No. of Recommendations: 6
You could do a simple 12 month momentum of a commodity ETF like PDBC and switch some funds to it. To obtain the bulk of the crisis alpha, which is mostly derived from short beta exposure, you probably need to always be in the fund, etc or whatever vehicle and do a monthly or quarterly rebalance to harvest it.
(apologies for the formatting)
I did a simple test at Portfolio Visualizer:
Momentum Model Simulation
Tactical asset allocation model results from 12/01/2015 to 06/20/2025 are based on relative strength model holding the best performing asset.
The model uses a single performance window of 12 calendar month(s).
Tactical asset allocation model trades are executed using the end of month close price each month based on the end of month signals.
The time period was constrained by the available data for Invesco Optm Yd Dvrs Cdty Stra No K1 ETF (PDBC) [Dec 2014 - May 2025].
Tactical Asset Allocation Model Assets
Ticker Name
SPY SPDR S&P 500 ETF
PDBC Invesco Optm Yd Dvrs Cdty Stra No K1 ETF
Portfolio Performance (12/01/2015 - 06/20/2025)
Metric Momentum Model Equal Weight Portfolio Vanguard Balanced Index Inv
Start Balance $10,000.00 $10,000.00 $10,000.00
End Balance $37,967.43 $25,532.55 $21,822.93
Annualized Return (CAGR) 14.94% 10.28% 8.48%
Standard Deviation 14.92% 13.29% 10.50%
Best Year 31.22% 35.65% 21.67%
Worst Year -12.75% -8.41% -16.97%
Maximum Drawdown -19.43% -24.06% -20.85%
Sharpe Ratio 0.87 0.65 0.64
Sortino Ratio 1.41 0.96 0.96
Benchmark Correlation 0.72 0.78 1.00
