Portfolio Composite
The whole is greater than its parts
Launch Portfolio Sharpe
2.36
6 core engines, regime-weighted
In-House Portfolio Sharpe
4.69
All 11 engines active
Why weak legs make the portfolio stronger
A strategy with a Sharpe ratio of 0.50 sounds unimpressive on its own. But portfolio math does not work the way intuition suggests. When a Sharpe 0.50 strategy has zero correlation to the rest of the portfolio, adding it improves the overall Sharpe ratio. This is not opinion. It is arithmetic.
The formula is simple: portfolio Sharpe improves any time you add a positive-Sharpe strategy whose correlation to the existing portfolio is below a specific threshold. For uncorrelated strategies, that threshold is effectively 1.0 — meaning any positive-Sharpe, uncorrelated strategy always helps.
This is why our Shield leg (Sharpe 0.50) and Echo leg (Sharpe 0.52) exist. Their standalone numbers are modest. Their portfolio contribution is real and measurable.
Core Engines
Six engines that anchor the portfolio
Core Engine #1 Live
Sentinel
Rotates capital between equities, bonds, and gold based on VIX regime signals. The foundational allocation engine that determines where capital sits at any given moment. Formerly: Sentinel Strategy.
Core Engine #2 Live
Harvest
Concentrated mega-cap equity positions with VIX-based regime timing. Steps entirely to gold during periods of uncertainty. The highest-Sharpe core engine. Formerly: Harvest.
Caveat: The 59% CAGR reflects concentrated mega-cap positions during the strongest tech bull run in history (11yr backtest). Forward expectation is 25-30% as mega-cap concentration normalizes. PSR: 99.98%.
Core Engine #3 Live
Meridian
Machine learning-optimized allocation between equities and gold. Adapts to changing market conditions. The most consistent performer across environments. Formerly: Meridian.
Core Engine #4 Live
Navigator
Sector rotation driven by macroeconomic regime classification. Near-zero market beta. Walk-forward validated across three independent periods, including a true holdout test. Formerly: Navigator.
Walk-Forward
P1: 0.61 / P2: 1.36 / P3: 1.06
Core Engine #5 Deploying
Carry
Captures funding rate premiums through hedged BTC positions. Delta-neutral by construction. Active only during bull regimes; the system goes flat when conditions shift. Formerly: BTC Funding Carry.
Filtered strategy: only active during bull regime. Goes completely flat during bear conditions. CAGR reflects bull-period performance only. Zero equity beta by design.
Core Engine #6 Deploying
Shield
Crisis hedge, not a return engine. The value of CTA is its negative beta to equities: when the portfolio's equity-linked engines face drawdowns, Shield tends to gain. This is the insurance leg.
Sharpe 0.50 is modest. Shield exists for its -0.52 beta to equities, not its standalone returns. In a crisis, this leg pays for itself many times over.
Factory Engines
Five algorithmically discovered strategies
These five engines were discovered by our automated research pipeline, which scans thousands of configurations across markets, timeframes, and signal types. Each passed walk-forward validation and contributes low correlation to the core engines.
Factory #1 Live
Vector
Algorithmic trend detection in technology equities. Factory-generated from pattern scans across 4,784 equities. Zero correlation to the core engines. Formerly: Vector.
Factory #2 Live
Crosswind
Cross-sector momentum across commodity ETFs. Factory-generated. Captures commodity supercycle moves and mean reversion within sectors. Formerly: Crosswind.
Watches
Commodity sector momentum
Factory #3 Deploying
Echo
Captures post-earnings announcement drift. When a company reports earnings that surprise the market, the stock tends to continue drifting in the direction of the surprise. Academic edge, modest but persistent.
Watches
Earnings surprises
Sharpe 0.52 and 4.2% CAGR are modest numbers. Echo exists because its correlation to every other engine is near zero. See the portfolio math section above.
Factory #4 Deploying
Spring
Dynamic mean reversion in equities. Buys oversold conditions, sells overbought. Factory-generated with adaptive thresholds that respond to volatility regime.
Watches
Price deviation from moving averages
Adapts To
Volatility regime
Signal Filter Overlay
Lens
Not a standalone strategy. Scores 500+ companies per quarter by analyzing CEO earnings call language for signals of adaptation, conviction, and creative thinking. Used as a filter to sharpen the equity engines.
Coverage
500+ companies / quarter
Not every engine is a star. Some are workhorses. Some are hedges. Some are filters. The portfolio does not need every part to be exceptional. It needs every part to be honest, independent, and doing its job.
See all 49 strategies — The Full Scoreboard →