9SIG with the addition of a moving average.
Since: 1991-10-28
| Metric | Portfolio | Benchmark |
|---|---|---|
| Ending Value | $30,316,825 | $182,945 |
| Total Contributions | $0 | $0 |
| Cumulative Return | 303523.69% | 1729.45% |
| CAGR | 26.22% | 8.81% |
| Volatility | 37.53% | 18.17% |
| Max Drawdown | -54.20% | -56.78% |
| Sharpe Ratio | 0.743 | 0.418 |
| Lo-Adjusted Sharpe Ratio | 0.885 | 0.506 |
| Deflated Sharpe Ratio | 91.41% | 30.65% |
| Minimum Track Record (> 0) | 5.00 years | 15.57 years |
| Minimum Track Record (vs Benchmark) | 26.15 years | — |
| Best Factor Model Alpha (annualized) | 15.20% | -2.55% |
| Best Factor Model Alpha t-statistic | 2.979 | -13.066 |
| Bootstrap Probability Sharpe > Benchmark | 98.67% | — |
| Scenario | Period | Type | Portfolio | Benchmark | S&P 500 | Nasdaq |
|---|---|---|---|---|---|---|
| Great Depression | Sep 1929 – Jun 1932 | Synthetic | -90.3% | -86.2% | -86.2% | -107.2% |
| 1937 Fed Tightening | Mar 1937 – Mar 1938 | Synthetic | -57.1% | -54.5% | -54.5% | -67.8% |
| Post World War II Crash | May 1946 – Jun 1949 | Synthetic | -31.0% | -29.6% | -29.6% | -36.8% |
| Eisenhower Recession | Jul 1957 – Oct 1957 | Synthetic | -21.7% | -20.7% | -20.7% | -25.7% |
| Flash Crash of 1962 / Cold War | Dec 1961 – Jun 1962 | Synthetic | -29.3% | -28.0% | -28.0% | -34.8% |
| Tech Crash of 1970 | Nov 1968 – May 1970 | Synthetic | -37.1% | -35.4% | -35.4% | -44.0% |
| Stagflation | Jan 1973 – Oct 1974 | Synthetic | -50.5% | -48.2% | -48.2% | -59.9% |
| Volcker Tightening | Nov 1980 – Aug 1982 | Synthetic | -28.4% | -27.1% | -27.1% | -33.7% |
| Crash of 1987 | Aug 1987 – Dec 1987 | Synthetic | -35.1% | -33.5% | -33.5% | -39.9% |
| 2000 Tech Bubble | Mar 2000 – Oct 2002 | Actual | -44.8% | -49.1% | -49.1% | -82.8% |
| 2008 Financial Crisis | Oct 2007 – Mar 2009 | Actual | -11.6% | -56.8% | -56.8% | -51.9% |
| 2020 COVID Crash | Feb 19 – Mar 23, 2020 | Actual | -40.1% | -33.9% | -33.9% | -27.9% |
| 2022 Inflation / Fed Tightening | Jan 2022 – Oct 2022 | Actual | -39.8% | -25.4% | -25.4% | -34.6% |
| Date | Event | Allocation | ||
|---|---|---|---|---|
| 2026-03-20 | Risk-Off |
| ||
| 2025-05-13 | Risk-On |
| ||
| 2025-03-27 | Risk-Off |
| ||
| 2025-03-25 | Risk-On |
| ||
| 2025-03-11 | Risk-Off |
| ||
| 2023-11-03 | Risk-On |
| ||
| 2023-10-26 | Risk-Off |
| ||
| 2023-10-25 | Risk-On |
| ||
| 2023-10-23 | Risk-Off |
| ||
| 2023-03-21 | Risk-On |
| ||
| 2023-03-20 | Risk-Off |
| ||
| 2023-03-17 | Risk-On |
| ||
| 2023-03-10 | Risk-Off |
| ||
| 2023-01-23 | Risk-On |
| ||
| 2023-01-19 | Risk-Off |
| ||
| 2023-01-17 | Risk-On |
| ||
| 2022-12-06 | Risk-Off |
| ||
| 2022-12-01 | Risk-On |
| ||
| 2022-04-11 | Risk-Off |
| ||
| 2022-04-08 | Risk-On |
| ||
| 2022-04-07 | Risk-Off |
| ||
| 2022-03-25 | Risk-On |
| ||
| 2022-03-24 | Risk-Off |
| ||
| 2022-03-23 | Risk-On |
| ||
| 2022-02-18 | Risk-Off |
| ||
| 2022-02-16 | Risk-On |
| ||
| 2022-02-14 | Risk-Off |
| ||
| 2022-02-01 | Risk-On |
| ||
| 2022-01-24 | Risk-Off |
| ||
| 2020-06-30 | Risk-On |
| ||
| 2020-06-29 | Risk-Off |
| ||
| 2020-06-15 | Risk-On |
| ||
| 2020-06-12 | Risk-Off |
| ||
| 2020-05-28 | Risk-On |
| ||
| 2020-03-06 | Risk-Off |
| ||
| 2020-03-05 | Risk-On |
| ||
| 2020-03-04 | Risk-Off |
| ||
| 2020-03-03 | Risk-On |
| ||
| 2020-02-28 | Risk-Off |
| ||
| 2019-06-05 | Risk-On |
| ||
| 2019-06-03 | Risk-Off |
| ||
| 2019-03-12 | Risk-On |
| ||
| 2019-03-08 | Risk-Off |
| ||
| 2019-02-13 | Risk-On |
| ||
| 2018-12-06 | Risk-Off |
| ||
| 2018-12-04 | Risk-On |
| ||
| 2018-11-13 | Risk-Off |
| ||
| 2018-11-08 | Risk-On |
| ||
| 2018-10-22 | Risk-Off |
| ||
| 2018-10-17 | Risk-On |
| ||
| 2018-10-16 | Risk-Off |
| ||
| 2018-10-15 | Risk-On |
| ||
| 2018-10-12 | Risk-Off |
| ||
| 2018-04-04 | Risk-On |
| ||
| 2018-04-03 | Risk-Off |
| ||
| 2016-06-29 | Risk-On |
| ||
| 2016-06-28 | Risk-Off |
| ||
| 2016-03-17 | Risk-On |
| ||
| 2016-03-16 | Risk-Off |
| ||
| 2016-03-14 | Risk-On |
| ||
| 2016-01-04 | Risk-Off |
| ||
| 2015-12-30 | Risk-On |
| ||
| 2015-12-28 | Risk-Off |
| ||
| 2015-12-24 | Risk-On |
| ||
| 2015-12-18 | Risk-Off |
| ||
| 2015-12-17 | Risk-On |
| ||
| 2015-12-09 | Risk-Off |
| ||
| 2015-12-07 | Risk-On |
| ||
| 2015-12-04 | Risk-Off |
| ||
| 2015-11-19 | Risk-On |
| ||
| 2015-11-13 | Risk-Off |
| ||
| 2015-10-26 | Risk-On |
| ||
| 2015-08-21 | Risk-Off |
| ||
| 2015-07-13 | Risk-On |
| ||
| 2015-07-09 | Risk-Off |
| ||
| 2014-10-22 | Risk-On |
| ||
| 2014-10-14 | Risk-Off |
| ||
| 2012-11-20 | Risk-On |
| ||
| 2012-11-09 | Risk-Off |
| ||
| 2012-06-07 | Risk-On |
| ||
| 2012-06-04 | Risk-Off |
| ||
| 2012-01-04 | Risk-On |
| ||
| 2012-01-03 | Risk-Off |
| ||
| 2011-12-30 | Risk-On |
| ||
| 2011-12-29 | Risk-Off |
| ||
| 2011-12-27 | Risk-On |
| ||
| 2011-11-10 | Risk-Off |
| ||
| 2011-11-09 | Risk-On |
| ||
| 2011-11-01 | Risk-Off |
| ||
| 2011-10-28 | Risk-On |
| ||
| 2011-08-03 | Risk-Off |
| ||
| 2010-09-14 | Risk-On |
| ||
| 2010-08-12 | Risk-Off |
| ||
| 2010-08-03 | Risk-On |
| ||
| 2010-07-28 | Risk-Off |
| ||
| 2010-07-27 | Risk-On |
| ||
| 2010-06-23 | Risk-Off |
| ||
| 2010-06-16 | Risk-On |
| ||
| 2010-05-21 | Risk-Off |
| ||
| 2009-07-14 | Risk-On |
| ||
| 2009-07-13 | Risk-Off |
| ||
| 2009-07-10 | Risk-On |
| ||
| 2009-07-08 | Risk-Off |
| ||
| 2009-06-25 | Risk-On |
| ||
| 2009-06-23 | Risk-Off |
| ||
| 2009-06-02 | Risk-On |
| ||
| 2007-12-28 | Risk-Off |
| ||
| 2007-12-26 | Risk-On |
| ||
| 2007-12-17 | Risk-Off |
| ||
| 2007-12-13 | Risk-On |
| ||
| 2007-12-12 | Risk-Off |
| ||
| 2007-12-06 | Risk-On |
| ||
| 2007-11-08 | Risk-Off |
| ||
| 2007-09-12 | Risk-On |
| ||
| 2007-09-10 | Risk-Off |
| ||
| 2007-09-04 | Risk-On |
| ||
| 2007-08-31 | Risk-Off |
| ||
| 2007-08-30 | Risk-On |
| ||
| 2007-08-29 | Risk-Off |
| ||
| 2007-08-23 | Risk-On |
| ||
| 2007-08-14 | Risk-Off |
| ||
| 2007-08-07 | Risk-On |
| ||
| 2007-08-06 | Risk-Off |
| ||
| 2006-08-16 | Risk-On |
| ||
| 2006-08-14 | Risk-Off |
| ||
| 2006-08-11 | Risk-On |
| ||
| 2006-08-10 | Risk-Off |
| ||
| 2006-07-31 | Risk-On |
| ||
| 2006-07-28 | Risk-Off |
| ||
| 2006-07-26 | Risk-On |
| ||
| 2006-07-13 | Risk-Off |
| ||
| 2006-06-30 | Risk-On |
| ||
| 2006-06-08 | Risk-Off |
| ||
| 2006-05-25 | Risk-On |
| ||
| 2006-05-24 | Risk-Off |
| ||
| 2005-11-01 | Risk-On |
| ||
| 2005-10-26 | Risk-Off |
| ||
| 2005-10-25 | Risk-On |
| ||
| 2005-10-06 | Risk-Off |
| ||
| 2005-05-17 | Risk-On |
| ||
| 2005-05-16 | Risk-Off |
| ||
| 2005-05-02 | Risk-On |
| ||
| 2005-04-29 | Risk-Off |
| ||
| 2005-04-28 | Risk-On |
| ||
| 2005-04-27 | Risk-Off |
| ||
| 2005-04-26 | Risk-On |
| ||
| 2005-04-25 | Risk-Off |
| ||
| 2005-04-22 | Risk-On |
| ||
| 2005-04-18 | Risk-Off |
| ||
| 2004-10-28 | Risk-On |
| ||
| 2004-10-14 | Risk-Off |
| ||
| 2004-10-04 | Risk-On |
| ||
| 2004-09-23 | Risk-Off |
| ||
| 2004-09-03 | Risk-On |
| ||
| 2004-07-22 | Risk-Off |
| ||
| 2004-07-21 | Risk-On |
| ||
| 2004-07-19 | Risk-Off |
| ||
| 2003-04-21 | Risk-On |
| ||
| 2003-04-17 | Risk-Off |
| ||
| 2003-04-15 | Risk-On |
| ||
| 2003-03-25 | Risk-Off |
| ||
| 2003-03-24 | Risk-On |
| ||
| 2002-04-03 | Risk-Off |
| ||
| 2002-03-28 | Risk-On |
| ||
| 2002-03-26 | Risk-Off |
| ||
| 2002-03-07 | Risk-On |
| ||
| 2002-03-06 | Risk-Off |
| ||
| 2002-03-05 | Risk-On |
| ||
| 2002-01-08 | Risk-Off |
| ||
| 2002-01-07 | Risk-On |
| ||
| 2000-10-02 | Risk-Off |
| ||
| 2000-09-29 | Risk-On |
| ||
| 2000-09-26 | Risk-Off |
| ||
| 2000-09-20 | Risk-On |
| ||
| 2000-09-19 | Risk-Off |
| ||
| 2000-08-01 | Risk-On |
| ||
| 2000-07-31 | Risk-Off |
| ||
| 2000-05-31 | Risk-On |
| ||
| 2000-05-26 | Risk-Off |
| ||
| 2000-05-25 | Risk-On |
| ||
| 2000-05-24 | Risk-Off |
| ||
| 2000-05-12 | Risk-On |
| ||
| 2000-05-11 | Risk-Off |
| ||
| 2000-04-18 | Risk-On |
| ||
| 2000-04-17 | Risk-Off |
| ||
| 2000-03-16 | Risk-On |
| ||
| 2000-03-15 | Risk-Off |
| ||
| 2000-03-09 | Risk-On |
| ||
| 2000-03-08 | Risk-Off |
| ||
| 2000-03-01 | Risk-On |
| ||
| 2000-02-22 | Risk-Off |
| ||
| 1999-10-29 | Risk-On |
| ||
| 1999-10-14 | Risk-Off |
| ||
| 1999-10-07 | Risk-On |
| ||
| 1999-09-24 | Risk-Off |
| ||
| 1998-10-30 | Risk-On |
| ||
| 1998-10-28 | Risk-Off |
| ||
| 1998-10-27 | Risk-On |
| ||
| 1998-10-26 | Risk-Off |
| ||
| 1998-10-23 | Risk-On |
| ||
| 1998-09-25 | Risk-Off |
| ||
| 1998-09-24 | Risk-On |
| ||
| 1998-08-28 | Risk-Off |
| ||
| 1996-07-31 | Risk-On |
| ||
| 1996-07-30 | Risk-Off |
| ||
| 1996-07-29 | Risk-On |
| ||
| 1996-07-24 | Risk-Off |
| ||
| 1996-07-18 | Risk-On |
| ||
| 1996-07-16 | Risk-Off |
| ||
| 1994-12-22 | Risk-On |
| ||
| 1994-12-20 | Risk-Off |
| ||
| 1994-12-19 | Risk-On |
| ||
| 1994-11-22 | Risk-Off |
| ||
| 1994-10-12 | Risk-On |
| ||
| 1994-10-05 | Risk-Off |
| ||
| 1994-09-28 | Risk-On |
| ||
| 1994-09-26 | Risk-Off |
| ||
| 1994-08-15 | Risk-On |
| ||
| 1994-08-05 | Risk-Off |
| ||
| 1994-08-04 | Risk-On |
| ||
| 1994-08-03 | Risk-Off |
| ||
| 1994-08-02 | Risk-On |
| ||
| 1994-06-16 | Risk-Off |
| ||
| 1994-06-15 | Risk-On |
| ||
| 1994-03-28 | Risk-Off |
| ||
| 1992-10-20 | Risk-On |
| ||
| 1992-10-05 | Risk-Off |
| ||
| 1992-08-12 | Risk-On |
| ||
| 1991-10-29 | Risk-Off |
| ||
| 1991-10-28 | Initial |
|