M&M hypothetical portfolio performance
Closed-trades equity, January 2022 – May 2026. Y-axis: cumulative return from $1M baseline. Gold dashed line marks the January 2022 HMM training cutoff; all returns shown are out-of-sample.
1-week | MTD | YTD | OOS MaxDD | |
|---|---|---|---|---|
M&M hypothetical | −0.67% | +1.97% | +11.97% | −9.82% |
M&M hypothetical weekly performance snapshot. OOS MaxDD measured on the closed-trades equity curve from January 2022.
A quiet week in the book: one position opened (Soybean Meal), no closures. The −0.67% draw is the smallest weekly move in five weeks. MTD and YTD both holding positive.
Featured this week: Gold (GC)
Gold producers stopped hedging this week. Commercial net positioning landed at the 95.58 all-time percentile — the high end of the entire historical range — with a 3-year z-score of +1.60σ and the 26-week index pinned at 99.7. Net commercial short sits at just −20,016 contracts. For producer-merchants in gold, who are structurally net short across the cycle, this is the lightest hedging stance they have held since 2008.
The other side tells the matching story. Managed Money sits at the 38th all-time percentile with a 3-year z-score of −0.85 and the 26-week index at 5.9 — specs liquidated 6,239 contracts this week and have been cutting through their net long for most of the year. Swap dealers, the client-flow mirror, are at the 28th all-time percentile but their 26-week index pinned at 100 indicates clients have been adding to long exposure off the lows over the past six months.
Gold (GC) weekly close with DMA20/50/100/200 and Managed Money / Producer-Merchant / Swap Dealer net contracts, 3-year window.
Price closed at $4,509.50 Friday, down −1.15% on the week, −16.4% YTD, with a 52-week range of $3,273.70–$5,395.80.
The MA stack score is 0.667: close above MA20 ($4,620), above MA50 ($4,707), and above MA200 ($3,913), but the MA20 sits below MA50 — one inverted spread in an otherwise constructive configuration.
The 12-month spread (MA50 vs MA200) is +17.6%, the widest trend gap in the metals complex.
6-month COT Delta Profile. The present activity cluster spans the $4,400–$4,700 zone where producers cut net short and specs liquidated longs into the same prints.
The analog trigger fired on the producer-merchant percentile read - 9 prior instances of commercial net reaching this band: 2007-06-26, 2008-08-26, 2008-10-28, 2013-04-23, 2013-11-12, 2022-07-19, 2022-09-20, 2023-08-15, 2026-02-10.
Forward distribution: 1w +0.18% median (56% win, n=9), 4w +3.70% (67% win, n=9), 8w −0.29% (33% win, n=9), 12w −1.53% (44% win, n=9), 26w +14.15% (88% win, n=8 — one prior match has not yet completed its forward window).
The 8–12 week segment is the noise zone — short of stats, with sub-50% win rates and a wide IQR. The 4-week and 26-week endpoints are where the cohort earns its keep.
9 historical matches on the producer-merchant percentile trigger. Median forward path with IQR band. Note the 8–12w mid-horizon noise.
What to watch: producer-merchant net on next Friday's release. If commercials remain at or near the 95th percentile for a second consecutive print, the cohort gains a fresh anchor; a sharp re-hedge would weaken the signal. On price: the MA20/MA50 inversion is the single trend disagreement. A reclaim of MA50 (≈$4,707) would close that gap.
What's moving across the 31-market book
Rates: ZN asset managers added +224,206 contracts in a single week — the largest weekly add in the entire 31-market cross section. Net long now at 2,359,810 contracts, 99.7 all-time percentile. ZF asset managers added +182,054 alongside it. Dealers absorbed both prints on the short side.
Grains: ZC swap dealers hit a 3-year z-score of +3.12σ, the most extreme cohort reading in the book this week (90.3 all-time percentile, 26-week index 100). ZL specs at the 99.6 all-time percentile with a 3-year z-score of +2.57σ; commercials on the other side at the 1.1 all-time percentile.
Metals: HG commercial net at the 0.19 all-time percentile (3-year z-score −2.31σ) — the bottom of the historical range. Specs absorbed the print on the long side. GC commercials at the opposite extreme (95.58, see Featured above).
Softs: Cocoa (CC) swap dealers at the 100.0 all-time percentile (3-year z-score +2.97σ). Cotton (CT) commercials at a 3-year z-score of −2.25σ.
Equities: NQ specs at the 11.7 all-time percentile, 1-year z-score −1.48σ. YM specs at the 5.4 percentile, the most extreme equity-index spec net in the book.
Currencies: 6A (AUD/USD) shows a clean cohort divergence — asset managers at the 99.4 all-time percentile (3-year z-score +2.39σ) opposite TFF dealers at the 0.29 percentile (3-year z-score −2.48σ). Real money and dealers at their respective historical extremes the same week.
Energy: HO specs added +23,581 contracts WoW despite sitting at the 20.0 all-time percentile — a heavy weekly add into a still-low net position.
State transitions this week: ZM (Soybean Meal) — sole position change in the book.
All 31 tearsheets — week of 2026-05-22:
Closed-trades highlights
No closed positions this week. The book carried seven prior positions into the print and added one (Soybean Meal). Closure activity through May has been heavy — twelve trades exited in the prior three weeks — so a quiet print here is consistent with the model holding the current allocation through a positioning-heavy week.