A second systematic portfolio runs in a market that often moves the other way.
It covers 24 names across the whole complex.
- Precious and industrial metals, from gold and silver through copper
- Energy, agriculture and uranium
- The miners and producers behind them
Four proprietary models read every name before the US open, and the portfolio that comes out holds ten names or fewer with an exact weight on each. How It Works explains the machinery.
It runs off its own universe, separate from Macro & Megacaps, which is why the two rarely have a bad spell at the same time.
The whole list, published. Every name here is scored every morning, and nothing is covered occasionally or "when it looks interesting". New tickers are added every month, and the list only ever grows.
the whole complex, one portfolio. Additions are included at no extra cost. The price is locked, the universe is not.
Not just the signals, the portfolio I run off them, published every Monday
Turning signals into a portfolio is where most people give up, so we publish our answer: a plain list of tickers and weights every Monday, drawn from the whole complex covered here.
These are the same six constraints that govern Macro & Megacaps. The universe differs, the construction does not, which is the point: two portfolios built the same way on markets that rarely fall together.
- It can never contradict the signals you paid for. The rule is enforced in code, not by intention.
- Thin convictions never make it in. At least three of the four models have to back the call, as a simple count.
- Membership is sticky. A holding still long and still inside the top 15 keeps its place, and at most two new names arrive each week.
- One position can never take over. A volatile name gets a smaller slice, and a cap sits on top: 15% at ten holdings, 25% ever.
- It steps back before anyone has to be brave. The invested share is scaled so risk lands at or below the index, on schedule. This is an aim, never a promise.
- Rebuilt weekly, exited daily. Weight drifts under 5% are left alone in between. A holding goes the same day its record turns flat, or the day fewer than three of the four still agree. Long only, unlevered, 5 basis points per side.
Ten years of testing, on data the models had never seen.
Every point used only the data available on that day. It is the same construction that runs live, run backwards over history, with 5 basis points per side already taken out.
Simulated results. Long only, unlevered, gross capped at 1.0, net of 5 bps per side. Past simulated performance is not indicative of future returns and this is not investment advice.
Two portfolios that rarely have a bad spell at the same time.
Macro & Megacaps and Commodities share exactly the same construction. What differs is the universe underneath them. Equities and the commodity complex are driven by different things, and often in opposite directions: supply, inventory and the dollar on one side, risk appetite and earnings on the other.
The second portfolio earns its keep on the days the first is having its worst week. In 2022 the commodities portfolio rose 19.6% while the index fell 18.7%.
| Simulated, 2022 | Return | Volatility | Sharpe | Worst drawdown |
|---|---|---|---|---|
| The index (SPY) | −18.67% | 24.1% | −0.74 | −26.29% |
| Macro & Megacaps alone | −12.80% | 14.6% | −0.87 | −16.17% |
| Blend, 75 Macro & Megacaps / 25 Commodities | −4.70% | 13.1% | −0.30 | −10.05% |
| Commodities alone | +19.60% | 16.7% | +1.16 | −11.48% |
Carrying a quarter of it turned a 12.8% loss into a 4.7% one, and cut the worst fall along the way from 26.29% to 10.05%. A year like 2022 is where a second portfolio either earns its place or does not.
Neither portfolio is short anything, so this is not a hedge in the strict sense. The blend still lost money in 2022, and a fall that takes everything down together will take this down too. Both scale back into cash, which is how each one dials its own risk. What the pairing adds is less correlation between two long-only portfolios, and that shows up as a shallower worst drawdown rather than as outright protection.
Simulated. Macro & Megacaps 75, Commodities 25, rebalanced on the first session of each year and left to drift in between. Long only, unlevered, net of 5 bps per side. Sharpe uses daily returns at a zero risk-free rate, and the drawdown is measured inside the calendar year. Past simulated performance is not indicative of future returns and this is not investment advice.
One portfolio, and a third off if you already read Macro & Megacaps.
Commodities runs the same method on its own universe. Held beside Macro & Megacaps it is a third off.
Commodities: Signals
A companion portfolio for the parts of the cycle equities find hard.
24 names across metals, energy, agriculture and uranium, plus the producers. It runs the same method on a separate universe.
- Daily signals on 24 names, before the US open
- The commodities portfolio, weekly
- Ten years of testing on data the models never saw
Added beside it
The same portfolio, at the companion price.
Across the simulated decade the pair did not finish a calendar year down, which neither portfolio manages alone.
Every subscription includes its portfolio at no extra cost, and your price is locked for as long as you stay subscribed. Prices exclude VAT.
Read a month of it before you decide anything.
Annual plans carry a free first month. You get the Commodities page exactly as I read it: the four models each morning, the portfolio they build, and the record that says afterwards what came of it. Cancel in-month and pay nothing.
The work is closer to observation than prediction. None of it asks you to be attached to a particular trade, mine included. The market is the thing being read, and we are watching it from the same side of the glass.
Published for information and education. It is not personalised advice, not a managed account, and not a recommendation to buy or sell any security. Capital is at risk, and past and simulated performance tell you nothing certain about the future.