Claude
Allocator Tear Sheet
Sample built from six public ETFs (SPY, EFA, AGG, TLT, GLD, DBC), not a real fund. The desk builds this page from your own prices and weights.
Model risk gate not run. Every figure below is history, IN SAMPLE, until /model-risk-gate writes reports/gate.json.
Strategy Overview
| Strategy | Sample multi asset portfolio |
| Data from | 2007-01-03 to 2026-10-09 (19.8 years) |
| Benchmark | 60% SPY / 40% AGG |
| Holdings | 6 |
Cumulative Returns
StrategyBenchmark
Key Metrics (2007-01-03 to 2026-10-09)
| Strategy | Benchmark |
|---|
| Total Return | +308.9% | +375.3% |
| Annualized Return | 7.4% | 8.2% |
| Sharpe Ratio | 0.76 | 0.72 |
| Sortino Ratio | 0.96 | 0.89 |
| Max Drawdown | -29.6% | -34.7% |
| Volatility (Ann.) | 10.1% | 11.9% |
| Calmar Ratio | 0.25 | 0.24 |
| Hit Rate (Monthly) | 65.1% | 66.0% |
Annual Returns
StrategyBenchmark
Risk / Return Profile
Strategy, benchmark and each holding, annualized
Drawdown Analysis
Portfolio Exposures
| Equities | | 44% |
| Rates | | 34% |
| Commodities | | 22% |
Top Positions
| Position | Weight | Contribution (2026 YTD) |
|---|
| SPY | 32% | +4.7% |
| AGG | 22% | -0.5% |
| EFA | 12% | +1.2% |
| TLT | 12% | -0.9% |
| GLD | 12% | +0.1% |
| DBC | 10% | +4.1% |
Correlation Matrix (daily returns)
| Strategy | SPY | AGG | EFA | TLT | GLD |
|---|
| Strategy | 1.00 | 0.88 | 0.29 | 0.88 | -0.01 | 0.42 |
|---|
| SPY | 0.88 | 1.00 | 0.00 | 0.89 | -0.31 | 0.07 |
|---|
| AGG | 0.29 | 0.00 | 1.00 | 0.04 | 0.71 | 0.22 |
|---|
| EFA | 0.88 | 0.89 | 0.04 | 1.00 | -0.28 | 0.17 |
|---|
| TLT | -0.01 | -0.31 | 0.71 | -0.28 | 1.00 | 0.17 |
|---|
| GLD | 0.42 | 0.07 | 0.22 | 0.17 | 0.17 | 1.00 |
|---|
Stress Test Scenarios
| Window | Strategy | Bench. |
|---|
| 2008 (GFC) | -24.6% | -34.4% |
| 2020 (COVID) | -17.0% | -21.5% |
| 2022 (Inflation) | -17.2% | -20.1% |
| Worst 12 months, to 2009-03-03 | -26.4% | -28.7% |
| Worst month, 2008-10 | -12.4% | -10.4% |