Research Product
US Fixed Income Allocation Model
AGG core (70%) with a rate-vote and relative-momentum overlay rotating across HYG, TLT, and BIL. 18-year backtest, Sharpe lift +0.12 over a B1 fixed-mix benchmark.
HYG2months in state
2/3 favorable rate vote·Next rebalance Jun 30, 2026
Last state change
Apr 30, 2026
Signal date
May 31, 2026
Current state
HYG
Months in state
2
31 days
Last state change
Apr 30, 2026
Signal date May 31, 2026
Next rebalance
Jun 30, 2026
Quarterly rebalance
Rate vote
2/3 favorable
Threshold 2 of 3
State logic: High-yield credit carry. Rate environment favorable and credit beats duration on trailing 3-month relative momentum.
Estimated annual turnover
~18–24% of the portfolio per year (60–80% on the 30% overlay; the 70% core never trades).
Estimated tax drag, assuming the top US federal marginal rate: ~20–35 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
AGG 70%
HYG 30%
Core (permanent)
AGG70%
Overlay (this month)
HYG30%
Rate signal
2/3 · Favorable
Yield curve slope
Tests whether the 10Y minus 2Y Treasury spread is positive (non-inverted curve).
TLT 6-month trend
Tests whether the trailing 6-month return on long-duration Treasury ETF (TLT) is positive.
TIP 6-month trend
Tests whether the trailing 6-month return on inflation-protected Treasury ETF (TIP) is positive.
yield curve and TIP 6M positive; TLT 6M negative — vote 2/3, favorable. Threshold: 2 of 3.
Relative momentum
HYG > TLT
HYG 3M
+0.99%
winner
TLT 3M
-4.53%
HYG 3M +0.99% beats TLT 3M -4.53%, spread -5.52% favors credit.
Last 12 months
HYGTLTBIL
Jun '25
HYG
3/3 · ↑HYG
Jul '25
HYG
3/3 · ↑HYG
Aug '25
HYG
2/3 · ↑HYG
Sep '25
TLT
3/3 · ↑TLT
Oct '25
TLT
3/3 · ↑TLT
Nov '25
TLT
3/3 · ↑TLT
Dec '25
HYG
3/3 · ↑HYG
Jan '26
HYG
3/3 · ↑HYG
Feb '26
TLT
3/3 · ↑TLT
Mar '26
TLT
2/3 · ↑TLT
Apr '26
HYG
2/3 · ↑HYG
May '26
HYG
2/3 · ↑HYG
Act on this signal