Crisis Alpha with Positive Carry and -0.5 Correlation to SPY

Testing a Simple Long/Short Strategy for Portfolio Protection

This week, I test a crisis strategy that delivers roughly 7 to 8% annual returns with about –0.5 correlation to the S&P 500, while making money in every major equity drawdown since 2007. Using 18+ years of ETF data, I discuss how this simple long/short structure can materially cut portfolio drawdowns, without relying on explicit market timing or options.