LEAF in Volatile Markets

Nice little run over the past few months and a great relative day (February 23, 2026). All defensive exposures are up today.  Strategy wise for February 23rd, LEAF is -0.25% vs QQQ -1.34%.

The Risk Off positions in the portfolio and their performance in a day when large equity indexes declined 1% to 1.34%

USD	0.14%
2x Gold	5.06%
Value Long / Short	0.63%
-2x Natural Gas Futures	3.82%
1x Mid-Term VIX Futures	0.97%
Managed Futures	0.55%
Anti-Beta	1.12%
Tail Hedge	0.99%

LEAF performance spread over the NASDAQ since September 2025 in the following chart. Less volatility, smaller drawdowns. The strategy underperforms on on strong equity rallies, but with lower drawdowns, there is a gradual positive performance spread being achieved.

The price of gold has rallied significantly over the past year, on both strong / flat / declining equity periods. Currently it appears to be both a Risk-On and a Risk-Off asset. This has added significantly to LEAF performance

In my view this is unlikely to continue, Typically gold performs as a Risk-Off asset. Possible explanation, retail speculation. There has been major gold purchases by retail Chinese investors and significantly less buying by central banks. It appears that gold is the "new"(speculative) non-digital Bitcoin.

Managed Futures, Anti-beta and Tail Hedge positions will need to kick into gear in order to maintain or improve the LEAF relative performance when the currently rally in gold comes to an end.

Regards,

Tim

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Tim Morton, CFA, is a retired portfolio manager with 45 years of experience working with private clients. He is the editor of mortonir.com and a contributor to Barron's. My comments are not to be taken as investment recommendations. They are purely for discussion purposes. Please see your registered advisor for investment advice.