U.S. Treasury
A weekly model on long-term U.S. Treasuries that holds a position only when conditions are favorable — and sits in cash the rest of the time. Built for capital preservation above all.
For this audience, drawdown carries equal weight to return. The study’s stated maximum drawdown is −2.94%, measured on daily closes; the chart above plots the month-end series, whose deepest decline is −2.14%. The benchmark’s worst case was far deeper.
Holding long bonds outright meant a drawdown beyond 35% in the 2022 sell-off. By staying in cash unless conditions favored being invested, the model held its worst case to −2.94%.
A drawdown curve shows the shape of risk; this shows its worst individual moments. These are the ten months the benchmark fell hardest — the months a client remembers — and what the model did while it happened. Because the decision is weekly rather than monthly, the model can finish a falling month higher than the benchmark.
The defensive anchor — preservation above all.
This is the most conservative strategy in the collection. Each week it evaluates long-term U.S. Treasuries and takes a position only when conditions favor it — otherwise it holds cash.
It is invested less than 40% of the time, which keeps it out of harm's way during the deep, prolonged sell-offs that periodically hit the bond market. The aim is not to maximize return; it is to compound steadily while keeping drawdowns minimal. It suits investors who prioritize capital preservation and stability, and it can serve as the defensive anchor alongside more growth-oriented models.
Everything an auditor would ask for.
Sharpe and Sortino are annualized on a single return frequency — monthly mean and monthly standard deviation, both scaled to annual — net of a 3% risk-free rate. Because the numerator is the arithmetic annualized return, these ratios are not reproducible from the geometric annualized return shown above. Batting average is the share of positive months and is not annualized. Ratios are computed on the record through 31 August 2026; the annualized return and maximum drawdown above are the figures stated in the source study, which ends 29 May 2026.
All performance shown is hypothetical and back-tested — it does not reflect actual trading with client assets and has inherent limitations (designed with the benefit of hindsight; may not reflect the impact of real market conditions). Past performance is not indicative of future results.
Results are gross of fees; transaction / custodial fees and taxes are not reflected and would reduce results. This is not an offer to sell or a solicitation to buy any investment. Charts use representative illustrative data; final disclaimer wording to be confirmed with counsel / compliance.
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