Cycle-Beta Sleeve

Repricing family: Core book Single-Name Cycle-Beta All Weather Regime Rotation Tax overlay

Regime-rotation broad-equity sleeve using the BCI cycle classification. EARLY/EXPANSION → 100% SPY; LATE CYCLE → 60/40; RECESSION → 25/65/10 (SPY/AGG/GLD). Captures the EARLY/EXPANSION premium that the SN sleeve underperforms. Updated .

Headline finding — beats SPY on Sharpe AND DD

CB sleeve beats SPY-only on Sharpe ( vs ) with substantially better drawdown ( vs ). Matches 60/40 on Sharpe with +5pp higher CAGR ( vs ).

Romano-Wolf p vs 60/40 = (well below the 0.10 institutional gate).

Per-regime decomposition

CB captures the EXPANSION premium as designed (+0.32 excess Sharpe vs SPY in EXPANSION, the largest regime). LATE CYCLE / RECESSION underperformance is documented as cycle-classification lag — by the time BCI labels a month as LC or RC, the equity move has often already happened.

Equity curve

Combined with SN sleeve — diversification dividend

CB and SN sleeves have ~0.52 correlation. Combined at various weights:

The 50/50 SN+CB mix produces Sharpe ~1.12 — meaningfully higher than either standalone (SN ~1.00, CB ~0.95). For the full three-sleeve combination including the Core book, see the All Weather wrap.

Validation gates

Gate	Result
Bootstrap 95% CI on Sharpe (B=2000, block=12)
Romano-Wolf p vs 60/40 (gate < 0.10)
Romano-Wolf p vs SPY (gate informational)
Sub-sample pre-2020 excess Sharpe vs 60/40
Sub-sample post-2020 excess Sharpe vs 60/40

Operational

Allocation rule and universe locked 2026-04-25 (Variant A). See full architecture in `docs/cycle_beta_sleeve_scope.md` and `docs/cycle_beta_universe_v1.md`. Three TLH pair structures (SPY↔VTI, AGG↔BND, GLD↔IAU) are wash-sale-clean per established institutional practice.