7	-1.1	-0.2	1.4	-1.1	1.9	1.0	0.7	-6.5	0.1	-2.1	-6.8	-4.6
2019	-1.0	0.2	2.7	1.5	-2.6	3.2	1.0	3.4	-0.5	0.9	1.2	2.2	+12.8	+31.2
2020	-1.0	-4.4	-3.0	2.1	-0.0	0.4	3.4	1.2	-3.0	-0.8	4.8	4.3	+3.4	+18.3
2021	-0.1	2.6	1.1	2.5	2.1	-0.6	-0.6	0.5	-0.4	2.3	-1.7	2.6	+10.5	+28.7
2022	-0.2	0.2	3.1	-0.4	0.2	-0.3	-0.7	0.7	0.0	0.6	-0.6	-1.4	+1.1	-18.2
2023	1.3	-2.8	1.8	0.7	-1.8	1.3	2.0	-2.2	-3.7	-1.2	3.0	3.9	+2.0	+26.2
2024	-0.7	2.4	4.4	-2.1	3.1	0.8	2.8	1.1	2.7	-2.8	3.2	-3.9	+11.3	+24.9
2025	2.3	-0.6	-0.5	-1.1	1.2	3.2	-1.1	2.4	4.3	2.0	1.3	0.8	+15.0	+17.7
2026	5.5	3.4	-4.8	7.1	1.7	-1.9	0.3	3.8	–	–	–	–	+15.6	+12.4