Crisis Alpha
The 🐿️'s 'Start the Week' note! Our weekly review of BUSHY™ and live Acorn trade ideas. 2026, Week 19.
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Quick favor. I wanted to try and see the overlap between my subscribers and followers on the various social platforms. This is a single question survey (5 seconds max to complete). I will apply complimentary 1 month access worth $45 (1 month top up for paid subs) to 30 random respondents to this poll. I will select the recipients at random on Wednesday.
The BUSHY™ beta portfolio was essentially flat on the week, closing Friday at +10.02% YTD with weekly annualized volatility of 8.46% (versus 19.45% for Vanguard benchmark and 15.32% for the S&P).
Before we get to the full review and updates on the Acorn positions, I want to focus on one sleeve of the portfolio that has been a consistent deliverer in the past year - the allocation to trend following CTAs.
At nearly 15% of NAV, I view this allocation - described by parts of the trend-following industry as “crisis alpha” - as BUSHY™’s core diversification tool.
This is large allocation even when compared with vocal managed futures / trend advocates such as Cambria’s Meb Faber and 3Fourteen’s Warren Pies.
In soccer terms, these trend funds (labelled in turquoise below) have represented the solid offensive ‘mid-field’ of BUSHY™’s YTD returns, contributing just under 22% of total returns for the beta portfolio.
I am not actually a huge fan of the Katie Kaminski’s ‘Crisis Alpha’ epithet for trend-following - but it is catchy! For me the allocation is my primary (non-bond) diversifier as well as a strategy to partially outsource the momentum factor (where I do not claim to have any quantitative edge - just a box of well-chewed crayons).
Having said that, I think we can safely say that the trend CTAs have delivered alpha in a crisis-strewn market so far in 2026.
The Story So Far
Regular readers will know that the 🐿️ gave up on bonds as a ‘buy and hold’ diversifier several years ago (The Murdoch Effect). My base case is that we are entering a period of inflation volatility that will remove the negative correlation of stocks and bonds that made the 60/40 portfolio so attractive for so much of the past 30 years.
Historically, I only previously tracked the CTAs in order to get a sense of where this portion of systematic / rules-based investors were positioned. 3 years ago, I started to get properly ‘trend curious’.
In early 2024, I looked into whether or not the expanding menu of (‘democratized’ by new ETF rules) CTAs could potentially become a core allocation for me. The May 2024 article takes you through the full background, including the sizing logic of the allocation.
The timing was brutal. After correctly sniffing out the fixed income bear market of 2022 and catching some ‘all-timer’ trends in 2023/4 (think cocoa), I dramatically increased my allocation to ‘the robots’ in May 2024 just as they entered a drawdown from which they did not recover until October of last year.
It is only in the past month that this allocation has started to deliver a positive total return relative to bonds.
The allocation is made up of 6 ETFs and one mutual fund (MFTFX / DUNN Capital). Diversifying the diversifiers has helped to smooth the volatility profile of the allocation - the maximum drawdown at the individual fund level was much more extreme than the 10-12% (at the basket) level I was experiencing this time last year.
In the past year, there has been some significant dispersion amongst performance (interesting that of late the ‘OGs’ - DUNN, Jerry Parker and MAN’s AHL have been the standouts). Nevertheless all of them have smoked bonds in terms of total returns.
The funds have delivered these returns with 3-month volatility in line with the S&P 500 and a significantly superior Sortino ratio (I only care about downside vol - I consider Sharpe to be a pretty meaningless measure of risk adjusted returns).
Another plea to take the survey. I wanted to try and see the overlap between my subscribers and followers on the various social platforms. This is a single question survey (5 seconds max to complete). I will apply complimentary 1 month access worth $45 (1 month top up for paid subs) to 30 random respondents to this poll. I will select the recipients at random on Wednesday.
The next section (for existing paid subscribers) is already in your inboxes (Heading: Crisis Alpha - Part 2). In it we breakdown the positioning of the CTAs in more detail and conclude that it may give the 🐿️ license to press a couple of core positions.
If you are a free subscriber and cannot wait for June to subscribe and get access to the paid content, send me a note and we will see what we can do about a trial.
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