All Weather Wrap

Repricing family: Core book Single-Name Cycle-Beta All Weather Regime Rotation Tax overlay

Institutional one-stop allocation: 33% Core book + 33% Single-Name Sleeve + 34% Cycle-Beta Sleeve. Equal capital weighting, monthly rebalance with ±5% drift threshold. The strongest single-product Sharpe in the family. Updated .

The headline product story — diversification dividend

A naive "fund-of-three-sleeves" investor would expect ~ Sharpe (weighted average of components). The wrap actually delivers — a + Sharpe lift purely from diversification.

This works because the three sleeves have offsetting regime profiles:

Core book: structurally cap-bound vol-target (low correlation to broad equity)
SN sleeve: late-cycle alpha (+0.58 excess Sharpe vs SPY-VT in LATE CYCLE)
CB sleeve: EXPANSION beta capture (+0.32 excess Sharpe vs SPY in EXPANSION)

Combined, the three sleeves cover all four cycle regimes with offsetting vulnerabilities.

Component decomposition

Equity curve

Comparison to alternatives

Product	Sharpe	CAGR	MaxDD	Notes
All Weather Wrap				This product
Core book alone				More defensive (cap-bound vol-target)
SN sleeve alone				Higher vol; late-cycle alpha
CB sleeve alone				Cycle-aware beta
60/40 benchmark				Reference
SPY-only				Reference

The wrap dominates 60/40 on every dimension: Sharpe, CAGR, drawdown.

Validation gates

Gate	Result
Bootstrap 95% CI on Sharpe (B=2000, block=12)
Bootstrap lower bound clears HLZ multiplicity hurdle (N≤50)
Romano-Wolf p vs 60/40 (gate < 0.10)
Sub-sample pre-2020 excess Sharpe vs 60/40
Sub-sample post-2020 excess Sharpe vs 60/40

Operational characteristics

Equal capital weighting (33/33/34) is the LOCKED v1 architecture (per docs/all_weather_wrap_scope.md). Risk-parity weighting is a v2 candidate; would require separate pre-reg + PBO across the weight grid. Tax-loss harvesting happens at the component sleeve level using each sleeve's pre-registered TLH pairs — see Tax Overlay.