From Monday, 5 October, the Macro & Megacaps Systematic Portfolio (MM) will be published in two versions.
MM stays exactly as it is.
MM Crypto is MM plus a small crypto sleeve.
A sleeve is a small part of a portfolio that is run by its own rules, separate from the rest. Think of it as an “add-on” to the main portfolio. Here, it is a set of up to five crypto-related names, each held at a fixed size, bolted on top of the MM book.
Both versions are published side by side, with separate performance records, so the sleeve's contribution is entirely transparent.
What MM Crypto is
MM Crypto holds everything MM holds. On top of it, it can hold up to five crypto names: Ethereum (ETH), Solana (SOL), XRP, Strategy (MSTR) and Coinbase (COIN).
Note that Bitcoin (BTC) is already inside MM and stays there. We tested moving Bitcoin out of MM, the main portfolio, and into the sleeve. It was worse. Inside MM, the optimiser sizes Bitcoin against everything else in the book, so Bitcoin can play a key role when it matters. Leaving MM untouched also keeps the existing structure simple: one portfolio, one add-on, nothing rearranged underneath.
Methodology Summary
Sleeve rule. Five Crypto names: ETH, SOL, XRP, MSTR, COIN. 5% of portfolio per name when qualified, 15% cap, pro-rata if total position exceeds this cap. Entries on MM's re-optimisation day, on the consensus test MM uses. Exits any day the test fails.
Weekly, not daily. This follows the MM book's existing cadence.
Funding. Cash first, then the weakest-ranked MM holding.
Methodology Detail
The Crypto sleeve follows the same weekly rhythm as MM. On MM's re-optimisation day, the first session of each week, a Crypto name enters the sleeve when two things are true on the published record:
the Multi-model Signals call it long, and
at least three of the four models agree.
That is the same consensus test every MM holding must pass.
During the week, there is only one reason a sleeve name moves. If its Multi-model Signal stops passing the above requirement, it is sold the same day. This is how MM treats its own holdings. Nothing enters mid-week.
Each qualified name in the Crypto sleeve is held at 5% of the portfolio. The sleeve as a whole is capped at 15%. If four or five names qualify at once, the slices shrink pro rata so the total stays at 15%.
This sizing method differs from MM, which sizes each holding by volatility targeting. For the Crypto sleeve, we use equal weight instead, having also tested the vol-targeting method. Because the five Crypto candidates move together, the sleeve mostly shrank or grew all at once. Vol-targeting would add more trading without meaningfully changing the picks or outcomes. A fixed 5% keeps the sleeve small and the rule easy to follow.
The MM rows keep their weekly re-optimisation. Nothing about how MM itself is built changes.
Where the allocation money comes from inside the portfolio
MM usually holds some cash (for volatility targeting). The sleeve takes its 5% slices from that cash first.
In weeks when MM is close to fully invested, the shortfall comes from MM's weakest-ranked holding. We reduce that name’s position by the shortfall. If the shortfall exceeds the weakest name's entire position, sell it in full, and take the rest from the next-weakest. The remaining MM rows are untouched, and the book never exceeds 100% invested.
That reduction stays in place until the next re-optimisation. No topping up occurs during the week.
In the backtest since October 2021, the sleeve fit inside MM's cash in 95% of weeks. The shortfall was needed in the other 5%, averaging 6.4% of the MM portfolio when it happened.
What the backtest says
Five-year backtest, October 2021 to September 2026. Next-day market-open execution, 5 basis points of trading costs on every entry and exit.
Source: YX Insights.
Window | Sharpe | CAGR | Max drawdown |
|---|---|---|---|
Five years, Oct 2021 – Sep 2026 | 1.90 → 2.00 | 32.5% → 38.0% | −15.8% → −17.7% |
Since 2023 | 2.43 → 2.56 | 44.8% → 53.4% | −12.2% → −12.4% |
Last 3 years | 2.51 → 2.75 | 48.0% → 59.3% | −12.2% → −12.4% |
Last 1 year | 1.99 → 2.03 | 39.7% → 41.5% | −8.5% → −8.5% |
The sleeve adds about 4.2 percentage points a year on average over the five years. It costs 1.9 points of maximum drawdown and raises volatility from 15.5% to 16.8% a year.
The gain is not spread evenly. It comes from years when crypto had big bull runs, and it is small or negative in the others.
Year | MM | MM Crypto | Difference | Sleeve: average size · days active |
|---|---|---|---|---|
2022 | −11.5% | −12.7% | −1.2 pp | 1.0% · 14% |
2023 | +37.5% | +45.3% | +7.8 pp | 7.7% · 80% |
2024 | +52.6% | +73.3% | +20.7 pp | 6.3% · 73% |
2025 | +44.1% | +46.3% | +2.2 pp | 4.2% · 55% |
2026 to Sep | +31.3% | +33.6% | +2.2 pp | 1.5% · 16% |
Read the last two rows before the big ones. Over the last twelve months the sleeve added two points. It has been active on 16% of days this year. This is what a consensus-gated sleeve looks like when crypto is not trending: mostly in cash, mostly out of the way.
What it costs in risk
The worst fall on record is 1.9 points deeper than MM's: −17.7% against −15.8%.
Volatility is about 1.3 points higher.
The sleeve is at most 15% of the book. On an average day over the five years, it was 4.2%, and it was empty on half of all days.
It changes about three times a month (0.75 actions a week), nearly all of them on re-optimisation day. An MM holding is reduced to fund it about once every twenty weeks.
How to follow it
We will show MM and MM Crypto as two books.
The MM Crypto post lists the MM rows as held in that book, then the sleeve rows, then one line saying whether the sleeve came from cash or which MM holding was reduced to fund it. Crypto pairs are traded through the spot ETFs (e.g. ETHA) named beside each row.
FIDA off-ramp
The Financial Infrastructure & Digital Assets Systematic Portfolio (FIDA) continues to be published alongside until Monday 2 November 2026. After that, crypto exposure in the Systematic Portfolio comes through MM Crypto.
Learn more about YX Insights
YX Insights publishes two things every trading morning: Systematic Portfolios and Multi-model Signals. Research sits around them.
Macro & Megacaps Systematic Portfolio — the MM book, and from Monday MM Crypto beside it, with the Multi-model Signals on equity indices, rates, megacap stocks and crypto. Published daily.
Commodities Systematic Portfolio — a second portfolio on commodity ETFs and producers, built for the periods when equities fall. Published daily. Macro & Megacaps subscribers get it at a 34% discount.
Multi-model Signals & Research — the Signals plus a macro read every two weeks (rates, credit, the dollar and positioning) and company deep dives covering the signals, fundamentals, valuation and technicals.
The Long Trend — the free weekly letter. One finding about markets each week, with well-followed strategies tested and market myths checked against the data.
Academy — free plain-language explainers on investing, company accounts and the economy.
Ready to unlock the portfolios? See the plans and start here: yxinsights.com/upgrade
DISCLAIMER: This newsletter is strictly educational. Any information or analysis in this note is not an offer to sell or the solicitation of an offer to buy any securities. Nothing in this note is intended to be investment advice and nor should it be relied upon to make investment decisions. Any opinions, analyses, or probabilities expressed in this note are those of the author as of the note's date of publication and are subject to change without notice.