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Initial Portfolio Composition

AssetWeight
VTI60.0%
VXUS20.0%
BND20.0%

Risk & Return Dashboard

Realized CAGR 11.01%
Realized Volatility 14.94%
Realized Sharpe 0.53
Realized Sortino 0.65
Calmar 0.37
Max Drawdown -29.67%
Beta (CAPM) 0.84
Alpha (CAPM, ann.) -0.69%
Skew -0.46
Kurtosis 14.61
VaR (95%, daily) -1.41%
CVaR (95%, daily) -2.24%

Regression Summary

Recent Macro Regimes (Trailing Quarter)

Factor Regime Return
Market Bull 0.007290
Size Small-Cap Lead 0.033514
Value/Growth Value Lead 0.093258
Profitability Robust Lead 0.024017
Investment Conservative Lead 0.072219

Style Drift (Start to End)

Initial Exposure Current Exposure Absolute Drift Relative Drift (%)
Mkt-RF 0.77 0.86 0.09 0.12
SMB -0.08 0.03 0.11 1.41
HML 0.01 0.01 0.00 0.53

Attribution Summary

Estimated Transition Costs (from User Portfolio)

Turnover Est. Transition Cost
Target Strategy
Equal Wt (Baseline) 26.67% 0.03%
Minimum Volatility 74.33% 0.07%
Max Sharpe (Unconstrained) 40.00% 0.04%
Balanced (40% Cap) 20.00% 0.02%
Risk Parity 48.55% 0.05%
Min Correlation 79.19% 0.08%
Max Diversification 55.58% 0.06%
HRP 71.21% 0.07%

Market Regime Capture

Up-Market Capture Down-Market Capture
User Portfolio 0.21x 1.00x
Equal Wt (Baseline) 0.05x 1.00x
Minimum Volatility 0.00x 0.41x
Max Sharpe (Unconstrained) 1.14x 1.00x
Balanced (40% Cap) 0.15x 1.00x
Risk Parity 0.00x 0.94x
Min Correlation 0.00x 0.07x
Max Diversification 0.00x 0.89x
HRP 0.00x 0.56x

Overfitting & Degradation

Overfitting Score Strategy Degradation
Equal Wt 0 0
Min Vol 0 0
Balanced (40% Cap) 0 0
Max Sharpe 0 0
User Portfolio 0 0

Rolling Test OOS Sharpe

Equal Wt Sharpe Min Vol Sharpe Max Sharpe Sharpe User Portfolio Sharpe
Test Period
2016-01 to 2016-04 0.52 3.26 0.58 0.55
2016-04 to 2016-07 0.55 2.69 0.56 0.56
2016-07 to 2016-09 1.17 -0.33 -0.65 1.12
2016-09 to 2016-12 -0.64 -4.89 -3.37 0.69
2016-12 to 2017-03 3.74 0.81 2.25 3.12
2017-03 to 2017-06 2.45 3.18 1.79 2.19
2017-06 to 2017-09 1.86 0.23 1.38 1.51
2017-09 to 2017-12 3.21 0.49 4.01 4.13
2017-12 to 2018-03 -1.05 -3.00 -0.92 -0.91
2018-03 to 2018-06 0.70 0.03 0.47 1.37
2018-06 to 2018-09 0.69 -0.87 2.36 1.52
2018-09 to 2018-12 -2.93 -0.89 -2.87 -2.92
2018-12 to 2019-03 3.11 3.36 2.59 2.85
2019-03 to 2019-06 0.25 3.99 4.35 0.33
2019-06 to 2019-09 1.04 1.18 1.12 1.00
2019-09 to 2019-12 2.60 1.17 0.95 2.31
2019-12 to 2020-03 -3.30 -2.32 -2.35 -3.09
2020-03 to 2020-06 2.56 3.19 2.74 2.42
2020-06 to 2020-09 0.78 0.49 0.67 0.82
2020-09 to 2020-12 2.81 -0.82 1.88 2.78
2020-12 to 2021-03 0.89 -4.06 -0.69 1.08
2021-03 to 2021-06 2.73 0.59 2.82 2.80
2021-06 to 2021-09 1.32 0.82 1.13 1.96
2021-09 to 2021-12 -1.44 -1.84 -0.43 -0.78
2021-12 to 2022-03 -1.84 -4.13 -1.06 -1.44
2022-03 to 2022-05 -1.49 -3.40 -1.02 -1.27
2022-05 to 2022-08 -1.14 -1.59 -0.29 -0.72
2022-08 to 2022-11 -0.11 -1.17 0.00 -0.06
2022-11 to 2023-02 0.39 -0.38 0.14 0.26
2023-02 to 2023-05 0.87 0.15 1.01 0.96
2023-05 to 2023-08 0.15 -1.09 1.44 0.75
2023-08 to 2023-11 0.63 -0.04 0.55 0.80
2023-11 to 2024-02 2.74 1.72 3.46 3.18
2024-02 to 2024-05 1.91 0.61 1.98 1.97
2024-05 to 2024-08 0.97 2.68 1.04 1.02
2024-08 to 2024-11 -0.26 -1.56 1.22 0.66
2024-11 to 2025-02 1.27 0.39 1.01 1.18
2025-02 to 2025-05 0.11 -0.27 -0.36 -0.16
2025-05 to 2025-08 3.47 2.13 3.49 3.41
2025-08 to 2025-11 2.09 1.59 1.96 1.97
2025-11 to 2026-02 1.91 -0.26 3.12 1.25
2026-02 to 2026-05 0.85 -0.56 0.45 1.14

Overall Simulation Metrics

Mean Expected Return 8.27%
Median Expected Return 6.96%
Horizon VaR (simulated) (95%) -15.78%
Horizon CVaR (simulated) (95%) -20.56%
Best Case (95th percentile) 36.51%
Worst Case (5th percentile) -15.78%

Success Probabilities

Return > 0% 67.6%
Return > 5% 55.2%
Return > 10% 43.3%
Return > 15% 31.5%
Return > 20% 21.9%
Return > 25% 14.6%
Return > 50% 1.1%

Time-to-Target

Time-to-Target
Target 5% 40 days
Prob of reaching 5% 81.9%
Target 10% 89 days
Prob of reaching 10% 63.7%
Target 20% 153 days
Prob of reaching 20% 33.8%
Target 50% 217 days
Prob of reaching 50% 1.8%

Stress Testing (1YR Recovery)

Probability of Full Recovery Median End Value
Scenario
-10% Day-1 Shock 40.0% $9,593
-20% Day-1 Shock 15.1% $8,578

Comprehensive Quant Report

Executive Summary

High-level overview of the constructed portfolio and foundational analysis parameters.

Report Configuration

Portfolio Performance Summary

Holistic performance analysis of the portfolio against 'SPY'.

Cumulative Returns

Annual Returns

Drawdown Analysis

Rolling Volatility

Rolling Sharpe Ratio

Alpha/Beta Regression

Monthly Returns Distribution

Constituent Breakdown

How individual assets contribute to and correlate within the portfolio.

Portfolio vs. Constituent Performance

Constituent Correlation (train period)

Fama-French Factor Analysis

Factor attribution and exposure analysis mapping portfolio returns to systemic market risk premiums.

Factor Exposures (Betas)

Rolling Exposures (6-Month)

Performance Attribution

Brinson-Fachler Attribution (vs Equal-Weight Baseline)

Decomposes returns into sector allocation and asset selection effects relative to an EQUAL-WEIGHT baseline of the portfolio's own holdings. No per-asset benchmark weights were supplied, so this is NOT measured against 'SPY'.

Attribution by Sector

Strategy Discovery & Optimization

Analysis of multiple optimization algorithms utilizing training data from 2015-01-01 to 2023-12-31.

Strategy Compositions (by Asset)

Strategy Compositions (by Sector)

Portfolio Risk Contribution (by Asset)

Portfolio Risk Contribution (by Sector)

Strategy Cumulative Returns

Strategy Drawdown

Strategy Rolling Sharpe Ratio

Strategy Monthly Returns Heatmap

Efficient Frontier

Asset Correlation Heatmap

Strategy Metrics

User Portfolio Portfolio

Optimal Weights

Weight
VTI 60.00%
VXUS 20.00%
BND 20.00%

Performance Metrics

Realized CAGR 8.69%
Realized Volatility 15.16%
Realized Sharpe 0.39
Realized Sortino 0.47
Calmar 0.29
Max Drawdown -29.67%
Beta (CAPM) 0.83
Alpha (CAPM, ann.) -1.09%
Skew -0.71
Kurtosis 13.99
VaR (95%, daily) -1.42%
CVaR (95%, daily) -2.31%

Equal Wt (Baseline) Portfolio

Optimal Weights

Weight
VTI 33.33%
VXUS 33.33%
BND 33.33%

Performance Metrics

Realized CAGR 6.59%
Realized Volatility 12.74%
Realized Sharpe 0.28
Realized Sortino 0.34
Calmar 0.26
Max Drawdown -25.26%
Beta (CAPM) 0.68
Alpha (CAPM, ann.) -1.46%
Skew -0.88
Kurtosis 15.59
VaR (95%, daily) -1.18%
CVaR (95%, daily) -1.91%

Minimum Volatility Portfolio

Optimal Weights

Weight
VTI 2.84%
VXUS 2.83%
BND 94.33%

Performance Metrics

Realized CAGR 1.90%
Realized Volatility 5.36%
Realized Sharpe -0.29
Realized Sortino -0.34
Calmar 0.10
Max Drawdown -18.24%
Beta (CAPM) 0.09
Alpha (CAPM, ann.) 0.82%
Skew -1.35
Kurtosis 54.52
VaR (95%, daily) -0.47%
CVaR (95%, daily) -0.77%

Max Sharpe (Unconstrained) Portfolio

Optimal Weights

Weight
VTI 100.00%
VXUS 0.00%
BND 0.00%

Performance Metrics

Realized CAGR 11.34%
Realized Volatility 18.47%
Realized Sharpe 0.48
Realized Sortino 0.58
Calmar 0.32
Max Drawdown -35.00%
Beta (CAPM) 1.02
Alpha (CAPM, ann.) -0.53%
Skew -0.55
Kurtosis 13.18
VaR (95%, daily) -1.73%
CVaR (95%, daily) -2.83%

Balanced (40% Cap) Portfolio

Optimal Weights

Weight
VTI 40.00%
VXUS 40.00%
BND 20.00%

Performance Metrics

Realized CAGR 7.42%
Realized Volatility 14.71%
Realized Sharpe 0.32
Realized Sortino 0.38
Calmar 0.25
Max Drawdown -29.11%
Beta (CAPM) 0.79
Alpha (CAPM, ann.) -1.82%
Skew -0.85
Kurtosis 14.48
VaR (95%, daily) -1.38%
CVaR (95%, daily) -2.21%

Risk Parity Portfolio

Optimal Weights

Weight
VTI 15.49%
VXUS 15.96%
BND 68.55%

Performance Metrics

Realized CAGR 4.07%
Realized Volatility 7.60%
Realized Sharpe 0.09
Realized Sortino 0.10
Calmar 0.20
Max Drawdown -20.79%
Beta (CAPM) 0.36
Alpha (CAPM, ann.) -0.30%
Skew -1.17
Kurtosis 32.68
VaR (95%, daily) -0.68%
CVaR (95%, daily) -1.12%

Min Correlation Portfolio

Optimal Weights

Weight
VTI 0.81%
VXUS 0.00%
BND 99.19%

Performance Metrics

Realized CAGR 1.49%
Realized Volatility 5.42%
Realized Sharpe -0.37
Realized Sortino -0.44
Calmar 0.08
Max Drawdown -18.24%
Beta (CAPM) 0.04
Alpha (CAPM, ann.) 1.07%
Skew -1.08
Kurtosis 44.33
VaR (95%, daily) -0.47%
CVaR (95%, daily) -0.76%

Max Diversification Portfolio

Optimal Weights

Weight
VTI 13.09%
VXUS 11.33%
BND 75.58%

Performance Metrics

Realized CAGR 3.61%
Realized Volatility 6.75%
Realized Sharpe 0.03
Realized Sortino 0.03
Calmar 0.18
Max Drawdown -19.99%
Beta (CAPM) 0.29
Alpha (CAPM, ann.) 0.02%
Skew -1.27
Kurtosis 41.39
VaR (95%, daily) -0.59%
CVaR (95%, daily) -0.99%

HRP Portfolio

Optimal Weights

Weight
VTI 4.22%
VXUS 4.57%
BND 91.21%

Performance Metrics

Realized CAGR 2.17%
Realized Volatility 5.42%
Realized Sharpe -0.24
Realized Sortino -0.28
Calmar 0.12
Max Drawdown -18.47%
Beta (CAPM) 0.13
Alpha (CAPM, ann.) 0.66%
Skew -1.45
Kurtosis 57.74
VaR (95%, daily) -0.47%
CVaR (95%, daily) -0.78%

Walk-Forward Validation Dashboard

Model robusted with IS window 2015-01-01 to 2023-12-31, testing on strictly OOS data 2024-01-01 to 2026-05-31.

In-Sample vs. Out-of-Sample Results

In-Sample CAGR Out-of-Sample CAGR In-Sample Volatility Out-of-Sample Volatility In-Sample Sharpe Ratio Out-of-Sample Sharpe Ratio In-Sample Max Drawdown Out-of-Sample Max Drawdown
Portfolio
Equal Wt 6.59% 16.48% 12.74% 10.76% 28.24% 114.34% -25.26% -10.85%
Min Vol 1.90% 5.02% 5.36% 4.83% -29.34% 29.74% -18.24% -4.49%
Balanced (40% Cap) 7.42% 18.78% 14.71% 12.39% 31.61% 116.69% -29.11% -12.90%
Max Sharpe 11.34% 22.44% 18.47% 16.03% 47.97% 112.41% -35.00% -19.30%
User Portfolio 8.69% 18.91% 15.16% 12.70% 38.86% 115.02% -29.67% -14.42%

Out-of-Sample Cumulative Returns

Out-of-Sample Drawdown

Stochastic Return Forecasting

Forecast based on 5000 paths over 252 days.

Projected Value Bands

Distribution of Expected Returns

Probability Exceedance Curve