Research Product · Canada
CA Equity Allocation Model
Two-state Canadian equity allocation for CAD-mandate portfolios. 70% TSX broad-market core + 30% rotating overlay between Canadian momentum and low-volatility, gated by a US-anchored macro stress trigger (VIX, HY OAS z-score, SPY 3M).
DEFAULT47months in state
0/3 clear stress triggers·Next rebalance June 30, 2026
Overlay ETF
XMTM
Signal date
June 30, 2026
Current state
DEFAULT
Months in state
47
Overlay: XMTM
Prior state
DEFAULT
Months since exit: 46
Next rebalance
June 30, 2026
Quarterly rebalance
Stress triggers
0/3 clear
AND-logic: all 3 to fire
State logic: Macro stress trigger not firing. Overlay rotates to Canadian momentum (XMTM) to capture risk-on factor returns.
Estimated annual turnover
~12–18% of the portfolio per year (40–60% on the 30% overlay; the 70% core never trades).
Estimated tax drag, assuming the Canadian 50% capital-gains inclusion rate: ~12–24 bps/yr on a whole-portfolio basis — a conservative upper bound; less at lower rates. Registered / tax-deferred accounts (RRSP, TFSA, IRA, foundation) see none. See Limitations for the full breakdown.
This week
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Current allocation
XIC 70%
XMTM 30%
Core (permanent)
XIC70%
Overlay (this month)
XMTM30%
Macro stress trigger
0/3 firing → DEFAULT
VIX > 30
15.9 pts
Implied volatility above 30 — equity market priced for elevated near-term realized volatility.
HY OAS z > 1.5
—
US ICE BofA HY OAS 60-month z-score above 1.5 — credit spreads are >1.5 standard deviations wider than the 5-year norm.
SPY 3M < −15%
+16.6%
SPY trailing 3-month return below −15% — broad US equity drawdown has crossed the macro-stress threshold.
No macro stress components firing. Strategy in DEFAULT — overlay in XMTM (Canadian momentum). Entry requires all 3; exit requires all 3 clear for 1 month.
Recent monthly returns
24 months · strategy total return
Jul '24
+3.7%
Aug '24
+0.6%
Sep '24
+3.5%
Oct '24
+1.6%
Nov '24
+6.8%
Dec '24
-2.8%
Jan '25
+4.5%
Feb '25
-1.0%
Mar '25
-2.9%
Apr '25
-0.5%
May '25
+7.1%
Jun '25
+3.0%
Jul '25
+2.0%
Aug '25
+3.4%
Sep '25
+5.8%
Oct '25
+0.7%
Nov '25
+2.1%
Dec '25
-0.1%
Jan '26
+1.0%
Feb '26
+5.0%
Mar '26
-4.4%
Apr '26
+7.8%
May '26
+5.5%
Jun '26
+0.4%
Per-month state coloring will be added once publish.py emits the per-month allocation state in history rows (forward pipeline improvement).
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