AGG. SHARPE / 24M
4.83
Deflated: 4.21
MAX DRAWDOWN
−6.8%
Recovery 14 days
CORR. TO SPX
0.06
Beta 0.04
CAPACITY
$120M
Soft AUM cap

Aggregate Equity — Net of Fees & Slippage

► 2024-Q1 → present · live · audited · USD-denominated

Drawdown Profile

Underwater equity curve · drawdowns shown as negative %

Rolling Sharpe (60d)

Annualized · zero line dashed · log-return basis

Monthly Returns — Aggregate (%)

JanFebMarAprMayJunJulAugSepOctNovDec YTD
2024 +1.8+2.4-0.6+3.1+2.0+1.4-1.2+2.8+2.1+1.9+2.6+1.5 21.59%
2025 +2.1+1.7+2.3+1.1+2.8-0.9+3.4+1.6+0.7+2.0+1.4+2.5 22.70%
2026 +1.9+2.2+1.6+0.8 6.65%
[ STRATEGIES ]

Each strategy, decomposed.

Independent equity curves, full statistics, capacity. Click through to view methodology for any of them.

STAT-ARB

Σ-7 Mean Reversion

Cross-sectional pairs. Cointegration-filtered universe. 200+ instruments rebalanced intraday.

SHARPE3.91
SORTINO5.42
MAX DD−6.4%
WIN RATE58.2%
CAGR24.8%
VOL (ANN.)6.3%
CALMAR3.87
TRADES847
CTA / TREND

Δ-Momentum Cross-Asset

Time-series momentum across equities, rates, FX, commodities. Vol-targeted, risk-parity weighted.

SHARPE2.14
SORTINO3.08
MAX DD−11.2%
WIN RATE41.7%
CAGR18.2%
VOL (ANN.)8.5%
CALMAR1.62
TRADES281
VOL-ARB

Ψ-Vol Surface Skew

Systematic skew & term-structure dislocations. Delta-hedged, gamma-neutral construction.

SHARPE4.83
SORTINO7.11
MAX DD−4.1%
WIN RATE71.0%
CAGR31.4%
VOL (ANN.)6.5%
CALMAR7.65
TRADES119
[ NEXT STEP ]

Want to teach this? Apply for the next cohort.

If you can read the metrics above and explain why they matter, you're already ahead of 95% of coaches.

Apply Now How is this audited?