Quants — Core
Efficient Growth
10.41%
CAGR
0.649
Sharpe
0.92
Sortino
-21.5%
Max Drawdown
11.9%
Volatility
Overview
Turnover-aware optimization balancing returns against transaction costs.
Methodology
Mean-variance with explicit turnover penalty in the objective function. Ledoit-Wolf + James-Stein shrinkage. Balances return-seeking with trading cost awareness — the best risk-adjusted core strategy.
Strategy Facts
EngineTurnover-Aware Robust Mean-Variance
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. Efficient Growth strategy uses Turnover-Aware Robust Mean-Variance optimization.