M&M hypothetical portfolio performance
OOS Equity through Friday 2026-06-05, with weekly / MTD / YTD 1.
1 Last week's brief showed YTD +9.17% with a -2.59% weekly result. This week prints YTD +11.08% with -3.50% weekly. Compounded naïvely, last week's YTD × this week's -3.50% would round to about +5.4%, not +11.08%. The gap is identified historical pricing bug correction, not a misprint.
Featured this week: New Zealand Dollar (6N)
The setup is a positioning divergence at the historical edge. Leveraged-money funds — "specs" on the TFF report — pushed net short to -27,797 contracts, 1-year z-score -2.52σ, 3-year z-score -2.88σ, all-time percentile 0.2. That is the bottom of the available history; there is effectively no prior instance where this cohort was further from net long.
Leveraged Money - Positioning Momentum - WoW, Z-Score (1-yr) and Z-Score (3-yr)
Dealers sit on the other side: net long +52,726 contracts, 3-year z-score +1.26σ, all-time percentile 97.6. Real money buying meets spec capitulation at the historical extremes of both books.
Fan chart of the 20-match divergence cohort, weeks 1-26 forward. Median path turns positive by week 4 and stays positive through week 26.
The COT Delta Profile sits in the middle of the story. Current 0.5799 is at the top of the 1-year and 3-month delta clusters (0.57-0.58). The 6-month POC sits at 0.5757; the 3-month POC sits at 0.5917 — both reliable magnets in the available data. The shorter window has migrated higher with price; the longer window pulls toward the recent floor. A bounce path of least resistance points to 0.5917 first.
6N COT Delta Profile 3 months
6N COT Delta Profile 1 year 3-month and 1-year delta profiles. The 3-month POC at 0.5917 sits above current price; the 1-year cluster spans 0.57-0.58, with the 6-month POC at 0.5757 anchoring the lower edge. Two magnets, one above and one within reach.
Seasonal pulls the other way. Week 23 forward returns on the Kiwi are weak across every lookback: 8-week 5-year mean -1.73% with 0% win rate, 26-week 5-year mean -2.49% with 20% WR. The positioning extreme and the delta profile argue mean reversion toward 0.5917; the calendar argues the trend persists. Both readings are explicit.
Forward outlook table for 6N. The analog cohort horizons sit above the seasonal layer; the contrast at 8-26 weeks is where the conflict lives.
What's moving across the 31-market book
Currencies — three specs at the floor, one spec at the ceiling. 6S (Swiss Franc) leveraged money at 1-year z-score -2.91σ. 6N (New Zealand Dollar, featured above) at percentile 0.2. 6J (Japanese Yen) spec at percentile 3.5. On the other side: 6A (Australian Dollar) spec z1y +1.27σ, percentile 87.6. Four of seven FX markets sit outside ±1σ on the 1-year window.
1-week WoW / 1-year / 3-year z-scores across all seven tracked FX pairs, by cohort.
Treasuries — the biggest single-print of the week. ZN (10-Year T-Note) asset managers added +260,401 contracts in one week, taking net long to 2.31M and all-time percentile to 99.6. ZB (30-Year T-Bond) dealers net short -271,781, 3-year z-score -2.16σ, percentile 0.7. ZF (5-Year T-Note) spec at 1-year z-score +2.10σ, asset managers cut -205,784 contracts. Three cohorts, three different stretches of the curve, all extending.
Z-scores across ZN, ZB, ZF. Asset-manager column is the standout.
Equities — specs at the historical floor. ES (E-mini S&P 500), NQ (E-mini Nasdaq 100), YM (E-mini Dow Jones) speculative net positions all sit between the 5.2nd and 6.7th all-time percentiles. Current-week seasonals print 75-77.8% win rate on the 5-year lookback. Positioning extreme into a positive seasonal — the cleanest configuration in the book.
Z-scores across the four equity-index futures. Sec-floor reading across the complex.
Grains — ZW capitulation print. ZW (Chicago Wheat) specs cut -39,165 contracts, 1-year z-score moved -1.10σ in a single week. Commercials covered +35,166 contracts on the other side. ZL (Soybean Oil) spec at z1y +1.64σ, percentile 99.5 — the cohort extreme of the complex. ZS, ZC, ZM all sit in the portfolio.
Z-scores across the grain complex. ZL spec column reads the ceiling; ZW spec column shows the WoW drop.
Metals — HG flipped, commercials at the floor. HG (Copper) specs z1y +1.60σ, all-time percentile 94.9 — the long flip that drove the recent portfolio entry. Commercials on the other side at percentile 0.2, 3-year z-score -2.32σ. PL, SI, GC near neutral.
Z-scores across GC, SI, HG, PL. HG dominates this print.
Energy — HO spec capitulation extends. HO (Heating Oil) spec at 1-year z-score -1.68σ, all-time percentile 14.7, 26-week index pinned at 14. CL (WTI Crude Oil) commercials at percentile 99.8. NG (Natural Gas) spec percentile 16.0. The energy book has spread inside its own extremes — long-side and short-side both at the edges of their historical ranges.
Z-scores across CL, NG, RB, HO. HO short and CL long are the standouts.
Softs — CT spec ceiling. CT (Cotton) spec at 1-year z-score +2.29σ, percentile 69.2 — the long extreme on the 1-year window. KC (Coffee) and CC (Cocoa) spec both below -1.4σ. The complex is split between two long-end and two short-end extremes.
Z-scores across KC, CC, SB, CT. Cotton's z-score line is the ceiling read.
State transitions this week: none. The model held all 8 active positions through the -3.50% weekly result.
All 31 tearsheets — week of 2026-06-05:
Closed-trades highlights
No positions closed this week. The model held the 8 active longs through the drawdown.