Quants — Core

Diversification Max

Moderate

5.89%

CAGR

0.465

Sharpe

0.66

Sortino

-19.3%

Max Drawdown

9.4%

Volatility

Overview

Maximizes the diversification ratio across the portfolio.

Methodology

Maximizes DR = (w'σ) / √(w'Σw) — the ratio of weighted average volatilities to portfolio volatility. Higher DR means more diversification benefit captured.

Strategy Facts

EngineMaximum Diversification Ratio
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. Diversification Max strategy uses Maximum Diversification Ratio optimization.