vol_adj_momentum_60d (vol_adjusted_momentum, lookback=60)
Pipeline: vol_adjusted_momentum; weekly rebalance; lookback=60; top=10; bottom=10
Backtest: 2010-04-01 → 2019-08-02
| periods/year: 252
| generated: 2026-05-24 08:48
Performance Metrics
Gross
| Sharpe | 0.386 |
|---|---|
| CAGR | +3.74% |
| Ann Vol | 11.10% |
| Max DD | -33.42% |
| Calmar | 0.112 |
| Sortino | 0.666 |
| Win Rate | 50.14% |
| VaR 95% | -1.114% |
| CVaR 95% | -1.397% |
| Best Day | +2.520% |
| Worst Day | -2.142% |
| Days | 2,437 |
Net of TC
| Sharpe | 0.256 |
|---|---|
| CAGR | +2.25% |
| Ann Vol | 11.10% |
| Max DD | -37.04% |
| Calmar | 0.061 |
| Sortino | 0.441 |
| Win Rate | 49.98% |
| VaR 95% | -1.124% |
| CVaR 95% | -1.401% |
| Best Day | +2.497% |
| Worst Day | -2.178% |
| Days | 2,437 |
Cumulative Return
Drawdown
Monthly Return Heatmap (% / month, gross)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Annual |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2010 | — | — | — | +4.24 | -0.53 | +0.43 | +2.71 | -0.02 | +0.42 | -4.97 | +2.08 | +0.92 | +5.12 |
| 2011 | -1.36 | -1.48 | -2.42 | +5.56 | -2.21 | -3.00 | -0.66 | +1.51 | -4.60 | -1.02 | -2.49 | -1.16 | -12.85 |
| 2012 | -0.79 | -0.88 | +1.08 | +3.39 | -2.44 | -0.77 | -3.25 | +0.73 | +0.74 | +3.45 | +6.58 | -0.12 | +7.56 |
| 2013 | -4.93 | -2.53 | -3.80 | +2.29 | -0.74 | -0.80 | -6.26 | -6.20 | +0.81 | +0.78 | +1.40 | -1.36 | -19.79 |
| 2014 | -6.97 | +1.24 | +1.18 | -3.03 | +7.65 | +0.57 | -0.01 | -1.29 | +5.30 | -4.93 | -0.31 | -2.21 | -3.63 |
| 2015 | -0.27 | +2.57 | -0.85 | +0.26 | +4.48 | -0.36 | -0.20 | +10.61 | -1.31 | -0.54 | -0.91 | +3.58 | +17.73 |
| 2016 | +5.41 | -0.49 | +2.51 | +5.65 | -1.82 | -1.18 | -0.79 | -3.29 | -2.51 | +0.58 | +0.77 | +0.70 | +5.22 |
| 2017 | +0.66 | -4.89 | -3.32 | +6.30 | +1.22 | -3.04 | +4.94 | -1.17 | +0.12 | -1.83 | -2.09 | +2.32 | -1.37 |
| 2018 | -0.18 | +5.61 | +8.88 | +6.27 | +4.67 | +1.89 | +0.20 | +2.02 | +0.86 | -4.60 | +2.45 | +1.36 | +32.86 |
| 2019 | +10.50 | +5.33 | -2.85 | -4.32 | +6.41 | -0.76 | +1.17 | -0.20 | — | — | — | — | +15.35 |
Transaction Cost Analysis
Costs computed from per-asset rates supplied by user.
| Component | % NAV/yr | $/yr @ $5M |
|---|---|---|
| Fee Signal | −0.4815% | −$24,073/yr |
| Fee Roll | −0.0000% | −$0/yr |
| Slip Signal | −0.9629% | −$48,146/yr |
| Slip Roll | −0.0000% | −$0/yr |
| Total | −1.4444% NAV/yr | −$72,219/yr |
Capacity Analysis — Cost Scaling with AUM
Market-impact drag at increasing AUM (square-root model).
| AUM | Signal MI | Roll MI | Total MI |
|---|---|---|---|
| $5M | −1.903% | −0.000% | −1.903% |
| $25M | −4.256% | −0.000% | −4.256% |
| $100M | −8.511% | −0.000% | −8.511% |
| $500M | −19.031% | −0.000% | −19.031% |
| $1.0B | −26.914% | −0.000% | −26.914% |
| $2.5B | −42.555% | −0.000% | −42.555% |
| $5.0B | −60.182% | −0.000% | −60.182% |
| $10.0B | −85.110% | −0.000% | −85.110% |
Capacity — Per-Instrument Participation Rate
Max-day participation = (peak trade size × AUM / notional) ÷ ADV. Binding constraint is typically 5–10% for clean execution.
| Instrument | $100M | $500M | $1.0B | $2.5B | $5.0B | $10.0B |
|---|---|---|---|---|---|---|
| ASSET00 | 0.5% | 2.5% | 5.0% | 12.5%! | 25.0%* | 50.0%* |
| ASSET01 | 0.5% | 2.5% | 5.0% | 12.5%! | 25.0%* | 50.0%* |
| ASSET02 | 0.5% | 2.5% | 5.0% | 12.5%! | 25.0%* | 50.0%* |
| ASSET03 | 0.5% | 2.5% | 5.0% | 12.5%! | 25.0%* | 50.0%* |
| ASSET04 | 0.5% | 2.5% | 5.0% | 12.5%! | 25.0%* | 50.0%* |
| ASSET05 | 0.5% | 2.5% | 5.0% | 12.5%! | 25.0%* | 50.0%* |
| ASSET06 | 0.5% | 2.5% | 5.0% | 12.5%! | 25.0%* | 50.0%* |
| ASSET07 | 0.5% | 2.5% | 5.0% | 12.5%! | 25.0%* | 50.0%* |
| ASSET08 | 0.5% | 2.5% | 5.0% | 12.5%! | 25.0%* | 50.0%* |
| ASSET09 | 0.5% | 2.5% | 5.0% | 12.5%! | 25.0%* | 50.0%* |
● <5% (clean) ● 5–20% (! >10%, stressed) ● >20% (* infeasible cleanly)