Defense + AI Vol 15
Same Defense + AI universe as `defense-ai-regime`, with an unlevered 15% realized-vol cap. Residual goes to SHY when trailing portfolio vol exceeds the target.
Diversification
21
Volatility Profile
13.1%
1.6904761904761905-year backtest
Horizon
1–3 years
Historical Performance
1.7-year daily MA300 → SHY trend filter at stated weights (Yahoo Finance, 7 holdings, as of 2026-08-25). Research only — not a forecast or live track record.
Annualized Return
+17.4%
1.6904761904761905-year backtest
Volatility
13.1%
annualized
Sharpe Ratio
1.31
excess vs T-bills
Max Drawdown
-7.2%
backtested
Trading Logic
End-of-day signals only — no day trading. See full trading logic documentation.
Rebalance Schedule
Daily (business days)
Drift > 5%
Min Holding
0 days
Before discretionary sells
Trend Filter
MA300 → SHY
Buy when MA stack aligned; exit to cash when broken
Risk Alerts
Defensive regime
VIX spike, DD halt — any business day
AI Rationale
Aug 2026 high-vol overlay sweep on the defense-ai hybrid: 15% vol target, 63-day window. Composite Sharpe 2.38, CAGR +46.1%, max DD −8.6%, block P5 1.72 — vs unconstrained baseline ~70% CAGR / −18% DD / P5 1.65. Live path uses max-Sharpe then ex-ante vol scale (volTargetPct 15).
Bull Case
Keeps the thematic engine while cutting the crash path that made the unconstrained sleeve hard to size.
Bear Case
Vol targeting caps upside in persistent high-vol bull tapes. Ex-ante covariance scale can differ from the 63-day trailing overlay used in the sweep.
Behavior During Downturns
When realized/ex-ante vol spikes, equity weights scale down and SHY absorbs the residual. MA300 still exits broken names.
Holdings
Template asset universe with weights optimized for maximum risk-adjusted return using historical excess returns vs T-bills.