Skip to content
Contact us

Introducing CrestCast™

Regime Intelligence. Held.

CrestCast™ supplies two regime-informed building blocks: a Durable regime growth sleeve and a Fragile regime stability sleeve. Each design springs from over four decades of macro-regime factor character. Each building block is calculated by VettaFi, our independent calculation agent.  Hold each block according to your firm's use case and the portfolio carries regime-awareness with no signal, no rotation, no timing. This is Passive 3.0®.  

We license CrestCast outputs to ETF sponsors, direct-index and SMA platforms, RIAs and TAMPs to power client-branded solutions that land. 

 
 

Old Truths. New Lens.  

Volatility clusters. Risk is macro-dependent. Factor payoffs change with the regime. These aren't new discoveries — they're old truths, measured with new discipline. CrestCast's regime engine classified over four decades of markets into two states, Durable and Fragile, and identified which factor characteristics each state rewards — findings published in the Journal of Financial Data Science.

Our research carries two implications:

Built in: the Durable and Fragile sleeves carry the regime intelligence in their construction — hold them at any weight and add a macro-regime axis of diversification. No signal, no rotation, no timing.  

Dynamic: for firms building dynamic regime-aware models downstream, the same engine publishes a monthly regime read: dynamic infrastructure for advisory-level implementations, delivered through the vehicles built on the sleeves.

CrestCast™ targets macro regimes that are:
Vector-1
Persistent
Durable and Fragile regimes run for quarters, not weeks. Long enough to shape how a portfolio is built; stable enough that structure — not reaction speed — captures them.
Vector-2
Pervasive
Macro regimes show up across asset classes, sectors, and factors, not in a single benchmark. CrestCast classifies them from macro indicators and market behavior together, from the ground up. 
Vector-3
Impactful 
The gap between what each regime rewards is large, statistically significant, and durable across cycles. Large enough that building it into an index shifts the efficient frontier — no trading required. 

Why a Macro-Regime Engine?

Markets don’t move smoothly. Risk clusters. Volatility persists.

The industry broadly acknowledges this truth — but most approaches still rely on backward-looking cycle labels that explain outcomes rather than inform construction. CrestCast was built to close this gap.

Vector-4

Proprietary Regime Classification

CrestCast extracts regime classifications directly from the data—using macro indicators and market “vital signs” to distinguish Durable from Fragile conditions. The framework is built on peer-reviewed research and validated in strict out-of-sample mode.
Vector-Jul-08-2025-08-24-45-0380-AM

Out-of-Sample Integrity

The core model was finalized using data through 2013 and has never been retrained on subsequent history. From 2014 onward, CrestCast has operated as a live, out-of-sample test of the regime engine itself, not a curve-fit backtest — live with VettaFi since July 2025.
Vector-Jul-08-2025-08-25-41-0978-AM

Plug-and-Play Integration

CrestCast is delivered as building blocks — two published index sleeves ready for ETFs, SMA blends, and direct-index offerings — or as a monthly regime signal for dynamic implementations. Under your brand, inside your infrastructure.
Vector-Jul-08-2025-08-26-21-2136-AM

Transparent, Fiduciary-First Design

The engine is fully documented and explainable, with clear governance and evidence around regime behavior. That makes it easier to explain decisions, document process, and meet  evolving fiduciary responsibility to manage risk across regimes.
 
The engine's monthly read is published as the CrestCast Macro-Aware Index — its live, third-party-calculated proof of record. A demonstration instrument; the products are the sleeves and their blends.
Vector-Jul-08-2025-08-28-32-9336-AM

One Engine, Two Modes

Built in: the Durable and Fragile sleeves carry the regime research in their construction. Hold them at any weight and the regime awareness is structural — no signal, no rotation, no timing. Switched on: the same engine publishes a monthly regime read — dynamic infrastructure for firms building regime-aware models downstream, implemented through the sleeve-based vehicles.

Union 

A Macro-Regime Engine for Real-World Portfolios

 

CrestCast doesn't replace your philosophy, factor research, or portfolio construction. It adds an axis — regime awareness: carried  structurally through the sleeves, or consumed as a monthly read for downstream models.

Either way, no discretion, no style drift.

Built to Generalize. Ready to Integrate.


CrestCast was built with a core belief:  generalization beats backtest beauty, every time.  The model has never been retrained on recent history. It was developed using walk-forward validation, peer-reviewed methodology, and a strict separation between development and evaluation datasets — ensuring the regime engine reflects the real behavior of macro signals, not a curated hindsight.

Walk-Forward Validation
Overfit models carry a signature: strong where the model could see the data, weaker where it couldn't. CrestCast's record shows the reverse — character amplifies in out-of-sample years.
Never Retrained
Post-2013 data has remained untouched during development — ensuring true out-of-sample regime behavior.
Peer-Reviewed Foundation
The research behind CrestCast is published in the Journal of Financial Data Science (2025).

Explore CrestCast™: Purpose & Proof

Vector-Jul-08-2025-08-28-32-9336-AM

Methodology

Delve into the full KNN-based methodology, from unsupervised learning to walk-forward cross validation, detailed analytics and performance analysis published in the Journal of Financial Data Science.

Read our Published Paper
Vector-Jul-08-2025-08-27-54-4068-AM

The Regime Signal, Documented

The Macro-Aware Index's rotation record, measured against the benchmark across the out-of-sample period. The rotation is maximal to make the regime effect measurable. A companion paper covering the full static-to-dynamic menu is in progress.

Insights & Validation

Press Interviews Articles

Partnerships 1

BX Partnership

Big news! Our first press release detailing our major distribution partnership with BX Partners. 
Interview 1

Swift Chat

Marie Swift of Impact Communications and Alan talk advanced analytics and the next evolution in fiduciary asset management.  
Internal Articles 3

Where's the Free-Lunch?

Advisorpedia published this thought piece on the importance of understand the macro-environment for a more robust view of diversfication. This link will take you to the Ad
Internal Articles 1

Black Box or Advanced Intuition?

This article speaks to the difference between black box models and models that use advanced analytics to see old truths in new ways.  

 
Interview 1

Industry Interview

Chris Latham interviews Alan on CrestCast, advanced analytics and dynamic factor investing.  
Key Brand Moments 3

Confidence in Modeling

In this post, Alan writes about the danger of overconfidence in cards and financial modeling.  Sometimes reducing the need for precision helps at the table and in the world of machine learning.  
Passive 3.0

The Product Kitchen

 Two regime-informed sleeves — a growth sleeve and a stability sleeve — and the countless products a firm can build from them. Our new paper on why the sleeves are ingredients, not a strategy.

Licensing CrestCast™

How the Engine Plugs Into Your Platform

ETF Sponsors
License the Durable and Fragile sleeves as clean building blocks — two published, independently calculated indexes with a peer-reviewed foundation and a live record. Wrap one, wrap both, or launch a fixed blend under your brand.
 
Direct Index & SMA Platforms
Blend the sleeves at any fixed weight to hit any risk budget — fully rules-based, with personalization and tax management preserved. The regime awareness is in the holdings, not in trading.
 

RIAs & Model Portfolio Managers
Build regime-aware models downstream, implemented through the sleeve-based vehicles — from fixed blends across client risk tiers to dynamic allocations guided by the monthly regime read and portfolio use case.

TAMPs
One license, the full menu: sleeve blends for model portfolios today, regime-guided implementations as your platform grows — deployed across ETFs, models, and discretionary accounts.

Key Partner Benefits

Differentiation without Reinvention
Add an axis of diversification your competitors don't offer — regime-informed building blocks that slot beside your existing lineup rather than replacing it.

Resilience where it Counts
In prolonged drawdowns — where most compounding is lost — the blend's market beta steps down structurally, with no trading. We document where that defense operates and where it doesn't; the honesty is part of the product.

Scalable Integration
One integration supports the whole menu — sleeve indexes for wrappers, blends for models, and the monthly regime read for dynamic implementations — across every channel on your platform.

Evidence-based Communication
A monthly regime report gives advisors and committees a clear, repeatable narrative — anchored in a published, never-revised record rather than opinion.

There's room to build. Let's talk.

Schedule a Discovery Call