MTS Monthly Review – January 2026

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 behaved exactly as designed, with no deviations from the predefined process.

2. Regime Flow for January

Week	Period	Regime
Week 1	Jan 5 – Jan 9	UP
Week 2	Jan 12 – Jan 16	UP
Week 3	Jan 19 – Jan 23	UP
Week 4	Jan 24 – Jan 30	UP
Week 5	Final Week	UP

Throughout the entire month, the MTS signal remained firmly in UP regime.No regime transitions occurred, which meant that the allocation strategy stayed consistent from start to finish.

3. Asset Allocation

As dictated by the UP regime rules, the portfolio maintained the following allocation during January:

• SPYM: 56%

• SPXL: 14%

• SGOV: 30%

No discretionary adjustments were made.All portfolio actions strictly followed the predefined allocation framework.

This is an important point: The absence of action is also a form of disciplined execution.

4. Performance Summary

Weekly Performance Breakdown

Week	MTS Weekly Return ($)	SPY Weekly Return ($)	Alpha ($)
Week 2	-0.23%	-0.35%	+0.12%
Week 3	-0.22%	-0.35%	+0.13%
Week 4	-0.05%	+0.40%	-0.45%
Week 5	-0.36%	-0.20%	-0.16%

Key Observations

• The first half of January showed slight outperformance versus SPY

• Later weeks delivered mild underperformance, primarily due to:

  • Short-term market fluctuations

  • The leveraged component (SPXL) within the UP allocation

• Overall results remained well within expected behavioral ranges for the strategy

Importantly, nothing in the performance required or justified any discretionary intervention.

5. System Integrity Check

A core objective of the monthly review is to confirm that the system operated exactly as intended.

Process Verification

• All trades were executed according to predefined rules

• No emotional or discretionary decisions were introduced

• Portfolio weights remained aligned with regime definitions

• Weekly logs confirm full compliance

Conclusion:January was a textbook example of rule-based investing in action.

6. Risk Notes Recap

From the weekly risk logs, several themes emerged:

• A minor configuration mismatch was identified early in the month and corrected promptly

• Earnings expectation drift remained supportive of the current UP regime

• MTS values approached regime boundaries at times, but never triggered a transition

• Sensitivity to new data increased near month-end, but overall stability was maintained

In short: The system was tested, but never broken.

7. Lessons from January

This month provided several valuable reminders:

1. Discipline is more important than short-term outcomesSmall losses are acceptable when the process is sound.

2. Stability of regime mattersA month with zero regime changes demonstrates the value of structured decision-making.

3. Underperformance is normalTemporary deviations from benchmarks are part of any systematic strategy.

8. Outlook for February

Looking ahead:

• Continue operating under the current rule set

• Monitor MTS signals for potential regime boundary movements

• Maintain full commitment to process over performance

At this stage, no structural changes to the MTS framework are required.

Final Thoughts

January 2026 reinforced the core philosophy of this project: Rules Over Emotion

The portfolio did not deliver spectacular returns, but it delivered something far more important:

• Consistency

• Transparency

• Process integrity

And that is exactly what the MTS system is designed to achieve.