Strategy category
Portfolio & Allocation strategies
Allocation methods that combine several assets, such as risk parity and minimum variance. 3 strategies, each backtested on up to 10 markets with the same rules. Figures below are for each strategy's main market over the last five years.
Filter in the strategy library| Strategy | Main market | 5Y CAGR | 5Y Sharpe | 5Y Max DD |
|---|---|---|---|---|
| PORT-05 Hierarchical Risk ParityRisk parity using hierarchical clustering. | HRP | 19.8% | 0.95 | -22.8% |
| PORT-02 Minimum VarianceMinimize portfolio variance without return forecasts. | MIN-VAR | 3.4% | 0.55 | -16.5% |
| PORT-01 Risk ParityEqual risk contribution from each asset. | RISK-PARITY | 8.2% | 1.04 | -15.5% |