U-Lowkey Overview
| CAGR | 10.4% |
|---|---|
| Maximum drawdown | -10.2% |
| MAR ratio | 1.02 |
| History | 29 years (357 months) |
U-Lowkey is the UCITS version of Lowkey, developed by Randy Harris of Dual Momentum Systems for investors outside the United States who buy UCITS funds rather than US-listed ETFs.
Like Lowkey, it is built for the investor who wants to set things up, check in occasionally, and get on with life. It holds U-Carrier at 60% and an all-weather ballast at 40%, and rebalances back to those weights each January.
What Changed From Lowkey
| Block | Lowkey | U-Lowkey | Why |
|---|---|---|---|
| The 60 | Carrier | U-Carrier | No UCITS long/short equity fund; its share goes to US large caps and managed futures |
| The 40 | Permanent Portfolio DMS | The U-Lowkey ballast, below | Permanent Portfolio DMS holds a long/short fund, a global macro fund and a tail-risk fund, none of which have a UCITS equivalent |
The Ballast
The 40% keeps the four-quadrant idea behind Harry Browne's Permanent Portfolio, one holding for each economic environment, and builds it from funds a non-US investor can buy:
| Quadrant | Holding | Weight |
|---|---|---|
| Prosperity | US large caps (S&P 500) | 25% |
| Recession | Managed futures | 25% |
| Inflation | Gold (physical gold ETC) | 25% |
| Cash | Intermediate Treasuries and T-bills | 12.5% each |
The one real departure from Browne's original is the recession quadrant. He used long-term Treasuries, and they are what sank the original Permanent Portfolio in 2022, when stocks and long bonds fell together. Managed futures follow trends in either direction, so they can profit from falling bond prices instead of riding them down. Permanent Portfolio DMS uses managed futures in the same role.
The ballast resets to these weights every January, and sooner if any quadrant drifts below 15% or above 35% (the cash quadrant counted as its two funds together).
I tested each of Browne's four quadrants as the one to replace, and several splits of the cash quadrant, before settling on this mix. Replacing long Treasuries did the most for drawdowns, and splitting cash evenly between intermediate Treasuries and T-bills sat in the middle of a flat range of results rather than on a lucky peak.
The UCITS Funds
| Role | Fund | Ticker (London, USD) | GBP line | ISIN |
|---|---|---|---|---|
| U.S. large cap (S&P 500) | iShares Core S&P 500 UCITS ETF (Acc) | CSPX | CSP1 | IE00B5BMR087 |
| Nasdaq 100 | iShares Nasdaq 100 UCITS ETF (Acc) | CNDX | CNX1 | IE00B53SZB19 |
| Managed futures | iMGP DBi Managed Futures Fund R USD UCITS ETF | DBMF | DBMG | LU2951555585 |
| Intermediate Treasuries | iShares $ Treasury Bond 7-10yr UCITS ETF (Acc) | CBU0 | none | IE00B3VWN518 |
| Gold | iShares Physical Gold ETC | IGLN | SGLN | IE00B4ND3602 |
| Short Treasuries (T-bills) | iShares $ Treasury Bond 0-1yr UCITS ETF (Acc) | IB01 | none | IE00BGSF1X88 |
The S&P 500 fund and the managed futures fund are each held in both blocks: U-Carrier uses them in its Risk On mix, and the ballast holds them as quadrants. Your holding in each is the sum of the two.
How Each Half Behaves
| Episode | U-Carrier | Ballast | U-Lowkey |
|---|---|---|---|
| Dot-com bust (Sep 2000 - Sep 2002) | +3.9% | +4.6% | +4.3% |
| Financial crisis (Nov 2007 - Feb 2009) | -7.3% | -4.2% | -5.9% |
| COVID crash (Feb - Mar 2020) | -13.9% | -4.3% | -10.1% |
| 2022 bear market (Jan - Oct 2022) | -8.4% | -1.0% | -5.4% |
The ballast did better than U-Carrier in every one of these episodes. In 2022, where Harry Browne's original lost 15.5%, it was down just 1%.
Performance Highlights
January 1997 through September 2026, net of trading friction:
| CAGR | Max Drawdown | Ulcer Index | UPI | |
|---|---|---|---|---|
| U-Lowkey | +10.4% | -10.2% | 2.86 | 2.87 |
| Lowkey | +12.1% | -10.0% | 2.70 | 3.66 |
| U-Carrier | +12.3% | -16.3% | 4.41 | 2.30 |
| S&P 500 | +9.9% | -51.0% | 15.11 | 0.51 |
The Ulcer Index measures how deep and how long drawdowns were, not just the single worst one: lower is better. UPI (Ulcer Performance Index) is return above T-bills per unit of Ulcer Index: higher is better.
U-Lowkey gives up about 1.7 percentage points a year to Lowkey, with almost exactly the same worst decline. Most of that gap comes from the early years: since 2013 the two are within about a quarter of a point a year. Its worst calendar year was 2022 at -7.3%, the same as Lowkey's, with three down years out of thirty. Its worst stretch was the tail of the dot-com bust, a 10.2% fall from October 2001 to April 2002 that was recovered by February 2003, and every rolling three-year period was positive.
Rebalancing and Trading
The same as Lowkey: reset to 60/40 in January, and only in January. In between, U-Carrier changes position when its credit signal says so, and the ballast rebalances each January and on its drift bands. Over the full history that averages fewer than two trading months a year, one of them January.
Notes for Investors Outside the US
- Results are in US dollars. The strategy is calculated on the history of the equivalent US funds, in US dollars. If you measure your portfolio in pounds, euros or another currency, your results will also move with the exchange rate.
- Why UCITS funds. Irish-domiciled UCITS funds are the standard way for non-US investors to hold US markets. They often receive US dividends at a lower withholding rate than a non-US investor holding US-listed ETFs directly would, and they are not US assets for US estate tax purposes. Rules vary by country, so check with a tax adviser where you live.
- Gold is held as an ETC. UCITS rules do not allow a fund that holds only gold, so gold is held through the iShares Physical Gold ETC, a security backed by physical gold. It is not a UCITS fund, but it is UCITS eligible and widely available to investors in the UK, Europe and elsewhere.
- Managed futures history. The managed futures fund launched in 2019. Its earlier history in this backtest is a reconstructed series built to replicate the same strategy.
- Listings. The tickers above are the London Stock Exchange USD lines unless noted. Most of the funds also trade in London in pounds and on European exchanges in euros, under the same ISIN, which is the surest way to find the right fund at any broker.
Who It's For
U-Lowkey is for investors outside the US who want protection from major market declines without watching the market, a solid rather than maximum return, very little trading and no leverage, all from UCITS funds and a physical gold ETC. Investors comfortable with more activity should compare U-Quiet Compounding.
Past performance, including backtested results, is not indicative of future results. Backtested performance is hypothetical, does not reflect actual trading, and benefits from hindsight in the selection of strategy rules. U-Lowkey is calculated on the history of the equivalent US-listed funds; the UCITS funds track the same or closely matching indexes but their returns will differ, including from fees, tax treatment and currency. Portions of the long-term history rely on reconstructed proxy data for funds that did not exist for the full period. Investors should carefully consider their risk tolerance and consult with a financial advisor.
For the latest details, visit www.DualMomentumSystems.com