Risk-Adjusted Momentum

Tear Sheet

Decision Log

1. Oct 9, 2026, 4:27 PM EDT

   Cash 10%Treasuries 0%Equities 25%Commodities 65%

   Commodities dominate at 65% because DBC's 15.78% trailing return against a moderate 1.01% stdev produces the top risk-adjusted score (15.575), the strongest trend-to-risk ratio of the three sleeves. Equities get a proportionally smaller 25% as ^GSPC's 3.69% return over a lower 0.61% stdev still scores positive (6.034) but is far weaker than commodities' momentum. Treasuries remain at 0% since TLT's -7.03% trailing return produces a deeply negative score (-10.262) despite low volatility — the long-only formula zeroes out any negative-score sleeve regardless of how calm its price action looks. The 10% cash is simply the residual left after scaling the two positive-score sleeves by their relative strength, not a discretionary defensive move.

2. Oct 8, 2026, 4:48 PM EDT

   Cash 10%Treasuries 0%Equities 21%Commodities 69%

   Commodities get the largest weight (69%) because DBC posted a strong 14.36% trailing return against a moderate 1.06% stdev, yielding the highest risk-adjusted score of 13.598 — consistent with oil-driven geopolitical headlines and tariff-linked inflation pressure. Equities earn a modest 21% as ^GSPC's 2.55% return over low 0.62% volatility produces a positive but far smaller score of 4.082, reflecting the choppier, tech-led selloff tone in the news. Treasuries are excluded entirely since TLT's -7.19% trailing return against rising yields generates a deeply negative score (-10.512), and the long-only formula zeroes out any negative-score sleeve. The remaining 10% sits in cash simply as the residual once the two positive-score sleeves are scaled by their relative strength, not as a discretionary hedge.