For information and research only. Not investment advice.
Composite
Macro Allocation Composite
cross-asset macro allocation
Performance
Assuming an initial $100,000 · Benchmark: S&P 500
Hypothetical
YTD1Y5Y8YAll
CompoundFixed
Gains are reinvested — principal and returns grow together.
Backtest through 2026-07-01
Strategy backtestBenchmark · S&P 500
Strategy backtest — the rule-based portfolio, rebalanced on schedule with costs included.
Benchmark — S&P 500 (SPY) total return over the same window — what doing nothing but holding the market would earn.
Hypothetical backtest — not a real trading record. Simulated on public data from 2008-03: each position is bought only after the filing became public (using no information unavailable at the time), with trading costs deducted, on a total-return basis. Past performance does not predict future results.
All metrics below are computed on the strategy-backtest curve.
Return?
8.9%
Compound annual return over the sample.
Risk?
8.8%
How much returns swing (annualized stdev); lower is steadier.
Return vs risk?
1.02
Return ÷ volatility; higher is better.
Beat SPX?
−3.0%
Annualized gain over the S&P.
Excess?
+6.8%
The strategy's own annual excess, apart from the market.
Significance?
t=3.73 · strong
t-value: how solid the excess is — higher is more reliable.
Max DD?
−11.8%
Largest peak-to-trough fall.
Leverage?
0.16×
How many times it rises and falls together with the market.
Longest recovery?
25 mo
Longest wait from a peak back to a new high.
About
cross-asset macro allocation
Blends several classic cross-asset allocation ideas, balancing stocks, bonds, commodities and timing so they complement one another. The goal is to avoid falling badly behind in any macro season rather than betting on a single environment.
Holdings & changes
Holdings breakdown is Member content
Risk
This strategy mechanically reproduces public research / published methods; the backtest includes trading costs but not taxes or market impact. A rule that worked historically may not work in the future.
Past / backtested performance does not predict the future. Masterfolio is an information service / publisher, not an investment adviser.