Strategy Overall | Bench Overall | Strategy YTD | Bench YTD | |
Abs. Return | 10.1% | -8.1% | 13.3% | 8.9% |
Rel. Return | 18.1% | N/A | 4.5% | N/A |
Beta | 0.72 | N/A | 0.89 | N/A |
Ann. Volatility | 20.0% | 24.2% | 15.6% | 15.9% |
Sharpe | 0.30 | -0.21 | 4.68 | 4.39 |
Drawdown | -13.9% | -21.9% | -2.7% | -2.5% |
IR | 0.96 | N/A | 0.46 | N/A |
Tracking Error | 11.7% | N/A | 6.6% | N/A |
1 Yr | 2 Yr | 3 Yr | 5 Yr | 10 Yr | |
Ann. Return | 12.2% | N/A | N/A | N/A | N/A |
Ann. Volatility | 20.0% | N/A | N/A | N/A | N/A |
Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Total | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Strategy | 0.0% | -6.0% | 2.3% | -6.2% | 8.8% | -3.4% | -7.2% | 8.6% | 6.8% | -4.8% | 10.8% | 2.3% | 10.1% |
Benchmark | 0.0% | -9.8% | 0.0% | -8.4% | 9.1% | -4.2% | -9.3% | 8.0% | 5.4% | -5.9% | 6.2% | 2.5% | -8.8% |
Rel. Return | 0.0% | 3.8% | 2.3% | 2.2% | -0.3% | 0.8% | 2.1% | 0.7% | 1.5% | 1.1% | 4.7% | -0.3% | 18.9% |
Note: On 5/31/2022 we've deployed a new version that improved the hedge allocation, the hedge will always have a minimum of three ETFs and improved the hedge timing and allocation of the short tilt logic based on market conditions vs. based on predetermined time interval (previously)
Trifecta Startegy version 1 (Old version) https://quantdesk.lucenaresearch.com/lr/backTest/performanceReport/183314?authHash=b484ea1579014635b37a7ced82e6293c&summaryOnly=true