Quants — Core

Smart Diversification

Moderate

8.23%

CAGR

0.587

Sharpe

0.83

Sortino

-18.6%

Max Drawdown

10.3%

Volatility

Overview

Hierarchical clustering for robust structural diversification.

Methodology

Applies López de Prado's HRP algorithm: correlation-based hierarchical clustering → quasi-diagonalization → recursive bisection allocation. Immune to covariance matrix instability.

Strategy Facts

EngineHierarchical Risk Parity (HRP)
Universe34 global multi-asset ETFs
RebalanceQuarterly
Inception2016-01-01
CategoryCore Multi-Asset
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Past performance does not guarantee future results. All figures shown are backtested results, not live trading performance. Smart Diversification strategy uses Hierarchical Risk Parity (HRP) optimization.