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60/40 Alpha Stack

Unleveraged equity paired with long/short and trend diversifiers, built for lower drawdown than a traditional 60/40 without giving up return.

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TickerWeightBetaNotes
MATE20%1Return-stacked 100% S&P 500 + 100% managed futures, the growth engine and trend-following alpha in one fund.
VFLO15%0.75Large-cap free-cash-flow value tilt, an unleveraged equity growth sleeve with a shallower drawdown than pure momentum or deep-value funds.
CLSE15%0.6US long/short equity, security selection and dispersion with a lower-net-correlation drawdown buffer.
ORR15%0.55Militia global long/short equity, fundamental stock selection across regions.
DBMF10%0.05iMGP diversified trend-following managed futures, flat-to-positive in sustained equity drawdowns.
FLSP10%0Systematic long/short equity and style premia, value, carry, and momentum harvested market-neutral.
MRGR15%0.05Merger arbitrage, a shallow-drawdown event-driven diversifier with a long track record since 2013.

Weighted portfolio beta (approx.): 0.50

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Total return (vs AOR)

Range
+28.46%
Portfolio
+11.54%
AOR (benchmark)
+16.92%
Excess α vs AOR
-5.39%
Max drawdown
-6.64%
AOR max DD
2.46
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.
3.67
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.
Portfolio score: A

Alpha score: A+

Max DD score: B+

Beta score: A+

Beta: 0.50

Net leverage:

Total: 96.5%

Gross longs: 74.0%

Gross shorts: 22.5%

Gross alpha & alts: 45.0%

Portfolio weights:

MATE: 20%

VFLO: 15%

CLSE: 15%

ORR: 15%

DBMF: 10%

FLSP: 10%

MRGR: 15%

PortfolioAOR

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).

VFLO: methodology lists COWZ × GARPas 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.

ORR: methodology lists CLSE × AVDV × IWMas 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.

Growthshared core
Managed futures
Alpha: managed futures (trend) (MATE, DBMF)Growth: S&P 500 (MATE)
30%
InflationRecession
Deflation
Long/short
Alpha: long/short equity (CLSE, ORR)
30%
Sideways Chop
Factor
Alpha: equity factor (momentum, value) (VFLO)Growth: US large-cap (VFLO)
15%
Inflation
Unclassified (MRGR)
15%
Premia/carry
Alpha: systematic premia / carry (FLSP)
10%
Inflation
Sideways Chop