Window 2020-08-28..2026-06-26 (1463 days). Risk-parity monthly-rebalanced book. sqrt(252) annualization.
Results
| Sleeve | Sharpe | CAGR(252) | maxDD | corrFlagship |
|---|---|---|---|---|
| Flagship | 0.65 | 8.9% | -39.4% | 1.00 |
| PEAD | 1.11 | 12.7% | -18.0% | 0.03 |
| TSY | -0.02 | -0.2% | -12.2% | 0.02 |
| Crypto | 1.29 | 38.8% | -29.8% | 0.03 |
| COMBINED(risk-parity) | 0.66 | 2.5% | -12.4% | 0.37 |
| COMBINED(equal-wt) | 1.62 | 16.2% | -20.1% | 0.44 |
Pairwise correlation
Flagship PEAD TSY Crypto
Flagship 1.00 0.03 0.02 0.03 PEAD 0.03 1.00 -0.00 0.17 TSY 0.02 -0.00 1.00 0.02 Crypto 0.03 0.17 0.02 1.00
Reading
- If COMBINED Sharpe > Flagship Sharpe AND corrFlagship < 1, the book beats the flagship by diversification (lower vol, same/better return).
- Key: PEAD/TSY/Crypto are low-correlation to the flagship, so the book vol is below the flagship's alone.