Witan Strategy
Four markets. Three exposure levels. One systematic portfolio.
Every Wednesday, Witan publishes one target allocation across US Equities, Gold, Commodities and Bitcoin. Each market is evaluated by two independent rule engines, then combined into a single portfolio under a 100% total-exposure cap.
Portfolio design
Four sleeves, chosen for different jobs.
Diversification comes from combining return drivers that respond differently to changing conditions. Witan Strategy uses four broad exposures, each with a distinct role inside the portfolio.
US Equities
Growth engine.
Broad US equity exposure keeps the portfolio connected to long-term corporate wealth creation. That breadth matters: in a global study of more than 64,000 stocks, just 2.4% of firms accounted for all net stock-market wealth creation from 1990 to 2020.
Gold
Monetary diversifier.
Gold has historically behaved differently from equities and has shown hedge and short-lived safe-haven properties during severe equity stress.
Commodities
Real-economy diversifier.
Commodity futures have historically behaved differently across the business cycle and have shown positive sensitivity to inflation and inflation surprises.
Bitcoin
Distinct risk sleeve.
Bitcoin combines high volatility with a return pattern that has differed from traditional assets. Research supports treating it as a diversifier, but not as a dependable safe haven.
Exposure logic
Two engines create three possible states.
Each sleeve is evaluated by two independent rule engines. Their combined state determines how much of that sleeve is active.
0%
Inactive
0 of 2 engines active
50%
Partially active
1 of 2 engines active
100%
Fully active
2 of 2 engines active
These percentages describe activation within a sleeve, not final portfolio weight. Each sleeve has its own defined exposure range. The four sleeve states are combined, total portfolio exposure stays within 100%, and any remainder stays in cash.
The method is defined before the market asks for a decision.
The ideas behind the rules
The implementation is Witan's. The evidence is much older.
58 markets
Moskowitz, Ooi and Pedersen documented time-series momentum across liquid global futures markets, with return persistence over horizons from one to twelve months.
Moskowitz, Ooi & Pedersen · Journal of Financial Economics · 2012 (opens in a new tab)137 years
A long-run reconstruction of trend following back to 1880 found positive average returns in every decade studied and positive returns in 8 of the 10 largest 60/40 drawdowns.
Hurst, Ooi & Pedersen · Journal of Portfolio Management · 2017 (opens in a new tab)2.4%
In a study of more than 64,000 global stocks, the top 2.4% of firms accounted for all $75.7 trillion of net global stock-market wealth creation from 1990 to 2020.
Bessembinder, Chen, Choi & Wei · Financial Analysts Journal · 2023 (opens in a new tab)Different cycles
Commodity futures have historically shown distinct business-cycle behaviour and positive relationships with inflation and inflation surprises.
Gorton & Rouwenhorst · Financial Analysts Journal · 2006 (opens in a new tab)
Research cited here concerns the underlying investment phenomena. Witan Strategy is a separate implementation.
From signals to allocation
Four market states become one Wednesday allocation.
01
Read each sleeve separately
US Equities, Gold, Commodities and Bitcoin are evaluated on their own rules. A change in one market does not determine the state of another.
02
Combine the two engines
Each sleeve resolves to 0%, 50% or 100% activation.
03
Fit the portfolio
The four sleeve states are translated into target weights under the portfolio exposure cap. Any unallocated remainder stays in cash.
04
Publish Wednesday
The resulting target allocation is published every Wednesday, with the change from the prior week recorded alongside it.
Traceability
A systematic strategy should leave a record.
Witan keeps two records separate. Historical simulation reconstructs how the rules would have behaved on past market data. The publication record shows what Witan actually published after launch.
Historical simulation
One fixed rule set applied to past market data, with assumptions and costs disclosed.
Publication record
The allocations Witan actually published, preserved as they were issued.