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Initial Portfolio Composition

AssetWeight
AAPL14.3%
MSFT14.3%
GOOGL14.3%
AMZN14.3%
NVDA14.3%
META14.3%
TSLA14.3%

Risk & Return Dashboard

Realized CAGR 46.18%
Realized Volatility 35.67%
Realized Sharpe 1.14
Realized Sortino 1.57
Calmar 0.83
Max Drawdown -55.96%
Beta (CAPM) 1.53
Alpha (CAPM, ann.) 21.96%
Skew 0.03
Kurtosis 4.87
VaR (95%, daily) -3.54%
CVaR (95%, daily) -5.16%

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 1.07 1.76 0.69 0.65
SMB -0.40 -0.89 -0.49 -1.25
HML -0.49 -0.68 -0.20 -0.41

Attribution Summary

Estimated Transition Costs (from User Portfolio)

Turnover Est. Transition Cost
Target Strategy
Equal Wt (Baseline) 0.00% 0.00%
Minimum Volatility 48.80% 0.05%
Max Sharpe (Unconstrained) 57.82% 0.06%
Balanced (40% Cap) 43.94% 0.04%
Risk Parity 7.83% 0.01%
Min Correlation 71.43% 0.07%
Max Diversification 16.46% 0.02%
HRP 11.23% 0.01%

Market Regime Capture

Up-Market Capture Down-Market Capture
User Portfolio 286.90x 1.00x
Equal Wt (Baseline) 286.90x 1.00x
Minimum Volatility 11.79x 1.00x
Max Sharpe (Unconstrained) 2365.86x 1.00x
Balanced (40% Cap) 1105.81x 1.00x
Risk Parity 178.11x 1.00x
Min Correlation 211.70x 1.00x
Max Diversification 330.14x 1.00x
HRP 132.46x 1.00x

Overfitting & Degradation

Overfitting Score Strategy Degradation
Equal Wt 0 5.04%
Min Vol 0 0.00%
Balanced (40% Cap) 0 6.69%
Max Sharpe 0 0.00%
User Portfolio 0 5.04%

Rolling Test OOS Sharpe

Equal Wt Sharpe Min Vol Sharpe Max Sharpe Sharpe User Portfolio Sharpe
Test Period
2016-01 to 2016-04 0.72 0.94 0.02 0.72
2016-04 to 2016-07 0.36 -0.98 3.24 0.36
2016-07 to 2016-09 4.30 4.73 5.56 4.30
2016-09 to 2016-12 1.81 1.52 2.80 1.81
2016-12 to 2017-03 3.87 4.42 -0.05 3.87
2017-03 to 2017-06 3.97 2.71 3.36 3.97
2017-06 to 2017-09 0.71 0.71 1.06 0.71
2017-09 to 2017-12 2.80 3.73 3.00 2.80
2017-12 to 2018-03 0.61 -0.23 -0.55 0.61
2018-03 to 2018-06 2.36 2.69 1.93 2.36
2018-06 to 2018-09 0.31 1.86 2.03 0.31
2018-09 to 2018-12 -1.78 -2.03 -1.67 -1.78
2018-12 to 2019-03 1.13 1.68 1.62 1.13
2019-03 to 2019-06 -0.23 0.23 2.30 -0.23
2019-06 to 2019-09 1.40 1.40 0.63 1.40
2019-09 to 2019-12 3.86 3.48 3.21 3.86
2019-12 to 2020-03 0.05 -1.01 -0.79 0.05
2020-03 to 2020-06 3.47 3.80 3.22 3.47
2020-06 to 2020-09 2.19 1.74 2.57 2.19
2020-09 to 2020-12 2.37 1.00 3.81 2.37
2020-12 to 2021-03 -0.14 0.82 -0.41 -0.14
2021-03 to 2021-06 2.64 2.36 1.12 2.64
2021-06 to 2021-09 4.61 4.86 4.74 4.61
2021-09 to 2021-12 2.06 0.85 0.12 2.06
2021-12 to 2022-03 -1.62 -1.33 -1.48 -1.62
2022-03 to 2022-05 -1.16 -1.32 -1.39 -1.16
2022-05 to 2022-08 -0.03 0.20 1.11 -0.03
2022-08 to 2022-11 -1.66 -0.73 -2.83 -1.66
2022-11 to 2023-02 1.66 0.26 0.29 1.66
2023-02 to 2023-05 4.43 4.35 3.68 4.43
2023-05 to 2023-08 1.39 -0.37 1.94 1.39
2023-08 to 2023-11 1.56 2.26 0.86 1.56
2023-11 to 2024-02 2.15 -0.39 3.89 2.15
2024-02 to 2024-05 1.75 1.38 1.69 1.75
2024-05 to 2024-08 1.43 1.37 1.82 1.43
2024-08 to 2024-11 1.62 -0.22 0.83 1.62
2024-11 to 2025-02 1.46 0.52 1.25 1.46
2025-02 to 2025-05 -0.36 -0.16 -0.64 -0.36
2025-05 to 2025-08 3.45 4.56 1.69 3.45
2025-08 to 2025-11 2.20 2.61 -1.49 2.20
2025-11 to 2026-02 -0.88 -2.31 1.56 -0.88
2026-02 to 2026-05 1.56 1.45 2.58 1.56

Overall Simulation Metrics

Mean Expected Return 32.17%
Median Expected Return 26.36%
Horizon VaR (simulated) (95%) -21.17%
Horizon CVaR (simulated) (95%) -29.56%
Best Case (95th percentile) 104.51%
Worst Case (5th percentile) -21.17%

Success Probabilities

Return > 0% 78.8%
Return > 5% 74.0%
Return > 10% 68.3%
Return > 15% 63.1%
Return > 20% 57.5%
Return > 25% 51.8%
Return > 50% 28.0%

Time-to-Target

Time-to-Target
Target 5% 16 days
Prob of reaching 5% 94.1%
Target 10% 38 days
Prob of reaching 10% 88.8%
Target 20% 82 days
Prob of reaching 20% 76.2%
Target 50% 161 days
Prob of reaching 50% 39.5%

Stress Testing (1YR Recovery)

Probability of Full Recovery Median End Value
Scenario
-10% Day-1 Shock 66.4% $11,294
-20% Day-1 Shock 52.4% $10,158

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
AAPL 14.29%
MSFT 14.29%
GOOGL 14.29%
AMZN 14.29%
NVDA 14.29%
META 14.29%
TSLA 14.29%

Performance Metrics

Realized CAGR 41.27%
Realized Volatility 33.71%
Realized Sharpe 1.09
Realized Sortino 1.47
Calmar 0.74
Max Drawdown -55.96%
Beta (CAPM) 1.44
Alpha (CAPM, ann.) 21.82%
Skew -0.08
Kurtosis 4.11
VaR (95%, daily) -3.45%
CVaR (95%, daily) -4.95%

Equal Wt (Baseline) Portfolio

Optimal Weights

Weight
AAPL 14.29%
MSFT 14.29%
GOOGL 14.29%
AMZN 14.29%
NVDA 14.29%
META 14.29%
TSLA 14.29%

Performance Metrics

Realized CAGR 41.27%
Realized Volatility 33.71%
Realized Sharpe 1.09
Realized Sortino 1.47
Calmar 0.74
Max Drawdown -55.96%
Beta (CAPM) 1.44
Alpha (CAPM, ann.) 21.82%
Skew -0.08
Kurtosis 4.11
VaR (95%, daily) -3.45%
CVaR (95%, daily) -4.95%

Minimum Volatility Portfolio

Optimal Weights

Weight
AAPL 30.66%
MSFT 30.28%
GOOGL 30.72%
AMZN 8.35%
NVDA 0.00%
META 0.00%
TSLA 0.00%

Performance Metrics

Realized CAGR 25.44%
Realized Volatility 25.15%
Realized Sharpe 0.89
Realized Sortino 1.18
Calmar 0.69
Max Drawdown -36.98%
Beta (CAPM) 1.19
Alpha (CAPM, ann.) 10.65%
Skew -0.11
Kurtosis 5.42
VaR (95%, daily) -2.51%
CVaR (95%, daily) -3.69%

Max Sharpe (Unconstrained) Portfolio

Optimal Weights

Weight
AAPL 0.74%
MSFT 21.05%
GOOGL 0.00%
AMZN 11.31%
NVDA 65.34%
META 0.00%
TSLA 1.56%

Performance Metrics

Realized CAGR 60.52%
Realized Volatility 43.82%
Realized Sharpe 1.22
Realized Sortino 1.76
Calmar 0.94
Max Drawdown -64.17%
Beta (CAPM) 1.64
Alpha (CAPM, ann.) 35.97%
Skew 0.45
Kurtosis 7.44
VaR (95%, daily) -4.13%
CVaR (95%, daily) -6.01%

Balanced (40% Cap) Portfolio

Optimal Weights

Weight
AAPL 9.93%
MSFT 32.26%
GOOGL 0.00%
AMZN 14.54%
NVDA 40.00%
META 0.00%
TSLA 3.27%

Performance Metrics

Realized CAGR 53.38%
Realized Volatility 39.68%
Realized Sharpe 1.19
Realized Sortino 1.68
Calmar 0.88
Max Drawdown -60.73%
Beta (CAPM) 1.57
Alpha (CAPM, ann.) 30.62%
Skew 0.28
Kurtosis 6.14
VaR (95%, daily) -3.80%
CVaR (95%, daily) -5.56%

Risk Parity Portfolio

Optimal Weights

Weight
AAPL 16.78%
MSFT 16.66%
GOOGL 16.63%
AMZN 14.90%
NVDA 10.73%
META 13.52%
TSLA 10.78%

Performance Metrics

Realized CAGR 38.47%
Realized Volatility 31.98%
Realized Sharpe 1.07
Realized Sortino 1.43
Calmar 0.71
Max Drawdown -54.10%
Beta (CAPM) 1.40
Alpha (CAPM, ann.) 19.78%
Skew -0.12
Kurtosis 3.93
VaR (95%, daily) -3.29%
CVaR (95%, daily) -4.72%

Min Correlation Portfolio

Optimal Weights

Weight
AAPL 0.00%
MSFT 0.00%
GOOGL 0.00%
AMZN 0.00%
NVDA 0.00%
META 32.96%
TSLA 67.04%

Performance Metrics

Realized CAGR 32.89%
Realized Volatility 46.77%
Realized Sharpe 0.77
Realized Sortino 1.04
Calmar 0.45
Max Drawdown -72.88%
Beta (CAPM) 1.42
Alpha (CAPM, ann.) 21.25%
Skew -0.02
Kurtosis 4.22
VaR (95%, daily) -4.52%
CVaR (95%, daily) -6.83%

Max Diversification Portfolio

Optimal Weights

Weight
AAPL 15.29%
MSFT 2.11%
GOOGL 10.37%
AMZN 15.67%
NVDA 13.92%
META 21.01%
TSLA 21.63%

Performance Metrics

Realized CAGR 41.31%
Realized Volatility 34.65%
Realized Sharpe 1.07
Realized Sortino 1.44
Calmar 0.70
Max Drawdown -58.83%
Beta (CAPM) 1.45
Alpha (CAPM, ann.) 22.08%
Skew -0.13
Kurtosis 3.69
VaR (95%, daily) -3.60%
CVaR (95%, daily) -5.12%

HRP Portfolio

Optimal Weights

Weight
AAPL 18.24%
MSFT 18.35%
GOOGL 17.50%
AMZN 14.02%
NVDA 8.64%
META 13.59%
TSLA 9.66%

Performance Metrics

Realized CAGR 36.65%
Realized Volatility 30.97%
Realized Sharpe 1.05
Realized Sortino 1.40
Calmar 0.69
Max Drawdown -52.99%
Beta (CAPM) 1.38
Alpha (CAPM, ann.) 18.44%
Skew -0.16
Kurtosis 3.87
VaR (95%, daily) -3.22%
CVaR (95%, daily) -4.59%

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 41.27% 39.19% 33.71% 27.88% 108.84% 120.13% -55.96% -29.92%
Min Vol 25.44% 30.58% 25.15% 21.48% 88.50% 118.72% -36.98% -26.65%
Balanced (40% Cap) 53.38% 49.81% 39.68% 34.60% 118.66% 124.25% -60.73% -30.88%
Max Sharpe 60.52% 65.78% 43.82% 41.70% 121.72% 134.00% -64.17% -33.96%
User Portfolio 41.27% 39.19% 33.71% 27.88% 108.84% 120.13% -55.96% -29.92%

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