Risk-Adjusted Momentum

Tear Sheet

Decision Log

1. Aug 25, 2026, 4:17 PM EDT

   Cash 10%Treasuries 0%Equities 37%Commodities 53%

   Commodities take the largest share (53%) as DBC's 3.21% trailing return against a 1.42% stdev generates the top score (2.253), reflecting the strongest risk-adjusted trend among the three sleeves. Equities follow at 37% with a still-solid but lower score (1.570) from a 1.28% return over 0.82% stdev. Treasuries stay at zero since TLT's -1.53% return combined with 0.77% stdev produces a negative score (-1.987), disqualifying it under this long-only momentum formula regardless of the recent pullback in yields. The remaining 10% cash is simply the normalization residual after proportionally weighting the two positive-score sleeves, not a tactical defensive call.

2. Aug 24, 2026, 4:18 PM EDT

   Cash 10%Treasuries 0%Equities 30%Commodities 60%

   Commodities keep the top slot at 60% as DBC's 4.10% trailing return over a 1.41% stdev generates the highest score (2.920), continuing the multi-day trend of strong risk-adjusted commodity momentum. Equities hold 30% on a still-positive but comparatively modest score (1.445) from a 1.18% return against 0.82% stdev — decelerating versus prior sessions' readings above 2.0. Treasuries remain at zero: TLT's -2.58% trailing return against 0.74% stdev produces a firmly negative score (-3.487), disqualifying it outright under this long-only formula regardless of yields easing. The 10% cash is simply the normalization residual left after sizing the two positive-score sleeves proportionally, not a deliberate defensive tilt.

3. Aug 21, 2026, 4:17 PM EDT

   Cash 10%Treasuries 0%Equities 37%Commodities 53%

   Commodities take the largest slice at 53% because DBC's strong 6.00% trailing return relative to a 1.63% stdev produces the highest score (3.687), edging out equities' 2.05%/0.81% profile (score 2.525) at 37%. Treasuries stay at zero since TLT's -2.68% return combined with 0.74% stdev yields a decisively negative score (-3.630), disqualifying it under this long-only momentum formula regardless of its comparatively low volatility. The remaining 10% cash is simply the normalization residual after weighting the two positive-score sleeves, not a cautious overlay — consistent with the sharp VIX drop and broad equity/commodity strength (oil rally, gold/silver bid) seen in today's tape.

4. Aug 20, 2026, 4:18 PM EDT

   Cash 10%Treasuries 0%Equities 43%Commodities 47%

   Commodities lead the allocation at 47% because DBC's 3.60% trailing return against 1.64% stdev produces the highest score (2.196), narrowly ahead of equities' 2.006 score (1.62% return, 0.81% stdev) at 43%. Treasuries remain at zero since TLT's -2.11% return combined with 0.74% stdev yields a decisively negative score (-2.865), disqualifying it under this long-only, momentum-only formula regardless of its lower volatility. The remaining 10% cash is simply the normalization residual after weighting the two positive-score sleeves, not a defensive call — though it's worth noting the broader tape (VIX up 7.25%, most major indices down 1D) is consistent with the risk-off tone reflected in treasuries' weak momentum reading.”}}}}```}]}}] End.

5. Aug 19, 2026, 4:18 PM EDT

   Cash 10%Treasuries 0%Equities 82%Commodities 8%

   Equities again dominate at 82% because their 3.14% trailing return against just 0.83% daily stdev yields the strongest risk-adjusted score (3.763) of the three sleeves. Commodities earn a small 8% slice since their 0.62% return over 1.65% stdev still nets a positive but weak score (0.377), reflecting choppier, less trustworthy momentum. Treasuries stay at zero because a negative 1.96% trailing return combined with 0.71% volatility produces a decisively negative score (-2.746), and this long-only formula never allocates to downtrends. The remaining 10% cash is simply the normalization residual left after weighting the two positive-score sleeves, not a defensive tilt.

6. Aug 13, 2026, 4:11 AM EDT

   Cash 10%Treasuries 0%Equities 90%Commodities 0%

   Equities score the only positive risk-adjusted momentum reading (5.317), driven by a solid 4.59% trailing 60-session return against a modest 0.86% daily stdev, so the formula assigns it the dominant 90% weight. Treasuries (-3.298) and commodities (-2.072) both show negative trailing returns combined with meaningfully higher volatility (0.56% and 1.67% stdev respectively), pushing their scores negative and thus to a hard-zero allocation under this long-only approach. The residual 10% sits in cash simply because equities' score, while strongly positive, doesn't scale to fully absorb 100% of the formula's normalization — not a signal of caution about equities themselves.