One sleeve changed. The whole portfolio did not.
A VAMS flip is local. Stocks, gold, or bitcoin changed state; the entire portfolio did not suddenly acquire a new personality.
Stocks, gold, and bitcoin each have their own VAMS reading. The dashboard looks at volatility-adjusted momentum and trend evidence, then waits for confirmation before moving the confirmed state. That matters because one noisy day should not force a portfolio trade.
AQR’s trend-following research provides the background. Trend signals do not need to know why an asset moved. They treat the move itself as information.
What goes into the signal
VAMS starts with weighted 1-, 3-, 6-, and 12-month log returns. The weights are 20%, 35%, 30%, and 15%. The combined momentum score is divided by 63-day annualized realized volatility, then compared with roughly three years of prior raw scores. A z-score above +0.25 creates bullish pressure. A reading below -0.25 creates bearish pressure.
The calculation also checks five trend votes:
- price above the 50-day moving average;
- price above the 200-day moving average;
- the 50-day average above the 200-day average;
- a positive three-month return;
- the 50-day average rising versus ten trading days earlier.
Bullish requires either a z-score above +0.25 with at least three votes, or price above the 200-day average, positive three-month return, and at least four votes. Bearish is the mirror: a z-score below -0.25 with no more than two votes, or price below the 200-day average, a negative three-month return, and no more than two votes. Everything else is Neutral.
Bullish, Neutral, and Bearish apply 100%, 50%, and 0% of the top-down sleeve target. RSI 14 is shown for interpretation only. It does not change the state or allocation.
What a VAMS flip means
The state change moves from data to allocation through confirmation.
- Momentum changes The asset return and trend evidence improve or weaken.
- Volatility matters The same move means less when volatility is high.
- State confirms The dashboard waits for confirmation before changing exposure.
- Sleeve weight adjusts The impact depends on the asset max weight.
Confirmation keeps the model from twitching
Markets produce noise. Bitcoin produces a lot of it. Even stocks and gold can reverse quickly around policy meetings, inflation reports, and dollar moves.
That is why confirmation matters. A raw VAMS flip must persist for two consecutive closes before the model confirms the state. At the portfolio level, a lower total-risk target also needs two closes, while adding risk or rotating at the same total-risk level needs five. The simulation executes a confirmed allocation on the next trading session. The dashboard is trying to avoid getting chopped up by brief reversals while retaining a faster defensive response.
The cost is that the model may be late. The benefit is that it should make fewer meaningless trades. That tradeoff is normal for rules-based investing.
Sleeve size matters
A VAMS flip in stocks matters more to the whole portfolio than a VAMS flip in bitcoin because the stock sleeve has a larger maximum weight.
That does not make bitcoin unimportant. It means the portfolio is designed so bitcoin’s volatility does not dominate the entire plan. Fidelity’s work on bitcoin volatility is a useful reminder that sizing is part of the risk decision.
Why flips have different impact
A stock flip and a bitcoin flip are not the same portfolio event.
What to check after a flip
After a VAMS flip, ask three questions.
First, which sleeve changed? Second, did the top-down regime agree with the move or fight it? Third, how much did the actual model allocation change?
That keeps the signal in context. A bitcoin flip inside a supportive risk-on regime is different from a bitcoin flip during a dollar squeeze. A gold flip during rising real yields is different from a gold flip during funding stress.
Read the size of the change
A VAMS flip is a state change, not a prophecy.
Check which sleeve moved, whether the state is confirmed, how the top-down regime caps it, and what happened to the actual portfolio weight. The badge is only the beginning of the explanation.