Quants — Core

Downside Guard

Low

4.21%

CAGR

0.418

Sharpe

0.62

Sortino

-12.9%

Max Drawdown

7.3%

Volatility

Overview

Minimizes expected losses in the worst 5% of scenarios.

Methodology

Minimizes Conditional Value-at-Risk at 95% confidence using the Rockafellar-Uryasev linear programming reformulation. Focuses on tail risk — the losses that matter most.

Strategy Facts

EngineMinimum Conditional Value-at-Risk
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. Downside Guard strategy uses Minimum Conditional Value-at-Risk optimization.