CPM Strategy Dashboard

Final portfolio target 60/15/15/10

SHV	30.0%
SPHQ	20.0%
QQQ	20.0%
VNQ	20.0%
TIP	10.0%

Rebalance trade (vs previous signal)

Ticker	Previous	Target	Trade
SHV	0.0%	30.0%	BUY 30.0pp
DBC	20.0%	0.0%	SELL 20.0pp
VNQ	0.0%	20.0%	BUY 20.0pp
GOOGL	3.0%	0.0%	SELL 3.0pp
WBD	3.0%	0.0%	SELL 3.0pp
MU	3.0%	0.0%	SELL 3.0pp
WMT	3.0%	0.0%	SELL 3.0pp
ROST	3.0%	0.0%	SELL 3.0pp
WDC	3.0%	0.0%	SELL 3.0pp
SNDK	3.0%	0.0%	SELL 3.0pp
STX	3.0%	0.0%	SELL 3.0pp
GILD	3.0%	0.0%	SELL 3.0pp
INTC	3.0%	0.0%	SELL 3.0pp

(3 unchanged positions hidden)

Signal diagnostics (sleeves, selection details)

Cross-asset Parity Momentum (CPM) (60% of capital, regime RISK_ON): risky basket = SPHQ + QQQ + VNQ, safe = SHV

NDX (15% of capital, state GATE_OFF (NDX_defensive)): top-5 = (cash)

VAL (15% of capital, state GATE_OFF (VAL_defensive) -- picks: (none)): picks = (cash/safe)

RPV (10% of capital, state WEIGHTED_GUARDED): holding TIP

NDX + VAL gate model: monthly TIP canary + SPY trend + SPY RV20<RV252. When any gate leg fails, that sleeve allocates 100% best-of-safe (SHV/IEF).

Sleeve-internal weights (sum to 100% of each sleeve)

CPM

SPHQ	33.3%
QQQ	33.3%
VNQ	33.3%

NDX

SHV

100.0%

VAL

SHV

100.0%

RPV

TIP

100.0%

Backtest window of 17.9y (post-cost) comparing the production portfolio against core asset classes and reference benchmarks:

Raw Sharpe

1.59

CAGR

16.47%

Max Drawdown

-8.65%

Calmar Ratio

1.91

Strategy	CAGR	Vol	Raw Sharpe	Excess Sharpe	MaxDD	Ulcer	Calmar	Martin
CPM-NDX-VAL-RPV (60/15/15/10)	16.47%	9.89%	1.59	1.46	-8.65%	2.12%	1.91	7.77
VAL sleeve	20.27%	13.26%	1.46	1.36	-17.45%	6.45%	1.16	3.14
CPM	13.89%	10.61%	1.28	1.16	-10.70%	3.01%	1.30	4.62
Literature blend	10.61%	9.22%	1.14	1.00	-13.18%	2.82%	0.81	3.76
NDX sleeve	26.52%	23.02%	1.14	1.08	-31.77%	8.21%	0.83	3.23
RPV sleeve	8.83%	8.40%	1.05	0.90	-13.42%	3.44%	0.66	2.56
Static 80% PP + 20% QQQ	9.06%	9.07%	1.00	0.85	-22.02%	4.31%	0.41	2.10
QQQ buy-hold	16.54%	22.31%	0.80	0.74	-49.37%	11.91%	0.33	1.39

Period	Sharpe	CAGR	MaxDD	Calmar
1Y	3.33	+55.55%	-5.43%	10.22
3Y	2.07	+25.24%	-6.28%	4.02
5Y	1.75	+17.83%	-6.28%	2.84
10Y	1.76	+18.29%	-8.65%	2.12
Since inception	1.59	+16.47%	-8.65%	1.91

Peak start	Trough	Recovery	Depth	Peak->trough	Trough->recovery	Total duration
2021-02-17	2021-03-08	2021-04-26	-8.65%	19d	49d	68d
2010-04-16	2010-05-20	2010-09-22	-8.51%	34d	125d	159d
2020-09-03	2020-09-08	2020-10-12	-6.84%	5d	34d	39d
2008-12-31	2009-06-22	2009-07-31	-6.58%	173d	39d	212d
2013-05-22	2013-06-24	2013-11-14	-6.50%	33d	143d	176d
2010-01-12	2010-02-08	2010-03-01	-6.42%	27d	21d	48d
2018-01-29	2018-02-08	2018-08-24	-6.40%	10d	197d	207d
2025-02-21	2025-04-08	2025-04-28	-6.28%	46d	20d	66d
2011-02-22	2011-03-16	2011-04-01	-6.19%	22d	16d	38d
2020-03-10	2020-03-18	2020-06-01	-6.13%	8d	75d	83d

Performance profiles of the individual tactical sleeves and the simplified two-sleeve blend (60% CPM + 40% RPV) for baseline reference.

Strategy	CAGR	Vol	Raw Sharpe	Excess Sharpe	MaxDD	Ulcer	Calmar	Martin
CPM-NDX-VAL-RPV 60/15/15/10 (PRODUCTION)	16.47%	9.89%	1.59	1.46	-8.65%	2.12%	1.91	7.77
CPM + RPV 60/40 (two-sleeve)	12.00%	8.16%	1.43	1.27	-7.96%	2.46%	1.51	4.87
Cross-asset Parity Momentum (CPM)	13.89%	10.61%	1.28	1.16	-10.70%	3.01%	1.30	4.62
Cross-asset Parity Momentum (CPM, clean window)	13.89%	10.61%	1.28	--	-10.70%	--	1.30	4.62
RPV (10% weight)	8.83%	8.40%	1.05	0.90	-13.42%	3.44%	0.66	2.56
VAL (15% weight)	20.27%	13.26%	1.46	1.36	-17.45%	6.45%	1.16	3.14
NDX (15% weight)	26.52%	23.02%	1.14	1.08	-31.77%	8.21%	0.83	3.23

Per-sleeve comparators: CPM vs AAA+TIP canary, NDX vs HAA-Simple QQQ, VAL vs HAA-Simple SPY, RPV vs SACEVS value rotation (secondary peer: EW RPV universe). Blend benchmark: 60% AAA+TIP + 15% HAA-Simple QQQ + 15% HAA-Simple SPY + 10% PP. SPY/QQQ buy-hold rows show market-correlation diagnostics (low beta + low corr = portfolio diversifier, not levered equity).

Strategy	Benchmark	Alpha (%/yr)	Beta	Corr
PROD 60/15/15/10	Literature blend	+6.70%	0.861	0.803
PROD 60/15/15/10	Static 80% PP + 20% QQQ (vol-matched)	+10.80%	0.545	0.500
PROD 60/15/15/10	SPY buy-hold	+13.53%	0.173	0.346
PROD 60/15/15/10	QQQ buy-hold	+12.48%	0.184	0.415
CPM sleeve	AAA+TIP canary	+5.80%	0.767	0.766
CPM sleeve	SPY buy-hold	+11.15%	0.189	0.354
NDX sleeve	HAA-Simple QQQ	+16.52%	0.732	0.504
NDX sleeve	QQQ buy-hold	+20.49%	0.321	0.312
VAL sleeve	HAA-Simple SPY	+12.20%	0.618	0.558
VAL sleeve	SPY buy-hold	+17.58%	0.139	0.208
RPV sleeve	SACEVS value rotation (term/credit/equity)	+6.40%	0.295	0.405
RPV sleeve	EW RPV universe	+6.77%	0.344	0.312
RPV sleeve	SPY buy-hold	+7.67%	0.090	0.213

Year	PROD (60/15/15/10)	CPM only	RPV only	NDX only	Literature blend	QQQ	Ex vs Lit blend	Ex vs QQQ
2008	+18.14%	+17.14%	+25.35%	+16.41%	+8.35%	-39.98%	+9.79pp	+58.12pp
2009	+16.66%	+17.30%	+8.39%	+17.52%	+1.86%	+54.68%	+14.79pp	-38.03pp
2010	+20.13%	+18.22%	+20.59%	+16.02%	+11.23%	+20.14%	+8.90pp	-0.01pp
2011	+17.22%	+13.30%	+7.37%	+27.74%	+10.05%	+3.48%	+7.17pp	+13.74pp
2012	+7.96%	+4.31%	+12.45%	+23.49%	+7.39%	+18.11%	+0.57pp	-10.16pp
2013	+14.71%	+18.81%	+29.73%	+4.71%	+9.55%	+36.63%	+5.16pp	-21.92pp
2014	+12.15%	+14.63%	+13.55%	+9.87%	+6.83%	+19.18%	+5.32pp	-7.03pp
2015	+0.60%	+0.97%	-5.56%	+8.91%	-0.37%	+9.44%	+0.96pp	-8.84pp
2016	+15.31%	+8.90%	+12.32%	+33.53%	+5.78%	+7.10%	+9.53pp	+8.21pp
2017	+17.44%	+20.49%	+0.67%	+4.01%	+8.64%	+32.66%	+8.80pp	-15.22pp
2018	+9.47%	+1.10%	+1.72%	+24.86%	+6.52%	-0.13%	+2.96pp	+9.60pp
2019	+13.89%	+13.68%	+14.76%	+14.57%	+13.95%	+38.96%	-0.07pp	-25.08pp
2020	+35.01%	+16.60%	+15.88%	+158.00%	+18.19%	+48.41%	+16.82pp	-13.40pp
2021	+28.68%	+27.53%	+3.58%	+33.84%	+20.69%	+27.42%	+7.99pp	+1.26pp
2022	-0.95%	-1.30%	-4.65%	+0.94%	+2.56%	-32.58%	-3.51pp	+31.63pp
2023	+4.90%	-1.54%	+1.65%	+16.99%	+8.82%	+54.86%	-3.92pp	-49.95pp
2024	+14.55%	+18.20%	+1.38%	+2.63%	+16.82%	+25.58%	-2.27pp	-11.03pp
2025	+30.12%	+25.80%	+4.88%	+45.34%	+22.15%	+20.77%	+7.98pp	+9.35pp
2026	+24.71%	+20.44%	+1.61%	+79.01%	+13.70%	+8.83%	+11.01pp	+15.88pp

Asset Pick Frequency

Asset	Picks	% mo	AvgW	Sharpe	AnnRet	MaxDD
SPHQ	130	60.2%	32.7%	+0.98	+13.1%	-16.6%
GLD	82	38.0%	32.1%	+0.79	+14.6%	-32.1%
QQQ	79	36.6%	32.3%	+1.13	+21.5%	-25.1%
EFA	71	32.9%	32.6%	+1.25	+18.2%	-14.3%
TLT	52	24.1%	31.7%	+0.84	+14.2%	-15.7%
DBC	45	20.8%	32.6%	+0.63	+11.8%	-32.3%
VNQ	37	17.1%	32.4%	+0.65	+11.9%	-17.7%
IEF	32	14.8%	89.1%	+0.94	+8.3%	-8.4%
EEM	26	12.0%	32.1%	+1.48	+30.2%	-16.6%
SHV	20	9.3%	92.5%	+5.74	+1.9%	-0.2%

CPM monthly asset weights

Stacked monthly CPM sleeve allocation across risky assets and safe sleeve.

Peak date	Trough date	Recovery date	Depth	To trough	To recover	CPM contrib (peak->trough)	NDX contrib (peak->trough)	VAL contrib (peak->trough)	RPV contrib (peak->trough)
2010-04-27	2010-05-20	2010-09-28	-9.48%	23d	131d	-5.24%	-2.32%	-2.22%	+0.15%
2021-02-17	2021-03-08	2021-04-23	-8.98%	19d	46d	-2.12%	-5.33%	-1.81%	-0.00%
2010-01-12	2010-02-08	2010-03-02	-7.32%	27d	22d	-5.18%	-1.53%	-0.82%	+0.07%
2020-09-03	2020-09-08	2020-10-12	-7.10%	5d	34d	-2.36%	-3.12%	-1.66%	-0.12%
2008-12-31	2009-06-22	2009-07-31	-6.94%	173d	39d	-3.64%	-1.64%	-1.35%	-0.23%
2013-05-22	2013-06-24	2013-11-14	-6.50%	33d	143d	-5.49%	-0.31%	-0.28%	-0.56%
2018-01-29	2018-02-08	2018-08-24	-6.40%	10d	197d	-5.98%	-0.47%	-0.09%	+0.00%
2025-02-21	2025-04-08	2025-04-28	-6.28%	46d	20d	-6.63%	+0.11%	+0.03%	+0.09%
2011-02-22	2011-03-16	2011-04-01	-6.19%	22d	16d	-2.51%	-2.04%	-1.13%	-0.56%
2009-10-15	2009-10-30	2009-11-10	-6.19%	15d	11d	-4.17%	-2.06%	-0.07%	+0.07%

The same 8 strategies from the canonical headline table evaluated over the extended 1999-2026 backtest window (includes dot-com bubble and pre-2008 market data for long-term stress-testing).

Strategy	CAGR	Vol	Raw Sharpe	Excess Sharpe	MaxDD	Ulcer	Calmar	Martin
CPM-NDX-VAL-RPV (60/15/15/10)	14.97%	9.33%	1.54	1.30	-9.97%	2.38%	1.50	6.29
CPM	14.37%	10.53%	1.33	1.12	-15.22%	3.26%	0.94	4.40
VAL sleeve	15.29%	11.61%	1.28	1.09	-17.45%	5.63%	0.88	2.72
Literature blend	10.08%	8.85%	1.13	0.87	-13.18%	2.70%	0.76	3.73
NDX sleeve	19.94%	19.54%	1.03	0.91	-31.77%	7.17%	0.63	2.78
RPV sleeve	8.30%	8.33%	1.00	0.73	-14.91%	3.49%	0.56	2.38
Static 80% PP + 20% QQQ	8.20%	9.49%	0.88	0.62	-25.10%	6.49%	0.33	1.26
QQQ buy-hold	10.63%	26.93%	0.51	0.42	-82.96%	43.60%	0.13	0.24

Cross-asset Parity Momentum (CPM) (60%): 8-asset risky universe (QQQ, SPHQ, EFA, EEM, VNQ, GLD, TLT, DBC), EAA-style Vol-Adj (Faber/Vol) ranker, positive-trend screen, top-4. CPM risky fraction uses breadth cliff + HYG 13612U credit momentum: breadth gives risky fraction 100% when positive picks = 4, 50% when positive picks = 3, and 0% (100% safe) when positive picks <= 2; HYG 13612U < 0 forces risk-off (0% risky). If positive picks = 4, min-var 3-of-4 selection is used for the risky block; if positive picks = 3, the 3 positive picks are held equal-weighted; the safe fraction is routed to HAA best-of-safe (SHV / IEF) by 13612U.
NDX (15%): Top-5 PIT Nasdaq-100 by raw 13612U momentum (positive only), equal-weight 20.0% each, activated only when TIP 13612U > 0, SPY 13612U > 0, and SPY RV_20d < RV_252d all pass.
VAL (15%): PIT Nasdaq-100 fundamental value+quality stock-picking sleeve. Monthly signal, top-half by QUALITY then cheapest by VALUE, stateful trend band (ENTER > 1.05*SMA10m, HOLD >= 1.00*SMA10m), equal-weight top-5, activated by the same TIP-canary + SPY-trend + SPY-volatility gate as NDX, trade T+1 OPEN (MOO), and route to HAA best-of-safe when gate is off.
RPV (10%) -- 5-premia sequential: Universe SPY, TLT, LQD, HYG, TIP + SHV cash. Monthly 120-month z-scores (term, IG spread, HY spread, equity, real yield), keep only z > 0 and above-200d-SMA assets, fully-invested, z-weighted across survivors (no per-asset cap); 100% SHV only when no premium qualifies.

Cross-asset Parity Momentum (CPM) Sleeve (60%)

Universe (8 assets): 8-asset risky universe (QQQ, SPHQ, EFA, EEM, VNQ, GLD, TLT, DBC).
QQQ, SPHQ, EFA, EEM, VNQ, GLD, TLT, DBC
Safe pool: SHV, IEF (HAA-style best-of-safe by 13612U momentum)
Gate: breadth cliff + HYG 13612U credit-momentum gate (HYG 13612U < 0 forces risk-off).
Ranker: EAA-style Volatility-Adjusted Faber score: score = faber / vol_252d where faber = (price - SMA10) / SMA10. Penalizes high-volatility "junk momentum".
Top-K candidates: top 4 by volatility-adjusted Faber score, drop assets with raw Faber ≤ 0
Risky-block weights: equal-weight across surviving positives; when positive picks = 4 use min-var 3-of-4 selection before equal-weight allocation
breadth-cliff partial-safe: risky fraction = 1.0 (when positive picks = 4), 0.5 (when positive picks = 3), or 0.0 (when positive picks ≤ 2); safe fraction = 1 - risky fraction
Cost: 10 bps/side
Execution (T+1 MOO): month-end signal (T = last trading day of month, close), T+1 OPEN trade (next trading day MOO)

RPV Sleeve (10%) -- Risk Premia Value (5-Premia Sequential)

Universe: SPY, TLT, LQD, HYG, TIP plus SHV cash.
Value (120-month z-scores): Monthly trailing 10-year z-score of each premium vs its own history (higher z = cheaper):
1. Term: DGS10 - DGS3MO -> TLT
2. IG credit spread: DBAA - DGS10 -> LQD
3. HY credit spread: BAA - AAA proxy -> HYG
4. Equity: S&P earnings yield minus DGS10 -> SPY
5. Real yield: DGS10 - CPI YoY -> TIP
Selection (sequential filter): Keep premia with z > 0 and asset price above its 200-day SMA. Keep sleeve fully-invested, z-weighted across survivors (no per-asset cap); hold 100% SHV only when no premium qualifies.
Execution: Monthly signal, trade T+1 OPEN (MOO).
Sleeve (17.9y, post-cost): Sharpe 1.05, CAGR 8.83%, MaxDD -13.42%, Ulcer 3.44%, Martin 2.56.

NDX Sleeve (15%) -- concentrated Nasdaq-100 momentum

Universe: PIT Nasdaq-100 constituents (via index-constitution library, coverage 2006-01+).
Signal: Raw 13612U momentum (no correlation penalty).
Selection: top 5 positive momentum names, equal-weighted 20.0% each.
Gate: Activated only when TIP 13612U > 0 canary, SPY 13612U > 0 trend, and SPY RV_20d < RV_252d all pass at the signal date.
Best-of-safe: HAA best-of-safe (SHV/IEF by 13612U) when any gate leg is off. Partial-fill cash (when <K positive candidates) also uses best-of-safe.
Sleeve (17.9y, post-cost): Sharpe 1.14, CAGR 26.52%, MaxDD -31.77%, Ulcer 8.21%, Martin 3.23.
Tradeoff: High beta, high vol, deeper DD than other sleeves on its own. Diluted by 15% blend weight, contributing meaningful CAGR uplift without dominating the blend's risk.

VAL Sleeve (15%) -- PIT Nasdaq-100 value+quality stock selection

Universe: PIT Nasdaq-100 constituents (via index-constitution) intersected with PIT fundamentals coverage and at least 260 trading days of NDX-panel price history.
PIT fundamentals (as-of signal date): accepted_at <= sig_d value_as_filed facts only (no look-ahead).
Composites: VALUE = EW z-score of earnings yield, book/price, sales yield, and FCF yield; QUALITY = EW z-score of gross profitability, ROE, negative leverage, and accrual flag.
Selection: Keep top-half by QUALITY, then choose cheapest by VALUE.
State gating: Stateful trend band per candidate (ENTER when price > 1.05*SMA10m, HOLD while price >= 1.00*SMA10m).
Sizing / gate-off routing: Equal-weight top-5 (20% each); residual and gate-off allocation routes to HAA best-of-safe (SHV/IEF by 13612U).
Execution: Monthly signal, T+1 OPEN (MOO), 10 bps/side transaction cost assumption.
Sleeve (17.9y, post-cost): Sharpe 1.46, CAGR 20.27%, MaxDD -17.45%, Ulcer 6.45%, Martin 3.14.

Backtest only. Strategy is not live-traded.
Data dependency. NDX results depend on PIT membership and available price history.
Regime dependency. Defensive alpha depends on breadth/gates, trend, and diversifier behavior.
Recovery lag. Monthly momentum signals can re-enter late after fast recoveries.
Bootstrap labels. Single-strategy PROD confidence intervals use B=2000; difference tests vs the literature blend / benchmarks use B=5000.
Forward expectations. The realized backtest metrics are Sharpe 1.59, CAGR 16.47%, MaxDD -8.65%, and Calmar 1.91. Retail-data reproductions may be modestly lower due to implementation differences. For capital planning, use materially lower forward assumptions, such as 0.7-1.0 Sharpe, and treat 1.3+ as an upside case until live/paper trading confirms signal fidelity.
Concentration. Risk-on regimes can concentrate in growth and Nasdaq exposure.

CPM-NDX-VAL-RPV Strategy Dashboard

-> This month's allocation

Final portfolio target 60/15/15/10

Rebalance trade (vs previous signal)

Sleeve-internal weights (sum to 100% of each sleeve)

Headline performance

Period-over-period

Risk vs Return (yearly snapshots)

Top 10 worst drawdowns

Equity & drawdown

Returns by period

Rolling metrics (12-month)

Regime & breadth history

CPM selection diagnostics

Asset Pick Frequency

CPM monthly asset weights

Attribution & distributions

Extended backtest (1999-03-10 -> 2026-04-30)

EXT Rolling 3-Month Max Drawdown