Managed Futures (TSM)

tsmom · 8/6/2026 12:52 AM CT · inside its mandate
NAV / unit
99.9645
Return
-0.04%
Value
$99,964.47
Cash
28.3%
Positions
11
Max drawdown
-0.02%
Today, pass by pass
8/6/2026 12:52 AM CT
NAV per unit, daily
Exposure
95% long · 23% short · 28% cash · net +72%

What this fund believes

Thesis
Each asset is judged against its own history: long when its 12-month return is positive, flat when it is not. No forecasts, no cross-asset opinions -- only the question 'which way is this trending on its own terms'. Long positive trends, short negative ones, as a real CTA does.
Lineage
CFA Level II Alternative Investments LM4, opportunistic strategies: managed futures. Moskowitz, Ooi and Pedersen, Time Series Momentum (2012), long-only implementation.
The regime that kills it
Trendless, mean-reverting markets -- every entry reverses and every exit precedes a rally, on both sides of the book. Sharp V-turns hit twice: the shorts squeeze on the bounce before the longs requalify.

How it decides

Decision inputs
each asset's own 12-1 month return: positive means long, negative means short
Cadence
Reconsiders every 21 days; holds 8 positions at target; refused buys fall through to the next-ranked name.
Universe
SPY, QQQ, IWM, EFA, EEM, TLT, IEF, HYG, GLD, SLV, DBC, USO, UUP, VNQ

Its mandate versus the base mandate

LimitThis fundBase mandate
maxSingleEquityPct14.07.0 tuned
maxSingleEtfPct14.05.0 tuned
maxSectorPct100.035.0 tuned
cashMinPct0.010.0 tuned
cashMaxPct100.020.0 tuned
minPositions015 tuned
maxPositions3030
maxNonUsPct40.010.0 tuned
allowShortingTrueTrue
maxSingleShortPct8.04.0 tuned
maxGrossShortPct30.040.0 tuned
shortCollateralCoverage1.01.0
allowLeverageFalseFalse

Current holdings, and why each is held

TickerClass / sector WeightLastP&L Rationale recorded at entry
SLVSilver11.88%56.07-0.02%Managed Futures (TSM): ranked 1 of 11 on Managed Futures (TSM) (score 53.8)
USOCrude Oil11.88%114.88-0.02%Managed Futures (TSM): ranked 2 of 11 on Managed Futures (TSM) (score 49.6)
EEMEmerging Markets11.88%65.72-0.02%Managed Futures (TSM): ranked 3 of 11 on Managed Futures (TSM) (score 35.6)
IWMUS Small Cap11.88%299.77-0.02%Managed Futures (TSM): ranked 4 of 11 on Managed Futures (TSM) (score 32.9)
DBCBroad Commodities11.88%28.48-0.02%Managed Futures (TSM): ranked 5 of 11 on Managed Futures (TSM) (score 27.4)
GLDGold11.88%389.64-0.02%Managed Futures (TSM): ranked 7 of 11 on Managed Futures (TSM) (score 20.3)
SPYUS Large Cap11.87%769.79-0.02%Managed Futures (TSM): ranked 8 of 11 on Managed Futures (TSM) (score 18.7)
QQQUS Growth11.86%716.51-0.13%Managed Futures (TSM): ranked 6 of 11 on Managed Futures (TSM) (score 27.0)
IEFIntermediate Treasuries-7.76%93.24-0.06%Managed Futures (TSM): short-ranked 2 of 3 on Managed Futures (TSM) (score 2.3)
HYGHigh Yield Credit-7.76%79.52+0.02%Managed Futures (TSM): short-ranked 3 of 3 on Managed Futures (TSM) (score 0.7)
TLTLong Treasuries-7.77%83.05+0.08%Managed Futures (TSM): short-ranked 1 of 3 on Managed Futures (TSM) (score 4.5)

Recent trades

IDDateAction TickerNotionalRationale
T-00112026-08-05SHORTHYG$7,758.29Managed Futures (TSM): short-ranked 3 of 3 on Managed Futures (TSM) (score 0.7)
T-00102026-08-05SHORTIEF$7,758.41Managed Futures (TSM): short-ranked 2 of 3 on Managed Futures (TSM) (score 2.3)
T-00092026-08-05SHORTTLT$7,758.53Managed Futures (TSM): short-ranked 1 of 3 on Managed Futures (TSM) (score 4.5)
T-00082026-08-05ENTRYSPY$11,873.03Managed Futures (TSM): ranked 8 of 11 on Managed Futures (TSM) (score 18.7)
T-00072026-08-05ENTRYGLD$11,873.31Managed Futures (TSM): ranked 7 of 11 on Managed Futures (TSM) (score 20.3)
T-00062026-08-05ENTRYQQQ$11,873.59Managed Futures (TSM): ranked 6 of 11 on Managed Futures (TSM) (score 27.0)
T-00052026-08-05ENTRYDBC$11,873.87Managed Futures (TSM): ranked 5 of 11 on Managed Futures (TSM) (score 27.4)
T-00042026-08-05ENTRYIWM$11,874.15Managed Futures (TSM): ranked 4 of 11 on Managed Futures (TSM) (score 32.9)
T-00032026-08-05ENTRYEEM$11,874.44Managed Futures (TSM): ranked 3 of 11 on Managed Futures (TSM) (score 35.6)
T-00022026-08-05ENTRYUSO$11,874.72Managed Futures (TSM): ranked 2 of 11 on Managed Futures (TSM) (score 49.6)
T-00012026-08-05ENTRYSLV$11,875.00Managed Futures (TSM): ranked 1 of 11 on Managed Futures (TSM) (score 53.8)