Calendar / flows · issue of Oct 21, 2026 · Monthly, last 4 trading days
The Rebalancing Trade
Front-run month-end pension flows.
In the market about 9% of days. The every-month version has faded; large drifts still pay.
Stocks lead by 1.2% this month — below the 3.5% threshold
Reads the month's drift and decides whether to trade.
Exact positions, live levels and the robustness checks for this issue are on the Analyst plan. The stance above and the full record are open to everyone.
Track record
| Last 5 years | Since 2002 | Buy & hold SPY, since 2002 | |
|---|---|---|---|
| Annual return | 7.4% | 6.0% | 11.2% |
| Sharpe ratio | 1.21 | 0.70 | 0.66 |
| Worst drawdown | -4.9% | -15.7% | -55.2% |
A backtest with the issue's own costs, extended to the last close. Past performance does not guarantee future results.
Stance history
In the market 8 of the last 63 sessions, returning -3.1% across them. Last change Nov 2, 2026: Long/short → Flat.
Research Lab
Written down before the results existed: Every 21 sessions after the issue returns between -2.3% and +5.0%: the range of 90% of the 6,076 such stretches in the backtest up to Oct 21, 2026.
No window has completed since the issue went out yet.
Check 1 is running: 15 of 21 sessions in, judged on Nov 19, 2026.
Standing check: the deepest fall since the issue is -3.2%, against a worst of -15.7% in the backtest — within it.
Checked by the program when each window completes and sealed into the record. Misses stay public; the record counts both ways.
The issue's numbers, reproduced
Every figure the issue printed, recomputed on the same window from the platform's own price history.
| Figure | In the issue | Recomputed | |
|---|---|---|---|
| Sharpe, large drifts only | 0.71 | 0.71 | matches |
| Worst drawdown | -16.0% | -15.7% | matches |
| Share of days in the market | 9.0% | 9.1% | matches |
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