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<title>Allocator Analysis Report</title>
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<section class='hero'>
<div class='hero-head'>
<h1>Allocator Analysis Report</h1>
<span class='pill pill-success'>optimal</span>
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<div class='hero-metrics'>
<div class='metric'>
<div class='metric-label'>Annual return</div>
<div class='metric-value'>16.92%</div>
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<div class='metric'>
<div class='metric-label'>Annual vol</div>
<div class='metric-value'>10.03%</div>
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<div class='metric'>
<div class='metric-label'>Sharpe</div>
<div class='metric-value'>1.387</div>
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<div class='metric'>
<div class='metric-label'>Max drawdown</div>
<div class='metric-value'>-6.75%</div>
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<div class='hero-meta'>
<span>Solver: SCS</span>
<span>Objective: -0.328</span>
<span>Turnover (1-norm): 1.000</span>
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</section>
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<section class='card'>
<h2>Performance snapshot</h2>
<table class='mini'><tr><td>Mean excess return</td><td>0.001</td></tr><tr><td>Std. dev.</td><td>0.006</td></tr><tr><td>Annualized return</td><td>15.98%</td></tr><tr><td>Information ratio</td><td>1.638</td></tr><tr><td>Max drawdown</td><td>-6.75%</td></tr></table>
</section>
<section class='card'>
<h2>Factor exposures</h2>
<table class='mini'><thead><tr><th>Factor</th><th>Beta</th><th>t</th><th>Corr</th></tr></thead> <tbody><tr><td>BTC</td><td>0.097</td><td>14.081</td><td>0.394</td></tr><tr><td>funding_btc</td><td>0.012</td><td>0.533</td><td>0.004</td></tr><tr><td>ETH</td><td>-0.009</td><td>-1.702</td><td>-0.054</td></tr><tr><td>funding_eth</td><td>0.006</td><td>0.360</td><td>0.027</td></tr></tbody></table>
</section>
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<section class='card'>
<h2>Constraint adjustments</h2>
<p>No automatic relaxations were applied.</p>
</section>
<section class='downloads'>
<details open>
<summary>Download CSVs</summary>
<ul>
<li><a href='Strategy_qlib_risk.csv'>Strategy_qlib_risk.csv</a></li>
<li><a href='allocator_summary.csv'>allocator_summary.csv</a></li>
<li><a href='correlation.csv'>correlation.csv</a></li>
<li><a href='cvx_diagnostics.csv'>cvx_diagnostics.csv</a></li>
<li><a href='factor_betas_matrix.csv'>factor_betas_matrix.csv</a></li>
<li><a href='factor_overview.csv'>factor_overview.csv</a></li>
<li><a href='portfolio_cvx_qlib_risk.csv'>portfolio_cvx_qlib_risk.csv</a></li>
<li><a href='portfolio_equal_qlib_risk.csv'>portfolio_equal_qlib_risk.csv</a></li>
<li><a href='portfolio_minvar_qlib_risk.csv'>portfolio_minvar_qlib_risk.csv</a></li>
<li><a href='portfolio_tangency_qlib_risk.csv'>portfolio_tangency_qlib_risk.csv</a></li>
<li><a href='weights.csv'>weights.csv</a></li>
<li><a href='weights_cvx.csv'>weights_cvx.csv</a></li>
<li><a href='weights_cvx_stats.csv'>weights_cvx_stats.csv</a></li>
<li><a href='weights_stats.csv'>weights_stats.csv</a></li>
</ul>
</details>
<details>
<summary>Interactive figures</summary>
<ul>
<li><a href='figs/Strategy_report_01.html'>Strategy_report_01.html</a></li>
<li><a href='figs/Strategy_risk_01.html'>Strategy_risk_01.html</a></li>
<li><a href='figs/Strategy_risk_02.html'>Strategy_risk_02.html</a></li>
<li><a href='figs/Strategy_risk_03.html'>Strategy_risk_03.html</a></li>
<li><a href='figs/Strategy_risk_04.html'>Strategy_risk_04.html</a></li>
<li><a href='figs/Strategy_risk_05.html'>Strategy_risk_05.html</a></li>
<li><a href='figs/correlation.html'>correlation.html</a></li>
<li><a href='figs/portfolio_cvx_report_01.html'>portfolio_cvx_report_01.html</a></li>
<li><a href='figs/portfolio_cvx_risk_01.html'>portfolio_cvx_risk_01.html</a></li>
<li><a href='figs/portfolio_cvx_risk_02.html'>portfolio_cvx_risk_02.html</a></li>
<li><a href='figs/portfolio_cvx_risk_03.html'>portfolio_cvx_risk_03.html</a></li>
<li><a href='figs/portfolio_cvx_risk_04.html'>portfolio_cvx_risk_04.html</a></li>
<li><a href='figs/portfolio_cvx_risk_05.html'>portfolio_cvx_risk_05.html</a></li>
<li><a href='figs/portfolio_equal_report_01.html'>portfolio_equal_report_01.html</a></li>
<li><a href='figs/portfolio_equal_risk_01.html'>portfolio_equal_risk_01.html</a></li>
<li><a href='figs/portfolio_equal_risk_02.html'>portfolio_equal_risk_02.html</a></li>
<li><a href='figs/portfolio_equal_risk_03.html'>portfolio_equal_risk_03.html</a></li>
<li><a href='figs/portfolio_equal_risk_04.html'>portfolio_equal_risk_04.html</a></li>
<li><a href='figs/portfolio_equal_risk_05.html'>portfolio_equal_risk_05.html</a></li>
<li><a href='figs/portfolio_minvar_report_01.html'>portfolio_minvar_report_01.html</a></li>
<li><a href='figs/portfolio_minvar_risk_01.html'>portfolio_minvar_risk_01.html</a></li>
<li><a href='figs/portfolio_minvar_risk_02.html'>portfolio_minvar_risk_02.html</a></li>
<li><a href='figs/portfolio_minvar_risk_03.html'>portfolio_minvar_risk_03.html</a></li>
<li><a href='figs/portfolio_minvar_risk_04.html'>portfolio_minvar_risk_04.html</a></li>
<li><a href='figs/portfolio_minvar_risk_05.html'>portfolio_minvar_risk_05.html</a></li>
<li><a href='figs/portfolio_tangency_report_01.html'>portfolio_tangency_report_01.html</a></li>
<li><a href='figs/portfolio_tangency_risk_01.html'>portfolio_tangency_risk_01.html</a></li>
<li><a href='figs/portfolio_tangency_risk_02.html'>portfolio_tangency_risk_02.html</a></li>
<li><a href='figs/portfolio_tangency_risk_03.html'>portfolio_tangency_risk_03.html</a></li>
<li><a href='figs/portfolio_tangency_risk_04.html'>portfolio_tangency_risk_04.html</a></li>
<li><a href='figs/portfolio_tangency_risk_05.html'>portfolio_tangency_risk_05.html</a></li>
</ul>
</details>
<details>
<summary>Factor detail files</summary>
<ul>
<li><a href='factor_detail/Strategy_betas.csv'>Strategy_betas.csv</a></li>
<li><a href='factor_detail/portfolio_cvx_betas.csv'>portfolio_cvx_betas.csv</a></li>
<li><a href='factor_detail/portfolio_equal_betas.csv'>portfolio_equal_betas.csv</a></li>
<li><a href='factor_detail/portfolio_minvar_betas.csv'>portfolio_minvar_betas.csv</a></li>
<li><a href='factor_detail/portfolio_tangency_betas.csv'>portfolio_tangency_betas.csv</a></li>
</ul>
</details>
</section>