Selective exposure
Capital is deployed only when participation conditions qualify.
Breadth Capital
Short-horizon managed futures driven by market participation.
A differentiated return stream designed to improve the efficiency of equity-heavy portfolios and complement conventional managed futures.
SystematicLong / ShortShort HorizonMostly Uninvested
Participation fieldCross-sectional
Historical simulation · approximately 2011–2026
A return stream built to stand apart.
~16%Annualized return
~11%Annualized volatility
~1.4Sharpe ratio
~8–10%Maximum drawdown
~0.0S&P 500 correlation
Preliminary internal historical simulation at the institutional risk configuration. Hypothetical, unaudited and not representative of live fund performance. Sharpe shown using a 0% risk-free assumption for comparability with the current research set.
Why it may be useful
Different by construction.
Breadth Capital seeks to add a return stream with a different signal source, holding period and exposure profile.
Long / short
The strategy can participate in both rising and falling markets.
Different return driver
Signals come from cross-sectional participation rather than conventional price trend alone.
Low persistent exposure
Historical strategy variants were uninvested roughly 96–98% of the time.
A different expression of trend persistence
Trend following through participation, not just price.
Traditional trend strategies typically identify persistence through price over longer horizons. Breadth Capital seeks similar directional persistence through short-horizon market participation.
Traditional trendPrice trend
Persistence observed through price over medium and longer horizons.
Breadth CapitalParticipation
Persistence inferred from coordinated cross-sectional participation over a shorter horizon.
Same broad economic intuition: persistence. Different measurement, horizon and exposure profile.
Managed-futures context
Useful traits are usually split across strategies.
Breadth Capital is designed to complement conventional managed futures, not replicate them.
| Property | Trend CTA | Short-term CTA | Tail risk | Market neutral | Breadth Capital |
|---|---|---|---|---|---|
| Positive-return objective | Yes | Yes | Often difficult | Yes | Yes |
| Long / short | Yes | Yes | Mostly defensive | Yes | Yes |
| Low persistent equity beta | Yes | Yes | Yes | Yes | Preliminary |
| Multi-asset diversification | High | High | Varies | Low | Low |
| Fast response | Limited | Yes | Yes | Varies | Yes |
| Mostly uninvested | No | Usually no | Varies | No | Yes |
| Sustained equity-stress utility | Often | Varies | High | Varies | Historically favorable |
| Primary signal | Price trend | Multiple signals | Convex protection | Relative value | Market participation |
Swipe to compare →
| Property | Breadth Capital | Trend CTA | Short-term CTA | Tail risk | Market neutral |
|---|---|---|---|---|---|
| Positive-return objective | Yes | Yes | Yes | Often difficult | Yes |
| Long / short | Yes | Yes | Yes | Mostly defensive | Yes |
| Low persistent equity beta | Preliminary | Yes | Yes | Yes | Yes |
| Multi-asset diversification | Low | High | High | Varies | Low |
| Fast response | Yes | Limited | Yes | Yes | Varies |
| Mostly uninvested | Yes | No | Usually no | Varies | No |
| Sustained equity-stress utility | Historically favorable | Often | Varies | High | Varies |
| Primary signal | Market participation | Price trend | Multiple signals | Convex protection | Relative value |
Illustrative portfolio study
What matters is what the strategy does to the portfolio.
Breadth Capital is designed to improve the portfolio around core equity exposure, not replace it. In preliminary historical analysis, introducing Breadth alongside equities and traditional managed futures increased return per unit of risk while reducing overall volatility and drawdown.
Portfolio A80% SPX / 20% traditional CTA
Portfolio B60% SPX / 20% traditional CTA / 20% Breadth Capital
Portfolio APortfolio B
CAGR10.5%10.9%
Volatility11.1%8.6%
Sharpe0.961.25
Max drawdown15.8%10.7%
Lower portfolio volatility can create additional risk capacity, allowing investors to choose between lower overall risk or redeploying that risk budget elsewhere.
Illustrative historical analysis using preliminary simulated Breadth Capital returns and historical benchmark data. Monthly-rebalanced; not a recommendation or forecast. Results are hypothetical and sensitive to assumptions, data sources, implementation and fees.
Portfolio efficiency
Diversification is more than a smoother ride.
Combining positive-return streams that behave differently can reduce portfolio variance, limit volatility drag and improve the efficiency of long-term compounding.
Illustrative two-year exampleSame 10% arithmetic return. Different compound outcome.
Volatile streamDiversified stream
Year 1+30%+10%
Year 2−10%+10%
Arithmetic average10.0%10.0%
$100 ending value$117$121
CAGR8.2%10.0%
Less variance leaves more capital compounding.
Illustrative mathematical example only. It does not represent Breadth Capital performance or forecast future results.
Downside behavior
Most useful when stress persists.
Historical results were strongest during sustained, broadly coordinated equity declines. Abrupt or reversal-heavy selloffs were more mixed.
Average simulated Breadth Capital return across the ten worst non-overlapping SPX declines at each horizon in the internal event study. Historical simulation; not a hedge guarantee.
Implementation
Liquid. Selective. Controlled.
- Instrument
- U.S. equity index futures
- Direction
- Long and short
- Holding period
- Intraday to several days
- Typical exposure
- Highly selective
- Weekend exposure
- None
- Risk objective
- ~10% target volatility
Investment philosophy
Useful over brilliant.
We care about robustness, liquidity, diversification and disciplined implementation — not complexity for its own sake.
Breadth Capital