Deployed C59 blend, region-A config | hedge weight applied with prior-close knowledge
| Regime filter | Hedge h | CAGR | MaxDD | Sharpe | Calmar |
|---|
| baseline (no hedge) | | +14.12% | 32.9% | 0.80 | 0.43 |
| SPY<SMA100 | 0.0 | +8.20% | 23.0% | 0.67 | 0.36 |
| SPY<SMA100 | 0.25 | +9.84% | 19.7% | 0.76 | 0.50 |
| SPY<SMA100 | 0.5 | +11.37% | 22.4% | 0.81 | 0.51 |
| SPY<SMA200 | 0.0 | +7.64% | 27.1% | 0.61 | 0.28 |
| SPY<SMA200 | 0.25 | +9.40% | 23.1% | 0.72 | 0.41 |
| SPY<SMA200 | 0.5 | +11.07% | 22.5% | 0.78 | 0.49 |
Per-year CAGR: baseline vs SPY<SMA200 h=0.5
| Year | Baseline | Hedged |
|---|
| 2006 | -0.2% | -0.2% |
| 2007 | -1.5% | -1.4% |
| 2008 | -1.5% | -0.7% |
| 2009 | +71.5% | +54.2% |
| 2010 | +9.9% | -1.1% |
| 2011 | +5.9% | +2.4% |
| 2012 | +21.3% | +21.0% |
| 2013 | +26.7% | +26.7% |
| 2014 | +17.5% | +15.0% |
| 2015 | +8.0% | +4.1% |
| 2016 | -3.1% | -1.7% |
| 2017 | +32.6% | +32.6% |
| 2018 | -10.1% | -7.7% |
| 2019 | +44.0% | +29.9% |
| 2020 | +41.1% | +34.7% |
| 2021 | +15.2% | +15.2% |
| 2022 | -13.4% | -15.1% |
| 2023 | +27.6% | +17.8% |
| 2024 | +3.4% | +3.4% |
| 2025 | +36.5% | +32.2% |
| 2026 | -14.1% | -13.9% |