Single-Name Sleeve
Headline finding — late-cycle alpha vs SPY-VT
The full-sample Sharpe is essentially equivalent to vol-targeted SPY (1.00 vs 0.999). This aggregate masks the load-bearing institutional finding: the SN sleeve dominates SPY-VT in LATE CYCLE and underperforms in EXPANSION.
The LATE CYCLE row is where the institutional case for this product lives: +0.58 excess Sharpe vs vol-targeted SPY with less than half the drawdown (-8.7% vs -20.1%). The EXPANSION underperformance is honest — SN sleeve is positioned as late-cycle defense, not all-weather equity.
Equity curve
Per-pillar attribution
For each pillar, monthly returns split into "pillar firing" (percentile ≥ 60) vs "pillar idle" months:
Security and Energy pillars do the alpha work (excess Sharpe +0.17 and +1.07 respectively when firing). Reserves and Dollar System are essentially neutral — gold equities track SPY long-term, and Dollar System is approximated rather than expressed precisely in single names.
Diversification value vs SPY-VT
A 50/50 SN + SPY-VT mix produces meaningfully higher Sharpe than either standalone — quantified in the All Weather wrap analysis.
Validation gates
| Gate | Result |
|---|---|
| Bootstrap 95% CI on Sharpe (B=2000, block=12) | |
| Romano-Wolf p vs 60/40 (gate < 0.10) | |
| Vol-target probe — realized vol | |
| Cap-binding pct of days | |
| Sub-sample stability — pre-2020 excess Sharpe vs 60/40 | |
| Sub-sample stability — post-2020 excess Sharpe vs 60/40 |