Portfolio Strategy
CSAM
Walk-forwardCross-Sectional Allocation Model
- Rebalancing
- Monthly
- Universe
- 47 Futures & ETFs
- As of
- ...
The Strategy
CSAM (Cross-Sectional Allocation Model) is a systematic strategy that allocates across a broad universe of 47 assets spanning equity indices, fixed income, energy, metals, agriculture, livestock, currencies, and crypto. Signals are generated from futures markets; execution uses micro futures and ETF proxies, which makes the strategy tradable from $50,000.
Each month the model holds a focused set of up to five positions from across the universe and scales overall exposure to the market environment. The result is a concentrated, risk-managed allocation that adjusts monthly. The model is fully rules-based with no discretionary input.
Walk-Forward Test Active Starting June 23, 2026, this strategy is being tested with market data in a walk-forward framework. All historical data before this date represents backtested performance. The vertical marker in the chart indicates the start of the walk-forward period.
How It Works
On the last trading day of each month, CSAM selects its positions with a quantitative model and sets exposure for the month ahead.
The model is built to avoid look-ahead bias, so historical and live results stay comparable. The dashboard shows both backtested and out-of-sample performance. The shaded area marks June 23, 2026, the start of the walk-forward test. Data to the left is historical backtesting; data to the right is hypothetical out-of-sample performance.
Simulation Settings
Set your start date and initial capital to configure your portfolio. CSAM rebalances monthly across a universe of 47 assets. Data is available from February 2011.
Model Performance
Drawdown
Peak-to-trough declineHistorical Allocation
Walk-Forward Performance
Since Apr 25, 2026Model Asset Class Allocation
Model ETF Allocation
Model Allocation
Hypothetical model weights for illustration only. Shown as of the latest data refresh. Model value: initial capital plus accumulated hypothetical returns.
| Symbol | Weight | Price | Shares | Value |
|---|---|---|---|---|
| Loading holdings... | ||||
Performance Metrics
Walk-Forward Test Status
Walk-forward testing started April 25, 2026
Monthly rebalancing (next: --)
Crisis Performance
Strategy behavior during major market downturns:
| Crisis | CSAM | SPY |
|---|---|---|
| 2008 GFC | -- | -55% |
| 2020 Covid | -- | -34% |
| 2022 Bear | -- | -25% |
CSAM vs SPY Portfolio
Full backtest period comparison:
| Metric | CSAM | SPY |
|---|---|---|
| CAGR | -- | -- |
| Volatility | -- | -- |
| Sharpe Ratio | -- | -- |
| Max Drawdown | -- | -- |
Strategy Health Monitor
Live drift detection and alpha decay tracking
Drift Detection
Detects structural shifts in performance
Alpha Decay Monitor
Risk-adjusted return, 12 vs 36 months
The left panel flags structural shifts in performance against expectations. The right panel compares recent risk-adjusted returns with the longer-run track record. A weakening trend points to a fading edge.
Statistical Validation
Before deployment, CSAM was validated with a battery of standard statistical robustness tests. All tests used the fixed production strategy without post-hoc parameter tuning.
200 shuffled prediction sequences tested. None matched the observed Sharpe ratio.
5,000 bootstrap samples produce a 95% confidence interval for the Sharpe ratio entirely above zero.
Walk-forward validation across ten folds. All folds produced positive Sharpe ratios.
Added noise across 100 seeds retains the full Sharpe ratio. Robust to small perturbations in the return stream.
Positive returns in 15 of 16 calendar years (2011-2026). Only 2018 showed a small negative return.
Walk-forward validation confirms positive Sharpe in all folds. No single period drives the overall result.
All tests conducted on the fixed production strategy. Past statistical performance does not guarantee future results.