TEPPER Sleeve · 5 strategies · Live Alpaca paper execution · 15-min signal cycles
CIRCUIT BREAKER ACTIVE — All trading paused
Drawdown exceeded 20% hard limit. Manual review required before resuming.
NAV (Live)
$94,155
live · Alpaca
Inception Return
+3.35%
since 2026-04-03
Daily Return
-0.28%
vs prev snapshot $94,420
Sharpe (since inception)
0.31
annualized · rf 4.5% · 120 trading days
Gross Leverage
1.96x
cap 4.0x
High Water Mark
$128,410
Positions
11
3L 8S
Regime
INFLATIONARY_BOOM
68% conf · R3
Performance & Risk — since inception (2026-04-03)
rolling 30d Sharpe -0.11 (secondary, window-noisy)
Cumulative Return
+3.35%
Ann. Volatility
48.9%
Sortino
0.42
Max Drawdown
−27.52%
Calmar
n/a <1yr
Win Rate (days)
61%
Best Day
+9.14%
2026-06-03
Worst Day
-9.25%
2026-09-21
Monthly Returns (net)
Risk statistics annualized from daily NAV returns (x sqrt(252)); risk-free rate 4.5% annual. Returns for periods under 1 year are not annualized (GIPS); the cumulative since-inception return is shown. Annualized return and Calmar populate at the 1-year mark. Short track record (120 trading days) — annualized risk statistics from short histories are statistically noisy. Since-inception and YTD returns are marked to the live intraday NAV; risk statistics (vol, Sharpe, Sortino, max drawdown) are computed from settled daily closes through the as-of date. *Partial month (from inception / month-to-date). Paper trading.
Fund vs SPY · Inception
Fund+3.35%
SPY+17.95%
Alpha (Inception)
-14.59%
fund − SPY since 2026-04-03
Fund vs SPY · Daily
Fund-0.28%
SPY-0.01%
Beta · Correlation
-0.70
ρ -0.18 · daily log returns
+$1,547
-$1,571,976
59%
175 / $1,084
QQQ · SPY · ACN · NKE · INTU · GLD
-$963
—
38%
65 / $702
AGG · TLT
-$608
-$9,268
45%
30 / $476
GOOGL · AMAT · CAT · HON · AMD · NKE
-$154
—
21%
19 / $11
EEM · QQQ · VIXY · SPY
-$1,323
-$345,347
18%
11 / $43
NVDA · GOOGL · AMZN · CRM · TSLA
-$25
—
57%
8 / $57
ETH · BTC · SOL
-$1,291
—
37%
302 / $555
TLT · DBC · GLD · QQQ · SLV · SPY
+$7,473
+$1,915,562
43%
44 / $512
NFLX · QCOM · AVGO · NVDA · TSM · CMCSA
-$208
—
27%
12 / $101
COST · WMT · V · MA
The live book, stated plainly
Post-earnings drift (PEAD) is the fund's core equity edge. But the live sample is young — 44 closed trades. One of them, AMD, is 38% of realized PEAD profit, and the top 3 names are 78%. On the live sample alone, that concentration is a fair reason to be skeptical.
So we didn't rely on the live sample
We pre-registered a test (hash eab039fd…), sealed it, waited out a cooling-off period, then ran it once on ~5 years of earnings events (n=949): does the drift survive if we delete the biggest winners?
The edge holds without its best names (t > 2 is meaningful) — and it was positive in every market regime tested. It only fades when you remove the top 5% of all events — 48 of them, spread across dozens of tickers over five years. A fat-tailed effect, not a one-stock illusion.
Verdict: Favorable but inconclusive — leans durable & broad, NOT outlier-driven — we set a 4-part robustness bar and cleared 3 of 4, recorded honestly.
Full pre-registration + result →| Time | Strategy | Ticker | Action | Qty | Price | Notional | Realized P&L |
|---|---|---|---|---|---|---|---|
| Jul 29 · 19:37 | Equity Momentum | QQQ | BUYexit | 20 | $668.57 | $13,371 | -$310 |
| Jul 29 · 19:37 | Equity Momentum | SPY | BUYexit | 20 | $733.84 | $15,328 | +$85 |
| Jul 29 · 19:22 | Equity Momentum | SPY | BUYexit | 5 | $735.80 | $4,334 | +$77 |
| Jul 29 · 19:13 | Passive Bonds | AGG | SELLexit | 28 | $97.74 | $2,737 | -$10 |
| Jul 29 · 19:13 | Equity Momentum Xs | GOOGL | SELLexit | 9 | $340.30 | $3,063 | +$28 |
| Jul 29 · 19:13 | Equity Momentum Xs | AMAT | SELLexit | 9 | $459.26 | $4,137 | -$103 |
| Jul 29 · 19:12 | Equity Momentum Xs | CAT | SELLexit | 5 | $791.87 | $3,961 | -$81 |
| Jul 29 · 19:12 | Passive Bonds | TLT | SELLexit | 33 | $83.23 | $2,747 | -$16 |
| Jul 29 · 19:12 | Futures Trend | EEM | SELLexit | 32 | $62.21 | $1,991 | -$36 |
| Jul 29 · 18:22 | Passive Bonds | TLT | SELLexit | 71 | $83.53 | $5,947 | -$12 |
| Jul 29 · 18:22 | Equity Momentum | ACN | BUYexit | 19 | $174.34 | $3,410 | +$39 |
| Jul 29 · 18:22 | Equity Momentum Xs | HON | SELLexit | 7.966115 | $243.66 | $1,292 | -$8 |
| Jul 29 · 18:22 | Equity Momentum | NKE | BUYexit | 41 | $43.00 | $1,769 | +$0 |
| Jul 29 · 18:22 | Equity Momentum | INTU | BUYexit | 7 | $335.17 | $2,456 | +$6 |
| Jul 29 · 18:22 | Passive Bonds | AGG | SELLexit | 46 | $97.69 | $4,506 | -$17 |
| Jul 27 · 16:37 | Equity Momentum Xs | CAT | BUYentry | 1.257288 | $856.60 | $1,077 | — |
| Jul 27 · 16:07 | Equity Momentum Xs | AMAT | BUYentry | 2.334989 | $503.21 | $1,175 | — |
| Jul 27 · 15:52 | Equity Momentum Xs | GOOGL | BUYentry | 2.385123 | $328.70 | $784 | — |
| Jul 27 · 14:52 | Equity Momentum Xs | HON | BUYentry | 3.98644 | $245.58 | $979 | — |
| Jul 27 · 14:52 | Equity Momentum Xs | AMAT | BUYentry | 2.305801 | $509.58 | $1,175 | — |
| Strategy | IC (252d) | IC (63d) | Modifier | Days Below | Status |
|---|---|---|---|---|---|
| Equity Momentum | -0.195 | 0.000 | 0.00x | 41d | SHUTDOWN |
| Crypto Momentum | -0.447 | 0.338 | 0.00x | 999d | SHUTDOWN |
| Futures Trend | -0.156 | 0.000 | 0.00x | 43d | SHUTDOWN |
| Futures Carry | 0.000 | 0.000 | 0.00x | 0d | SHUTDOWN |
| PEAD | -0.000 | 0.000 | 0.50x | 10d | SEEDING |