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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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Ticker	Weight	Beta	Notes
RSST	35%	1	Return-stacked 100% S&P 500 + 100% managed futures (Growth environment engine).
GDE	25%	1.02	Capital-efficient US equity plus gold futures overlay (Inflation hedge).
RSSB	20%	0.8	Return-stacked global stocks + US Treasury bond overlay (Recession ballast).
CLSE	15%	0.6	US long/short equity (choppy/sideways environment sleeve).
ZROZ	5%	-0.35	25+ 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

+11.79%

Portfolio

+13.23%

SPY (benchmark)

-1.44%

Excess α vs SPY

-12.30%

Max drawdown

-8.88%

SPY max DD

0.40

Sharpe

0.55

Sortino

Portfolio score: B

Alpha score: B

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%

PortfolioSPY

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 × KMLM as 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 × GLD as 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 × AGG as 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.

Macro regimes5 environments

Growth

RSST: 100% S&P 500 plus 100% managed futures, the growth engine.

35%

Inflation

GDE: capital-efficient US equity plus a gold overlay, the inflation hedge.

25%

Recession

RSSB: global stocks plus a US Treasury overlay, the recession ballast.

20%

Sideways Chop

CLSE: US long/short equity for mean-reverting, range-bound tapes.

15%

Deflation

ZROZ: 25+ year zero-coupon Treasuries, the deflation ballast.