Backtest results

Walk-forward, monthly rebalance, long-only · decile 10 of 10 · 10 bps round-trip cost · 2010-01-31 → 2025-12-31

Sharpe

1.12

Benchmark 0.58

CAGR

14.2%

Benchmark 9.2%

Max drawdown

-27.0%

Benchmark -34.0%

Calmar

0.53

Benchmark 0.27

Information ratio

0.78

Equity curve

Strategy vs benchmark, compounded from a base of 1.0. Alpha vs benchmark:5.0%. Average monthly turnover 42%.

Decile CAGR

Annualized return by decile of CMFS — top decile is the live portfolio.

Carhart 4-factor attribution

Regression of strategy excess returns on MKT, SMB, HML and MOM. Alpha annualized4.7% (t = 2.41, p = 0.018, R² = 0.84, n = 192).