Sharpe
2.551
Provided summary: 2.378
CAGR
23.85%
Provided summary: 24.13%
Annual Vol
8.53%
Provided summary: 9.28%
Max Drawdown
-7.97%
Provided summary: -8.56%
Recomputed Performance
| Period | 2000-01-03 to 2026-03-03 |
| Years | 27.1 |
| Calmar | 2.991 |
| Sortino | 3.237 |
| VaR 95% | -0.65% |
| CVaR 95% | -1.12% |
| Best Day | 4.18% |
| Worst Day | -3.66% |
Average Gross Allocation
| Asset Class | Instruments | Allocation |
|---|---|---|
| Equity Index | 28 | 32.23% |
| Fixed Income | 16 | 27.08% |
| Agricultural | 10 | 12.86% |
| Currencies | 9 | 10.26% |
| Metals | 7 | 8.68% |
| Energy | 6 | 7.61% |
| Other | 2 | 1.28% |
Closest Local Candidates
| Candidate | Sharpe | CAGR | Vol | Max DD |
|---|---|---|---|---|
| p10_lowvol_best_phase3 | 2.551 | 23.85% | 8.53% | -7.97% |
| p10_lowvol_best_phase3_short_030 | 2.614 | 27.02% | 9.32% | -8.80% |
| best_base_best_phase3 | 2.234 | 39.48% | 15.43% | -15.42% |
| best_base_best_phase3_short_030 | 2.397 | 41.17% | 14.85% | -17.28% |
Ranking is based on closeness to the supplied summary across Sharpe, CAGR, annual volatility, and max drawdown.
Data Files
The deployed directory contains only static outputs from this audit. It does not include source strategy code, credentials, caches, or raw proprietary datasets.
Metrics JSON
Allocation CSV
Candidate Scan CSV
Monthly Returns CSV
Yearly Returns CSV
Daily Returns CSV
Current read: this local candidate is structurally close to the supplied ParaMOUNT description and lands in the same low-vol CTA family, but the exact investor-summary return stream has not been proven identical.