For educational purposes only. Nothing on this site constitutes investment advice. Disclaimers

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S&P 500 + Macro Stack

Concentrated U.S. leveraged beta blended with Canadian macro, return-stacked, and arbitrage diversifiers.

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TickerWeightBetaNotes
SSO35%22x daily S&P 500 exposure for high-conviction U.S. beta.
RSSY10%1Return-stacked equity + managed futures sleeve.
MATE10%1.6Equity plus managed-futures stack (CAD-converted in chart pipeline).
DGLM.TO10%0.35Systematic global macro alternatives sleeve.
RGBM.TO10%0.85Return-stacked global balanced + macro sleeve.
ARB.TO25%0.05Event-driven merger/SPAC arbitrage diversifier.

Weighted portfolio beta (approx.): 1.09

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Total return (CAD vs SPY)

Range
+32.47%
Portfolio
+23.01%
SPY (benchmark)
+9.46%
Excess α vs SPY
-5.37%
Max drawdown
-9.41%
SPY max DD
2.41
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.
3.51
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: A

Alpha score: A

Max DD score: A+

Beta score: B

Beta: 1.09

Net leverage:

Total: 165.0%

Gross longs: 95.0%

Gross shorts: 0.0%

Gross alpha & alts: 70.0%

Portfolio weights:

SSO: 35%

RSSY: 10%

MATE: 10%

DGLM.TO: 10%

RGBM.TO: 10%

ARB.TO: 25%

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

MATE: total-return path multiplies daily returns of RSST. Pre-inception path deducts ~4%/yr wholesale financing on 1.00× incremental notional (gross ~200% vs 100% cash).

DGLM.TO: before September 22, 2025, DGLM.TO is proxied by DBMF daily returns.

RGBM.TO's inception date of 2025-02-06 is limiting the backtest.