Top assets by trailing compounded return (qs.stats.comp on monthly returns) — per strategy universe. Loading…
| Metric |
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| Month | Strategy | Benchmark | Outperform | Within DD limit |
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Fama-French 6-factor (5-Factor + Momentum) regression of monthly excess return, same methodology as EvolveCapital's factor research notebooks.
| Factor | Beta | t-stat | p-value | Significant |
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Estimated return if each historical crisis period repeated today, given this strategy's most recently estimated factor exposures. Not a guarantee — assumes the strategy's current factor tilts (including alpha) apply unchanged throughout the scenario.
| Scenario | Period | Months | Est. Return |
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Asset classes overlap (e.g. an energy ETF counts toward both Energy and Commodities), matching how each strategy's own category limits work — so contributions here will not add up to the strategy's total return. Contribution is the sum of each month's (class weight × class return), not a compounded figure.
| Asset class | Months held | % of history | Avg weight when held | Contribution to return |
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| Bracket | Short-term & dividend rate | Long-term rate | Strategy CAGR | Strategy cumulative | Benchmark CAGR | Benchmark cumulative | Edge (CAGR) |
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Also taxes gains not yet realized: the strategy's remaining shares at short- or long-term rates depending on how long each was held (after any carried-forward losses), the benchmark's whole gain over cost at the long-term rate.
| Bracket | Strategy CAGR | Strategy cumulative | Benchmark CAGR | Benchmark cumulative | Edge (CAGR) |
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| Year | Short-term gains | Short-term losses | Long-term gains | Long-term losses | Section 1256 (K-1 funds) | Dividends | Wash-sale losses deferred | Loss carried forward |
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How this is estimated: the strategy's monthly weights are replayed as real trades, selling the oldest shares first. Gains on shares held 12 months or less are short-term and taxed as ordinary income; California taxes all gains as ordinary income. Short- and long-term results are netted each year and leftover losses carry forward. A loss counts as a wash sale (deferred into the new shares' cost) when the same fund is bought back at the next monthly rebalance. Funds that issue a K-1 (commodity-pool partnerships) fall under Section 1256: their gains and losses are taxed 60% long-term / 40% short-term whatever the holding period, are marked to market every December 31 (taxed that year even if still held), and are exempt from the wash-sale rule. Dividends are taxed as ordinary income. Tax is paid from the account at each year-end; the current year is charged on gains realized so far, and gains not yet realized are not taxed. The benchmark is treated as bought and held, so only its dividends are taxed in the first table — as qualified dividends (long-term federal rate, California ordinary), except a bond-fund benchmark (AGG), whose interest is ordinary income. Estimates for illustration, not tax advice.
Two Sigma Factor Lens (Duncombe & Kay, 2018): 8 macro factors reconstructed from liquid ETF/index proxies, since Two Sigma's own factor series aren't public. Interest Rates (IEF) and Equity (ACWI) are used directly; Credit (LQD/HYG) and Commodities (DBC) are beta-hedged against those two; Foreign Currency (UUP), Emerging Markets (EMB/EEM), Equity Short Vol (Cboe PutWrite Index) and Local Inflation (TIP) are beta-hedged against all four Core Macro factors. Proxy history starts 2015, so the stress test below only covers scenarios from 2015 onward (EM Slowdown and later).
| Factor | Beta | t-stat | p-value | Significant |
|---|
Estimated return if each historical crisis period repeated today, given this strategy's most recently estimated factor exposures. Not a guarantee — assumes the strategy's current factor tilts (including alpha) apply unchanged throughout the scenario.
| Scenario | Period | Months | Est. Return |
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All strategies ranked by their own trailing compounded return — best performer at the top of each window.
Each strategy's Factor Lens beta to the 8 macro factors, side by side (see the per-strategy "Factor Lens" sub-tab for methodology). Bold = statistically significant (p<0.05).
| Strategy | Alpha | R² | Rates | Equity | Credit | Commod. | FX | EM | Short Vol | Inflation |
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Pairwise correlation of each strategy's own live monthly returns (not the underlying asset universe), using whatever months two strategies have in common (min. 6 overlapping months). Green = positively correlated, red = negatively correlated — darker is stronger.