| Asset | Wt | Ret | Vol | SR |
|---|---|---|---|---|
| EM Eq | 8.5% | 11.2% | 18.5% | 0.61 |
| US HY | 6.2% | 8.4% | 12.3% | 0.68 |
| EU Eq | 12.1% | 7.8% | 16.2% | 0.48 |
| IG Cr | 15.8% | 4.6% | 5.2% | 0.88 |
| Bunds | 18.2% | 3.1% | 6.8% | 0.46 |
| Utility | Avg | Std | Corr |
|---|---|---|---|
| MV | 4.2% | 3.1% | 1.00 |
| MRAR | 4.5% | 3.4% | 0.94 |
| Omega | 4.1% | 2.9% | 0.91 |
| Factor | Prem | t | % |
|---|---|---|---|
| Duration | 0.11% | 4.2 | 38% |
| Credit | 1.85% | 3.8 | 28% |
| Equity | 5.20% | 2.9 | 22% |
| FX | 0.45% | 1.4 | 7% |
| Comm | 0.82% | 1.1 | 5% |
R^2: 78.4%
| R^2 | Method | % |
|---|---|---|
| >0.6 | M1 | 42% |
| 0.3-0.6 | Hybrid | 31% |
| <0.3 | M2 | 27% |
| Ret | 4.2% |
| Vol | 6.8% |
| SR | 0.62 |
| Ret | 5.1% |
| Vol | 5.4% |
| SR | 0.94 |