Quantmodel · Strategy
Macro-aware Risk Parity (US Proxy)
Loading strategy summary…
Verify metrics
| Metric | Ours | AS | S&P | 60/40 |
|---|
Cumulative Returns
Strategy, S&P 500, and 60/40 benchmark returns share the selected monthly window.
Date range
Equity scale
Drawdown
Underwater path from monthly returns (peak-to-trough).
Rolling Sharpe
12-month trailing window; annualized by √12. The first 11 months and windows containing missing returns are unavailable.
Monthly returns
Average yearly allocations (AS vs ours)
Side-by-side stacks: AS (left) then Ours (right); same sleeve colors.
Monthly allocations (past year)
Side-by-side stacks: AS (left) then Ours (right); same sleeve colors. Hidden when AS has no recent month-ends.
Latest monthly allocation
| Ours | Weight | AS | Weight |
|---|
Allocation history (AS vs ours)
Legacy single chart for older payloads without yearly/monthly split.
Strategy Rules
- Loading structured rules…
Research Source
- Loading source evidence…
Implementation notes
Loading…
Coverage & residuals
Loading…
Full instrument spans: data coverage