# L1 Multi-Asset Shadow Portfolio

## October 2026 decision snapshot

**Status:** paper research portfolio, no real money.

### Decision

All three equity trend signals are positive. The tactical portfolio therefore
remains close to the strategic allocation:

- SPY 20.11%
- VEA 9.95%
- EEM 9.36%
- IEF 20.43%
- LQD 15.31%
- GLD 9.64%
- DBC 5.20%
- BIL 10.00%

### Research result

From June 2008 through October 2026, the L1 TAA portfolio returned 5.20% a year
before any claim of statistical significance, with 7.64% annual volatility and
a -23.32% maximum drawdown. The static SAA returned 5.86% a year with 8.68%
volatility. A 60/40 proxy returned 8.43% a year with a 0.894 Sharpe ratio.

The trend overlay reduced volatility slightly but did not beat the simple
benchmark. That result is retained.

### Interpretation

The key risk is not only equity capital weight. The three equity sleeves are 40%
of the portfolio but account for roughly 61% of model-based variance. Gold,
credit and duration provide different exposures, but diversification does not
guarantee higher return.

### What changes the decision

At the next month-end review, any negative 10-month equity signal halves that
sleeve and moves the proceeds to short-term bills. A material policy change
requires a new version and cannot be applied retrospectively.

### Limitations

This is an unhedged HKD translation of US-listed ETF proxies. Raw price data,
market impact, taxes and broker execution are not included. The result is not
investment advice and does not establish real-money capability.