SWAN Alpha
is a quantitative framework for serious, hands-on investors who want equity-like returns with more controlled risk and drawdowns.
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Regime SignalsData-driven regime classification that clarifies when conditions favor taking risk—and when they call for defense.
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Overlay SignalsTactical signals for both risk (regime shifts, correction alerts) and opportunity (pullbacks, bottoms), designed to improve outcomes without sacrificing risk discipline.
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Model PortfoliosSystematic portfolio construction and allocation optimization with monthly rebalancing, targeting strong returns with controlled drawdowns.
SWAN Portfolio
The SWAN Portfolio is a live model portfolio built from a curated universe of wide-moat companies, tilted toward stocks with strong momentum, and optimized to minimize portfolio volatility. Holdings are selected and rebalanced by our algorithms at each month‑end. Total exposure is regime‑aware: in bear / neutral regimes the portfolio moves to cash, while supportive regimes allow full equity exposure. The chart shows live performance since launch on December 31, 2024 versus SPY Buy & Hold, and the Holdings panel reflects the current portfolio components.
SWAN
(CAGR: 52.1%, Sharpe: 4.04, MaxDD: -3.6%, Vol: 10.6%)
SPY B&H
(CAGR: 15.7%, Sharpe: 0.88, MaxDD: -18.8%)
Holdings of SWAN Portfolio
Last rebalanced on 2026-02-27
| Ticker | Shares | Value | Weight |
|---|---|---|---|
| JNJ | 1,646 | $408,916 | 25.2% |
| CL | 2,914 | $288,894 | 17.8% |
| PEP | 1,123 | $190,618 | 11.7% |
| LMT | 263 | $173,075 | 10.6% |
| ASML | 110 | $159,562 | 9.8% |
| NOC | 200 | $144,876 | 8.9% |
| DE | 202 | $127,201 | 7.8% |
| EQIX | 121 | $117,885 | 7.3% |
| TXN | 47 | $9,969 | 0.6% |
| CASH | $4,633 | 0.3% | |
| Total as of 2026-03-01 | $1,625,629 | ||
No holdings available.
Disclaimers
- • The information and results presented are for research and educational purposes only and do not constitute investment advice or an offer to buy or sell any security or investment product.
- • Past performance does not guarantee future results. Live signals may underperform SPY and may result in losses over any time horizon.
- • Portfolio starts with $1,000,000 on 2024-12-31. Rebalance is conducted on the last trading day of each month using close prices. Transaction costs, taxes, or slippage are NOT included.
Live Regime and Risk Signals
Market regime describes the prevailing market environment, reflected in price action, volatility,
and risk–return dynamics. Our model classifies each trading day as Bull, Neutral, or Bear (more defensive),
shown by the colored bars beneath the SPY chart. Our model also publish early pullback risk
signals that combine information from equities, yield curve, liquidity, options, and credit
stress. WATCH signals elevated risk;
ALERT signals a higher-risk state that may warrant tighter risk controls,
defensive positioning, or hedging.
Live status
as of Mar 1, 2026, 11:06 AM EST
Current Regime: Bull
Target exposure: 100%
Correction Risk: Low
Bull Regime
Neutral Regime
Bear Regime
Regime-Based Exposure Strategy
Regime-Based Exposure is a rule-based allocation framework that scales equity exposure according
to the prevailing market regime (e.g., Bull 100%, Neutral 50%, Bear 0%), rather than staying fully
invested at all times. The table compares the regime-based approach, driven by our regime signals,
with Buy & Hold and the commonly used MA200 crossover strategy across key risk and return metrics.
In the results shown, the regime-based approach delivers competitive returns with meaningfully
lower drawdowns and volatility, supporting a smoother long-term equity experience.
| Period | Strategy | CAGR | MaxDD | Calmar | Sharpe | Sortino | Volatility |
|---|---|---|---|---|---|---|---|
| 1998-Present | Regime-Based Exposure | 9.1% | -19.5% | 0.47 | 0.80 | 0.92 | 11.8% |
| Buy & Hold | 9.1% | -55.4% | 0.16 | 0.54 | 0.69 | 19.4% | |
| MA200 Crossover | 7.5% | -23.8% | 0.32 | 0.66 | 0.75 | 12.0% | |
| 2000-2007 | Regime-Based Exposure | 3.0% | -13.5% | 0.23 | 0.33 | 0.38 | 10.7% |
| Buy & Hold | 1.6% | -47.3% | 0.03 | 0.18 | 0.26 | 18.1% | |
| MA200 Crossover | 1.8% | -21.3% | 0.08 | 0.21 | 0.23 | 11.2% | |
| 2008-2012 | Regime-Based Exposure | 7.3% | -14.7% | 0.49 | 0.69 | 0.75 | 11.0% |
| Buy & Hold | 1.5% | -52.1% | 0.03 | 0.19 | 0.23 | 26.1% | |
| MA200 Crossover | 4.2% | -23.8% | 0.18 | 0.42 | 0.42 | 11.6% | |
| 2013-2019 | Regime-Based Exposure | 12.0% | -13.8% | 0.87 | 1.12 | 1.32 | 10.7% |
| Buy & Hold | 14.6% | -19.3% | 0.76 | 1.13 | 1.41 | 12.8% | |
| MA200 Crossover | 11.0% | -13.1% | 0.84 | 1.02 | 1.20 | 10.8% | |
| 2020-Present | Regime-Based Exposure | 13.0% | -19.5% | 0.67 | 0.99 | 1.11 | 13.2% |
| Buy & Hold | 14.7% | -34.0% | 0.43 | 0.77 | 0.94 | 20.6% | |
| MA200 Crossover | 11.6% | -18.9% | 0.61 | 0.93 | 1.05 | 12.7% |
- • The comparison is based on trading SPY (dividends included) and assumes 4% cash yield.
- • Backtests are walk-forward and out-of-sample, assume open-to-close execution, and do not include transaction costs, taxes, or slippage.