Adaptive Credit-Cycle Fixed Income Strategy

Strategy Overview

This strategy pursues a 6% annualized yield target over a 5-year investment horizon through systematic exploitation of credit cycle dynamics across global fixed income markets.

Core Principles:

• Primary Objective: Minimize maximum drawdown (target <10%)
• Secondary Objective: Maximize Sharpe ratio (target >1.0)
• Credit Cycle Engine: EBP-based phase classification (Early Expansion / Late Expansion / Contraction / Recovery)
• Valuation Overlay: FRED credit spread Z-scores, real yield analysis, term premium
• Rebalancing: Daily signal refresh with 5% sector and 2% instrument thresholds
• Risk Management: Volatility targeting (5-8%), circuit breakers at 5%/10%/15% drawdown

The strategy dynamically allocates to credit-sensitive sectors during favorable phases (early expansion, recovery) while preserving capital during contractions through maximum defensive positioning in government bonds and duration extension. FRED valuation signals adjust sector weights: overweight cheap sectors, underweight expensive ones.