A complex, regime-based ETF portfolio that shifts between risk-on and risk-off, using momentum, volatility, and risk signals to pick and weight assets (often 3–5 at a time) from a broad ETF universe, with a bias toward K-1 free funds and hedges.

At a high level, the system runs many scenario tests (regimes) in parallel and picks a subset of ETFs to own in each scenario. It uses a mix of signals and lookback periods to decide which assets look strong or weak, and then it builds a small basket from a larger pool. The rules are layered: some blocks look for safety assets when risk looks high; other blocks chase upside with growth and leveraged bets when conditions look favorable; and yet others try to exploit sideways or mixed markets with different hedges and cash allocations. Assets are ranked by performance and risk measures, then a set number (often 3–5) are chosen and weighted, sometimes with equal cash portions, sometimes with fixed or dynamic shares, and sometimes with leverage. The process includes checks to avoid overexposure, uses a blend of bullish, bearish, and hedging instruments, and prefers K-1 free ETFs where possible. The result is a continually shifting mix designed to perform across various market regimes rather than rely on a single market condition.

Out-of-sample edge: Sharpe 1.64 vs 1.29, Calmar 1.56, max drawdown ~12% vs ~19% for the S&P. A regime-based, hedged ETF portfolio aims for stronger risk-adjusted returns and a smoother drawdown profile.