Quick Assets:
Empirical Drawdown Protection & Backtest Telemetry
Rolling SVD & Latent Subspace Drift (D_t) Out-of-Sample Protection
Benchmark Max DD
-24.50%
Strategy Max DD
-19.55%
Tail Risk Reduction
+4.95% Protection
Current Regime State
State --
Gaussian HMM Classification
Active Warning Status
NORMAL
Total Warnings: --
Risk-Off Strategy Return
--%
Buy & Hold: --%
Alpha Outperformance
--%
SVD Lead-Time Signal
Institutional Performance & Risk Audit
Risk-Free Rate: 4.5%| Portfolio Strategy | Annualized Return | Annualized Volatility | Sharpe Ratio | Sortino Ratio | Max Drawdown | Calmar Ratio | Historical VaR (95%) |
|---|---|---|---|---|---|---|---|
| Dynamic Risk-Off SVD | -- | -- | -- | -- | -- | -- | -- |
| Buy & Hold Benchmark | -- | -- | -- | -- | -- | -- | -- |