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Return Stacked - 5:4:3:2:1

Five return-stacked ETFs mapped one-to-one to macro regimes: Growth, Inflation, Recession, Mean-reversion, and Deflation.

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TickerWeightBetaNotes
RSST35%1Return-stacked 100% S&P 500 + 100% managed futures (Growth environment engine).
GDE25%1.02Capital-efficient US equity plus gold futures overlay (Inflation hedge).
RSSB20%0.8Return-stacked global stocks + US Treasury bond overlay (Recession ballast).
CLSE15%0.6US long/short equity (choppy/sideways environment sleeve).
ZROZ5%-0.3525+ year zero-coupon Treasuries — extreme duration hyper-ballast (deflation spike).

Weighted portfolio beta (approx.): 0.84

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Total return (vs SPY)

Range
+40.22%
Portfolio
+25.67%
SPY (benchmark)
+14.55%
Excess α vs SPY
-12.30%
Max drawdown
-8.88%
SPY max DD
1.94
Sharpe
Excess return above the 4.5% risk-free rate divided by annualised volatility. Above 1.0 is good; above 2.0 is excellent. SPY typically scores around 0.5–0.8.
2.75
Sortino
Excess return above the 4.5% risk-free rate divided by annualised downside deviation (penalises losses only). Above 1.5 is good; above 3.0 is excellent.
PortfolioSPY
Portfolio score: B+

Alpha score: A+

Max DD score: C

Beta score: B+

Beta: 0.84

Net leverage:

Total: 164.0%

Gross longs: 91.5%

Gross shorts: 7.5%

Gross alpha & alts: 80.0%

Portfolio weights:

RSST: 35%

GDE: 25%

RSSB: 20%

CLSE: 15%

ZROZ: 5%

Educational model only — not investment advice. Portfolio betas in the holdings table are weighted to the listed names and weights.

RSST: methodology lists SPY × DBMF × KMLMas Yahoo proxies for joint history before live listing when calendar overlap allows. In this chart's Yahoo range there was no separate pre-listing window to splice—line shows the fund's reported adjusted closes only.

GDE: methodology lists SPY × GLDas Yahoo proxies for joint history before live listing when calendar overlap allows. In this chart's Yahoo range there was no separate pre-listing window to splice—line shows the fund's reported adjusted closes only.

RSSB: methodology lists VT × AGGas Yahoo proxies for joint history before live listing when calendar overlap allows. In this chart's Yahoo range there was no separate pre-listing window to splice—line shows the fund's reported adjusted closes only.

CLSE's inception date of 2022-02-22 is limiting the backtest.