Strategies Dashboard

Top assets by trailing compounded return (qs.stats.comp on monthly returns) — per strategy universe. Loading…

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Rolling 12-month excess return (strategy − benchmark)

Monthly excess return distribution (strategy − benchmark)

Monthly performance

Month	Strategy	Benchmark	Outperform	Within DD limit

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

Rolling 24-month factor betas

Historical stress test (using latest rolling factor exposures)

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

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

Rolling 24-month factor betas

Historical stress test (using latest rolling factor exposures)

Scenario	Period	Months	Est. Return

All 14 strategies ranked by their own trailing compounded return — best performer at the top of each window.

Outperformance vs. benchmark, across all strategies

Average rolling 12-month excess return across all strategies

Pooled monthly excess return distribution (every strategy-month, strategy − benchmark)

Factor exposure comparison (Two Sigma Factor Lens)

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

Correlation matrix (monthly returns)

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.

Universe per job = latest allocator weights file (gs://moments_strategies/Configs/weights/<job>.json), refreshed nightly. Returns are monthly-resampled price data; each period column shows qs.stats.comp over the trailing N months, ranked descending, top 40 (or full universe if smaller). "Strategy" stat tiles and the "All strategies" tab are each strategy's own trailing compounded return, computed the same way from its live monthly performance record; "Since 2020" compounds the full history from inception. Advanced-tab Sharpe/Sortino/Alpha use the current 3-month Treasury yield (FRED DGS3MO, or yfinance ^IRX as fallback) as the risk-free rate. The "Outperformance" sub-tab and the leaderboard's summary compare each strategy's own monthly returns against its named benchmark: MTD/YTD/Since-Inception outperformance on both return and max drawdown, monthly and calendar-year win rate, upside/downside capture, tracking error, longest streaks, a rolling 12-month trend, and the skew/kurtosis of monthly excess returns. The monthly table also flags whether each month's running drawdown breached the strategy's configured max-drawdown limit (configs/training/<job>.json, resolved dynamically for jobs whose limit is itself a reference ticker).