Strategy Overall | Bench Overall | Strategy YTD | Bench YTD | |
Abs. Return | 8.8% | 0.1% | 12.0% | 18.5% |
Rel. Return | 8.7% | N/A | -6.5% | N/A |
Beta | 0.79 | N/A | 0.99 | N/A |
Ann. Volatility | 17.0% | 19.6% | 13.6% | 13.4% |
Sharpe | 0.41 | 0.08 | 1.04 | 1.47 |
Drawdown | -13.9% | -21.9% | -11.9% | -10.3% |
IR | 0.66 | N/A | -2.02 | N/A |
Tracking Error | 8.2% | N/A | 2.8% | N/A |
1 Yr | 2 Yr | 3 Yr | 5 Yr | 10 Yr | |
Ann. Return | 10.0% | 5.3% | N/A | N/A | N/A |
Ann. Volatility | 14.3% | 17.0% | N/A | N/A | N/A |
Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Total | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Strategy | -4.8% | 5.2% | -2.7% | 2.7% | 1.0% | -0.5% | 5.9% | 3.1% | -2.1% | -5.5% | -2.8% | 8.2% | 6.7% |
Benchmark | -5.9% | 6.2% | -2.6% | 3.5% | 1.5% | 0.2% | 6.5% | 3.1% | -1.8% | -4.9% | -2.2% | 8.5% | 11.5% |
Rel. Return | 1.1% | -1.0% | -0.1% | -0.9% | -0.5% | -0.8% | -0.6% | -0.0% | -0.3% | -0.7% | -0.6% | -0.3% | -4.9% |
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