Full Presentation
Complete presentation covering problem statement, solution architecture, research validation, backtesting methodology, and implementation roadmap.
Executive Summary
Primary Mandate: Capital Preservation ✓
Maximum drawdown of -10.1% vs SAA benchmark's -16.2% (37.8% improvement)
Secondary Mandate: Positive Risk-Adjusted Returns ✓
Sharpe ratio of 1.89 vs SAA benchmark's 1.07 (77.2% improvement)
Data Coverage
- Analysis Period: December 1969 - December 2024 (661 months)
- Asset Universe: 16 individual fixed-income and safe-haven assets
- Asset Classes: 8 strategic categories (Cash/Short, Gov Long, TIPS, IG, HY, Gold, FX)
- Macro Indicators: 12 policy and market-based signals
- Crisis Scenarios Tested: 6 historical periods (Dotcom, GFC, COVID, Inflation 2022, etc.)
Technical Reference
Regime Classification Thresholds
| Regime | Percentile Threshold | Historical Frequency |
|---|---|---|
| Crisis | >80th percentile | 20.9% (208 months) |
| Risk-Off | 60th-80th percentile | 19.8% (197 months) |
| Neutral | 40th-60th percentile | 18.8% (187 months) |
| Risk-On | <40th percentile | 40.6% (404 months) |
Regime Analysis & Visualizations
Regime Classification Framework
Three-panel framework: (A) Combined regime score with percentile thresholds, (B) Dynamic variance weighting between Primary/Secondary scores, (C) Historical regime timeline 1985-2024
Allocation by Regime
Average allocation across four regimes showing defensive shift in Crisis (41% cash) vs offensive positioning in Risk-On (42% IG, 23% HY)
Asset Allocation Table
| Asset Class | Crisis | Risk-Off | Neutral | Risk-On |
|---|---|---|---|---|
| Cash/Short | 41.3% | 33.4% | 18.3% | 10.9% |
| Government Long | 25.0% | 28.9% | 26.5% | 18.4% |
| Investment Grade | 18.1% | 26.0% | 38.1% | 42.4% |
| High Yield | 1.1% | 3.9% | 11.6% | 23.3% |
| TIPS Short | 2.0% | 0.6% | 0.2% | 0.04% |
| TIPS Long | 3.2% | 0.9% | 0.1% | 0.02% |
| Gold | 4.5% | 2.8% | 1.7% | 1.5% |
| FX/Currency | 4.8% | 3.6% | 3.4% | 3.4% |
Performance by Regime
| Regime | Ann. Return | Volatility | Sharpe Ratio | Max Drawdown |
|---|---|---|---|---|
| Crisis | 7.98% | 3.44% | 2.32 | -3.59% |
| Risk-Off | 5.58% | 2.96% | 1.88 | -3.55% |
| Neutral | 3.09% | 3.39% | 0.91 | -7.83% |
| Risk-On | 6.35% | 2.85% | 2.23 | -3.94% |
Asset Correlation Matrix
Full-period correlation matrix across 16 assets validating diversification strategy
Performance Metrics
Full Period Results (1969-2024)
| Metric | Rule-Based | SAA Benchmark | Improvement |
|---|---|---|---|
| Ann. Return | 5.89% | 5.18% | +13.6% |
| Ann. Volatility | 3.11% | 4.85% | -35.9% |
| Sharpe Ratio | 1.89 | 1.07 | +77.2% |
| Sortino Ratio | 3.08 | 1.64 | +87.8% |
| Calmar Ratio | 0.58 | 0.32 | +82.0% |
| Max Drawdown | -10.10% | -16.23% | +37.8% |
| VaR 95% | -1.06% | -1.80% | +41.0% |
| CVaR 95% | -1.53% | -2.69% | +43.1% |
| Win Rate (Monthly) | 73.2% | 66.3% | +10.4% |
| 12M Loss Probability | 7.1% | 13.2% | -46.4% |
Historical Stress Testing
Test Periods
| Period | Dates | Duration |
|---|---|---|
| Dotcom Bust | Jan 2000 - Dec 2002 | 36 months |
| GFC | Jul 2007 - Dec 2009 | 30 months |
| Calm Period | Jan 2017 - Dec 2019 | 36 months |
| COVID-19 | Jan 2020 - Dec 2020 | 12 months |
| Inflation Surge | Jul 2021 - Dec 2022 | 18 months |
| 2024 Volatility | Jan 2024 - Dec 2024 | 12 months |
Performance by Historical Period
| Period | Strategy | Cum. Return | Ann. Return | Sharpe | Max DD | VaR 95% | Preservation Score |
|---|---|---|---|---|---|---|---|
| Dotcom | Rule-Based | 25.8% | 7.7% | 2.92 | -1.7% | -0.59% | 0.00 |
| SAA | 26.5% | 7.9% | 2.22 | -2.1% | -1.19% | 0.15 | |
| GFC | Rule-Based | 14.7% | 5.5% | 1.67 | -3.5% | -1.32% | 0.00 |
| SAA | 17.9% | 6.8% | 1.09 | -7.6% | -2.12% | 0.71 | |
| Calm | Rule-Based | 14.6% | 4.6% | 1.61 | -2.0% | -0.80% | 0.00 |
| SAA | 14.8% | 4.7% | 1.35 | -2.9% | -1.10% | 0.20 | |
| COVID | Rule-Based | 7.6% | 7.3% | 3.00 | -0.7% | -0.41% | 0.00 |
| SAA | 9.5% | 9.3% | 1.90 | -1.7% | -1.11% | 0.15 | |
| Inflation 2022 | Rule-Based | -7.4% | -5.0% | -1.56 | -9.4% | -1.77% | 0.00 |
| SAA | -12.6% | -8.7% | -1.20 | -16.2% | -4.03% | 0.29 | |
| 2024 | Rule-Based | 4.7% | 4.6% | 2.08 | -0.6% | -0.52% | 0.00 |
| SAA | 1.8% | 1.9% | 0.34 | -2.9% | -2.13% | 0.15 |