Performance & Risk Review

Reporting Period: March 2 – March 31, 2026 1. Monthly Overview March marked the first regime transition since the launch of the MTS framework. From a regime perspective, the month began under the Up regime , supported by relatively strong earnings momentum. However, in mid-March, a deterioration in Earnings Strength  caused the MTS score to fall below the threshold required to sustain the Up regime. This triggered the first regime shift from Up to Neutral , leading to the sys

Reporting Period: February 2 – February 27, 2026 1. Monthly Overview February was the second full month of 2026 operations under the MTS framework. From a regime perspective, the month was also stable. Starting Regime: UP Ending Regime: UP Regime Changes: 0 Final YTD Return (MTS $): -1.33% Final YTD Return (SPY $): -1.16% Alpha vs SPY ($): -0.17% Maximum Drawdown (MTS $): -1.33% Although performance remained modestly negative, February served as a quiet stress test for the mo

Reporting Period: January 5 – January 30, 2026(Friday close basis) 1. Monthly Overview January was the first full month of 2026 operations under the MTS framework.From a regime perspective, the month was remarkably stable. Starting Regime: UP Ending Regime: UP Regime Changes: 0 Final YTD Return (MTS $): -0.86% Final YTD Return (SPY $): -0.50% Alpha vs SPY ($): -0.36% Maximum Drawdown (MTS $): -0.86% Although the portfolio experienced a modest negative return, the system behav