US Equity Allocation Model
Two systematic strategies on a shared regime-conditional research framework anchored on the Fama-French factor literature and a macro-stress overlay. The strategies hedge opposite ends of the megacap-concentration regime cycle: Core + Momentum Overlay on cap-weighted S&P 500 with a factor overlay, and Anti-Concentration on equal-weight S&P 500 with a dynamic top-7 megacap overlay.
SPY core (70%) with a rotating factor overlay (MTUM default, USMV defensive). Standard core-equity exposure with a momentum-tilt overlay seeking alpha against a four-factor blend benchmark.
~9–15% of the portfolio per year (30–50% on the 30% overlay; the 70% core never trades).
Estimated tax drag, assuming the top US federal marginal rate: ~15–30 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.
- What changedNo change this month — DEFAULT held for 36 months.
- What it meansHolding 70% SPY core + 30% MTUM (default overlay).
- What to watchAll defensive triggers clear. Next rebalance Jun 30, 2026.