Protecting Capital and Driving Long-Term Success
A data-driven approach to investment strategy
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18.94%
Annualized Gross Return
16.83%
Annualized Net Return
6.54%
Annualized Net Alpha
1.49
Net Sharpe Ratio
58.66%
Net Up Market Capture
7.6%
Net Down Market Capture
The Model
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3-Year Rolling Performance vs Benchmark
Portfolio vs Benchmark (Cumulative Returns)
Excess Return (Portfolio - Benchmark)
3-Year Rolling Returns: Portfolio vs Benchmark
Jan 2017Jun 2022
Overall Win Rate
71.2%
Selected Window
Jan 2017 → Jan 2020
Outperformance
+25.2%