Quants — Core
Return Optimized
8.69%
CAGR
0.545
Sharpe
0.77
Sortino
-23.1%
Max Drawdown
11.8%
Volatility
Overview
Shrinkage-aware mean-variance optimization for growth.
Methodology
Mean-variance optimization with Ledoit-Wolf OAS covariance shrinkage and James-Stein return shrinkage. Reduces estimation error that plagues classical Markowitz. Growth-oriented with statistical guardrails.
Strategy Facts
EngineRobust Mean-Variance Optimization
Universe34 global multi-asset ETFs
RebalanceQuarterly
Inception2016-01-01
CategoryCore Multi-Asset
Past performance does not guarantee future results. All figures shown are backtested results, not live trading performance. Return Optimized strategy uses Robust Mean-Variance Optimization optimization.