Regime Rotation Sleeve

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

Single-gate inflation-regime sleeve. The published Inflation Regime classifier emits one of six labels each month; the sleeve maps each label to a fixed long-only allocation across 12 ETFs. Monthly rebalance, no leverage, no shorting. Updated .

Equity curve — Regime Rotation (net of 5 bps RT) vs SPY

Net of 5 bps round-trip slippage applied on monthly turnover. Avg monthly turnover — the sleeve is light-touch operationally. Pre/post 2020 net Sharpe: / — regime-stable across the COVID structural break.

Performance by regime

Regime	Months	Ann return	Ann Sharpe	Hit rate	Worst month	Best month

Net-of-cost monthly returns grouped by the regime label active during each month. The Sharpe-by-regime decomposition shows which states drive the strategy — and exposes any regime where the sleeve is fragile if its sample is thin.

Allocation map

Regime	Allocation (long-only, equal-weight unless noted)	Thesis

Six regime labels, six fixed allocations, one rebalance trigger (the Inflation Regime classifier publication date). The map is locked: no within-regime weight optimization, no in-period overrides. The single learned object in the system is the regime classifier itself — published on the Inflation Nowcast page with full methodology.

Methodology

Universe (locked). 12 US-listed ETFs, all ≥ $1B AUM: sectors XLE, XLK, XLF, XLU, XLV, XLP; factors MTUM, QUAL, USMV; cross-asset TLT, GLD; benchmark SPY (also held in some regimes).

Test window. to present — the first month after which all 12 universe tickers are listed and trade with material liquidity. The window matches the period where the strategy's full thesis can be expressed in tradeable instruments.

Rebalance. Monthly, on the Inflation Regime classifier publication date. The classifier reports the current regime label using PPI YoY + Core PCE 6m annualized via 60-month rolling-origin OLS to predict forward CPI; the regime is then read off six locked thresholds (level: HOT vs COOL at 2.5% predicted CPI; direction: ACCELERATING / STABLE / COOLING based on predicted vs current CPI ±0.3pp).

Cost model. 5 bps round-trip slippage applied to monthly turnover. Avg monthly turnover — well below typical ETF rotation strategies. Net Sharpe still passes the gross-Sharpe gate: the sleeve is not living on the cost-floor edge.

Walk-forward validation. Six pre-registered hard gates (docs/regime_rotation_v1_1_pre_reg.md, see git): (G1) gross Sharpe ≥ SPY+0.20, (G2) gross Sharpe ≥ equal-weight-12 + 0.10, (G3) pre/post 2020 same-sign and both abs Sharpe ≥ 0.40, (G4) net Sharpe ≥ SPY+0.20 after cost, (G5) max DD ≤ 1.5× SPY DD, (G6) gross Sharpe in top decile vs 100 random-regime trials. All six pass with material margin — see the verdict doc for the full breakdown.

No discretion. No overrides. No in-period rebalancing. The classifier emits the label; the locked map dictates the allocation; the sleeve trades. Full audit trail lives in git.

Cross-references

Inflation Nowcast — the classifier driving this sleeve, with full track record of the magnitude predictions and the regime labels.
Calibration Ledger — every regime label this sleeve consumes is recorded the moment it's emitted; track record is auditable down to the as-of date.
Credit-Cycle Melt-Up Monitor — the financial-cycle complement; v2 may layer the CCMI forward regime as a second gate.
Business Cycle Index — phase classification context.

. Positioning is research output, not investment advice. Sizing and instrument selection on any reader's real book is the reader's responsibility. See the methodology caveats for the full list of known limitations.