S&P 500 10-Month SMA vs Multi-Lookback Trend Portfolio · @p95/37 recovery · rolling 10y basis · 10-mo trend guard · live ETF proxies
AGGRESSIVE
S&P 500 10-Month SMA — in the market when S&P 500 is above its 10-month average, otherwise in cash
DEFENSIVE
Multi-Lookback Trend Portfolio — five trend-graded sleeves + cash
If the current month ended now
Moving-average positioning
Levels are ETF dividend-adjusted closes (SPY, VT, AGG, TIP, GLD, DBC, SHV). In-force column = signals at the last completed month-end, which set the current allocation; live column = the same signals with today's prices (if the month ended now). cash (T-bills) is a 10% static sleeve; any sleeve share not invested sits in cash.
Rotation NAV — monthly candles (teal up / red down)
50-month SMA
Current month (provisional)
Market proxies — monthly closes with the strategy's moving averages
Each ETF the rotation trades, with the monthly moving averages the strategy references overlaid: the five graded sleeves (global equities, intermediate bonds, TIPS, gold, commodities) are graded on their 8/10/12-month SMAs; the aggressive sleeve (S&P 500) on its 10-month SMA, with the 50-month MA as the distance-percentile basis; cash (T-bills) is the static sleeve — no trend MAs. Monthly closes, dividend-adjusted, over the fetched 18-year ETF window (~2008 onwards).
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Methodology
What exactly is this page tracking?
This page replicates the Rotation mode configuration from Famous Portfolios:
Aggressive = S&P 500 10-Month SMA (100% S&P 500 while the S&P 500 monthly close is above its 10-month SMA, 100% cash otherwise) and
Defensive = Multi-Lookback Trend Portfolio (global equities 40%, intermediate bonds 20%, TIPS 10%, gold 10%, commodities 10%, cash 10%; each of the five risk sleeves is trend-graded by its 8/10/12-month SMAs and holds n/3 of its weight where n = how many of those three SMAs it is above).
The rotation switches between them at month boundaries using the aggressive portfolio's distance from its 50-month SMA, ranked against the prior 120 monthly distances (rolling 10-year percentile): while aggressive, a percentile ≥ 95 or a break of the aggressive's 10-month trend switches to defensive; while defensive, it returns to aggressive only after the percentile first closes below 37 and then recovers to ≥ 37 while still below 95 (recovery rule) with the 10-month trend intact. Until ~109 monthly observations exist the mode holds the defensive portfolio (warmup). All signals use prior month-end data — no lookahead.
Where does the history come from?
The historical series (Jan 1972 → the last completed monthly data point) is taken directly from the Famous Portfolios data file on this server — the same monthly total-return NAVs the original page charts, for both the aggressive portfolio (S&P 500 10-Month SMA) and the defensive portfolio (Multi-Lookback Trend). The rotation is recomputed here with the identical rules, so every historical value, switch and statistic matches the original page exactly (e.g. NAV 29,504.76 at Jun 2026, 18 switches, 77% defensive, max drawdown −6.64%).
How is this page live?
On top of that history, the page fetches daily data from Yahoo Finance (via a same-origin proxy on this server) for seven USD ETFs that trade throughout US market hours: SPY (S&P 500, total return), VT (global equities), AGG (intermediate bonds), TIP (TIPS), GLD (gold), DBC (commodities), SHV (T-bills = cash). Dividend-adjusted closes are used, so each ticker behaves as a total-return index. The months after the last monthly data point (Jul 2026 and Aug 2026) are computed from those ETF closes using the exact same sleeve and rotation rules, then spliced onto the historical series. The current month is evaluated live: the in-force allocation (decided at the last completed month-end) and a preview (what the signals say if the month ended right now). It auto-refreshes every five minutes.
What are the caveats?
Only the spliced live months use ETF proxies instead of the original index data (VT instead of the original global-equity index, AGG instead of the 5-year Treasury total-return series, DBC instead of the commodity price index), so the last two months are close approximations of what the original page would show once its monthly sources catch up. Yahoo's current-session prices are roughly 15 minutes delayed. The current month's returns and provisional NAV are estimates — the final monthly close is not known until the month ends. Monthly signals only fire at month-end; the in-force allocation never changes intra-month, exactly like the original.