statarb-momentum-diversified-v1 (neutral book + bond+gold diversifier)
ID: S039
Slug: statarb-momentum-diversified-v1
Date: 2026-07-06 (frozen)
Status: FROZEN 2026-07-06 (owner freeze). Builds on S-038: adds a deliberate directional
bond+gold diversifier sleeve alongside the market-neutral 70/30 reversion+momentum book. Promotes: D-010.
This is the frozen basis of S-038 → — the diversified composition that S-038 tracks forward. See the S-038 forward-paper page for the live record; this page documents the composition and its confirmation only.
Composition (frozen)
- Neutral book (S-038): 70% sleeve A (idiosyncratic residual reversion, clean common-stock universe, κ-sizing + sector tilt, MOC, net@3bps) + 30% sleeve B (residual momentum + risk-off switch). Beta ≈ 0.
- Diversifier sleeve (NEW, directional long-only): equal-weight IEF + GLD (intermediate Treasuries
- gold), monthly rebalanced. NOT a pairs/relative-value trade — outright directional exposure to uncorrelated assets for diversification/crisis-damping.
- Blend: 70% neutral book + 30% diversifier, vol-scaled from the frozen in-sample vols.
Confirmation (D-010) — sealed 2023+ holdout
| n | net/yr | maxDD | Sharpe | beta | |
|---|---|---|---|---|---|
| in-sample ≤2022 | 196 | +8.5% | 22% | 1.09 | |
| HOLDOUT 2023+ | 40 | +17.7% | 6% | 1.83 | −0.12 |
Gate (Sharpe>0.5, |beta|≤0.15, DD≤1.5×IS) → PASS. Improves S-038 (IS 0.98→1.09, holdout 1.50→1.83). Deflate 1.83 heavily (40 months; a gold-favourable 2023+ window).
Honest notes
- Still equity-neutral but less pure: beta to SPY −0.12 (vs S-038 −0.03) — the directional bond/gold adds some (negative) beta. Within the gate, but not beta-0-to-everything: it now carries duration and gold-price risk (bonds crashed −31% in 2022; gold was flat/down 2012-2018). That directional risk is the point — it provides the crisis-damping a market-neutral spread cannot.
- Deployment = higher return (owner choice): run at target vol (leverage/portfolio margin) to take the better Sharpe as return rather than lower drawdown — which means drawdown scales with vol, not disappears.
- Vault SPENT: this is the 5th touch of the 2023+ holdout (D-005/006/008/009/010). The block is no longer meaningfully "unseen" — further evidence must come from forward paper, not holdout re-runs.
Stage-3 gate — FROZEN (as S-038)
≥12 mo · net Sharpe ≥0.6 · |beta|≤0.15 · maxDD ≤20% · sleeves net-positive · sleeve-A exec cost ≤4 bps/side.
Confirmation: the exploration workspace. Base: S-038.