Each signal holds long/short, risk/volatility-neutral futures contracts across asset classes, and must clear in- and out-of-sample thresholds before inclusion. The signals are combined at equal risk weight, then scaled back for cross-signal beta so no single factor dominates. The result is many small, diversified edges with a low relationship to market beta and to traditional managed-futures strategies.
Headline performance and risk statistics for the signal, shown across a range of historical scenarios and sub-samples — full history, in- and out-of-sample, the Global Financial Crisis, the market-regime splits, a one-day execution lag, and long-only / short-only variants. Green and red shading flag the most and least favourable outcome in each row.
| Full History | In Sample | Out Sample | GFC | Regime 0 | Regime 1 | 1 day lag | Short only | Long only | |
|---|---|---|---|---|---|---|---|---|---|
| start date | 2000-01-03 | 2000-01-03 | 2020-01-06 | 2008-09-01 | 2001-01-01 | 2000-01-03 | 2000-01-03 | 2000-01-03 | 2000-01-03 |
| end date | 2026-06-01 | 2019-12-02 | 2026-06-01 | 2009-08-03 | 2026-05-04 | 2026-06-01 | 2026-06-01 | 2026-06-01 | 2026-06-01 |
| annualized return | 16.76% | 17.47% | 14.58% | 8.40% | 15.88% | 17.82% | 16.41% | -9.14% | 17.68% |
| annualized std | 6.17% | 6.04% | 6.56% | 11.12% | 5.59% | 6.82% | 6.16% | 32.58% | 31.75% |
| information ratio | 2.557 | 2.712 | 2.117 | 0.778 | 2.682 | 2.454 | 2.511 | -0.137 | 0.685 |
| max drawdown | -5.53% | -5.53% | -5.22% | -5.53% | -5.22% | -5.53% | -4.69% | -96.54% | -88.09% |
| mdd start date | 2008-10-06 | 2008-10-06 | 2020-06-01 | 2008-10-06 | 2020-06-01 | 2008-10-06 | 2008-10-06 | 2003-02-03 | 2007-09-03 |
| mdd end date | 2009-03-02 | 2009-03-02 | 2020-10-05 | 2009-03-02 | 2020-10-05 | 2009-03-02 | 2008-11-03 | 2026-06-01 | 2009-02-02 |
| mdd length | 5 | 5 | 4 | 5 | 4 | 5 | 1 | 280 | 17 |
| recovery length | 13 | 13 | 5 | 5 | 5 | 10 | 95 | ||
| rec to drawdown | 2.600 | 2.600 | 1.250 | 1.250 | 1.000 | 10.000 | 5.588 | ||
| up periods | 78.30% | 80.42% | 71.79% | 58.33% | 77.01% | 79.86% | 77.99% | 43.40% | 63.52% |
| down periods | 21.70% | 19.58% | 28.21% | 41.67% | 22.99% | 20.14% | 22.01% | 56.60% | 36.48% |
| positive streak | 16 | 16 | 9 | 3 | 24 | 17 | 18 | 7 | 14 |
| negative streak | 4 | 3 | 4 | 2 | 4 | 3 | 4 | 12 | 8 |
| average gross weight | 5.28 | 5.58 | 4.39 | 5.97 | 5.22 | 5.36 | 5.28 | 2.85 | 2.43 |
| max gross weight | 7.45 | 7.45 | 5.26 | 6.45 | 6.53 | 7.45 | 7.45 | 4.20 | 4.51 |
| average net weight | -0.42 | -0.30 | -0.79 | -0.15 | -0.39 | -0.46 | -0.42 | -2.85 | 2.43 |
| max net weight | 1.85 | 1.85 | 1.68 | 0.64 | 1.85 | 1.56 | 1.85 | 4.20 | 4.51 |
| turnover annual | 27.26 | 27.75 | 25.45 | 26.24 | 29.87 | 30.31 | 27.26 | 13.88 | 13.52 |
| annual transaction cost | 1.74% | 1.79% | 1.61% | 1.84% | 1.73% | 1.75% | 1.74% | 0.35% | 0.34% |
| datapoints | 318 | 240 | 78 | 12 | 174 | 144 | 318 | 318 | 318 |
| p value | 0.0000 | 0.0000 | 0.0000 | 0.4531 | 0.0000 | 0.0000 | 0.0000 | 0.4827 | 0.0005 |
| t test 5pct | pass | pass | pass | fail | pass | pass | pass | fail | pass |
Standalone annualised return, volatility and information ratio for each underlying signal, measured on the monthly returns over their common history, together with the scaler applied to normalise each signal's risk before the signals are combined.
| type | start | months | ann_return | ann_vol | IR | signal_scaler | target_vol | eq_dm | eq_em | cm | fx_dm | fx_em | fi_dm | fi_em | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| seasonality_eq | seasonality | 2000-06-05 | 313 | 1.6% | 1.8% | 0.85 | 1.9 | 1.2% | ✓ | ✓ | |||||
| dynamic_bond_beta_eq | macroeconomic | 2000-01-03 | 318 | 1.6% | 1.9% | 0.84 | 1.1 | 2.0% | ✓ | ||||||
| excess_bond_beta_eq | macroeconomic | 2003-09-01 | 273 | 1.9% | 2.1% | 0.91 | 1.8 | 2.0% | ✓ | ✓ | |||||
| excess_bond_beta_reversion_eq | macro/value | 2003-01-06 | 282 | 1.5% | 1.6% | 0.93 | 3.8 | 2.0% | ✓ | ||||||
| duration_adjusted_carry_fi | carry | 2000-01-03 | 317 | 2.5% | 1.6% | 1.57 | 31 | 1.2% | ✓ | ✓ | |||||
| risk_adjusted_carry_fi | carry | 2000-01-03 | 317 | 1.9% | 1.5% | 1.29 | 7.4 | 1.2% | ✓ | ✓ | |||||
| momentum_risk_adjusted_classic_eq | momentum | 2000-01-03 | 318 | 0.9% | 1.0% | 0.87 | 1.1 | 1.0% | ✓ | ✓ | |||||
| momentum_linear_slope_eq_fi | momentum | 2000-01-03 | 318 | 0.7% | 1.0% | 0.73 | 2.5 | 1.0% | ✓ | ✓ | ✓ | ✓ | |||
| good_skew_eq_cm_fi | momentum | 2000-01-03 | 318 | 1.3% | 1.5% | 0.89 | 4.9 | 1.6% | ✓ | ✓ | ✓ | ✓ | ✓ | ||
| forecast_reversal_eq_fi | value/reversion | 2000-01-03 | 318 | 1.1% | 1.6% | 0.68 | 5.8 | 2.0% | ✓ | ✓ | ✓ | ✓ | |||
| value_7z_eq_cm | value/reversion | 2000-01-03 | 318 | 1.4% | 1.6% | 0.86 | 1 | 1.6% | ✓ | ✓ | ✓ | ||||
| cross_asset_z_value | macro/value | 2000-01-03 | 318 | 1.7% | 1.8% | 0.96 | 2.7 | 2.0% | ✓ | ✓ |
The same annualised return, volatility and information-ratio summary computed for each market and factor benchmark, so the signals above can be compared against conventional exposures on a like-for-like basis.
| type | start | months | ann_return | ann_vol | IR | signal_scaler | target_vol | eq_dm | eq_em | cm | fx_dm | fx_em | fi_dm | fi_em | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| msci_world | 2012-01-02 | 174 | 10.8% | 14.7% | 0.73 | ||||||||||
| msci_acwi | 2008-04-07 | 219 | 7.9% | 19.0% | 0.42 | ||||||||||
| us_agg | 2003-10-06 | 273 | -0.0% | 4.4% | -0.01 | ||||||||||
| wti_crude | 2000-01-03 | 318 | 11.0% | 37.4% | 0.29 | ||||||||||
| vix | 2000-01-03 | 318 | 41.3% | 109.0% | 0.38 | ||||||||||
| dxy | 2000-01-03 | 318 | 0.3% | 7.6% | 0.04 | ||||||||||
| sdmf | 2026-02-02 | 5 | 2.3% | 8.7% | 0.26 | ||||||||||
| eq_united_states | 2000-01-03 | 318 | 7.7% | 17.2% | 0.45 |
Cumulative performance, drawdown and rolling risk-adjusted return profiles for the signal against its benchmark, illustrating how the strategy has compounded and behaved through time.
Per-instrument breakdown of average and latest portfolio weights, contribution to annualised return, and activity statistics, showing which markets drive the strategy. The charts below track net weight through time by asset classification and by region.
| avg_weight | last_weight | annual_return_contrib | pct_of_total_return | time_long_pct | time_short_pct | time_active_pct | win_ratio | |
|---|---|---|---|---|---|---|---|---|
| label | ||||||||
| cm_aluminum | -0.002 | 0.000 | 0.01% | 0.04% | 8.18% | 19.81% | 27.99% | 53.93% |
| cm_cocoa | 0.000 | 0.000 | 0.03% | 0.12% | 17.30% | 16.35% | 33.65% | 49.53% |
| cm_coffee | -0.001 | 0.000 | 0.04% | 0.20% | 15.72% | 22.64% | 38.36% | 54.10% |
| cm_copper | -0.001 | 0.000 | -0.01% | -0.05% | 12.58% | 17.30% | 29.87% | 55.79% |
| cm_corn | -0.001 | 0.000 | -0.02% | -0.09% | 17.61% | 19.18% | 36.79% | 46.15% |
| cm_cotton | -0.000 | 0.000 | 0.05% | 0.23% | 15.09% | 15.09% | 30.19% | 55.21% |
| cm_crudebrent | 0.000 | 0.000 | 0.04% | 0.20% | 11.64% | 11.01% | 22.64% | 48.61% |
| cm_crudewti | 0.001 | 0.000 | 0.06% | 0.25% | 14.15% | 11.32% | 25.47% | 46.91% |
| cm_feedercattle | 0.001 | 0.000 | 0.02% | 0.07% | 17.92% | 12.89% | 30.82% | 47.96% |
| cm_gasoil | -0.000 | -0.009 | 0.08% | 0.37% | 13.52% | 12.89% | 26.42% | 48.81% |
| cm_gasolinerbob | -0.001 | 0.000 | 0.01% | 0.06% | 8.18% | 10.69% | 18.87% | 46.67% |
| cm_gold | -0.003 | 0.000 | -0.01% | -0.07% | 13.21% | 21.70% | 34.91% | 50.45% |
| cm_heatingoil | -0.000 | -0.011 | 0.09% | 0.43% | 15.09% | 12.26% | 27.36% | 50.57% |
| cm_lead | -0.001 | 0.015 | 0.03% | 0.15% | 11.32% | 17.92% | 29.25% | 52.69% |
| cm_leanhogs | -0.000 | 0.000 | 0.08% | 0.38% | 23.90% | 25.47% | 49.37% | 52.87% |
| cm_livecattle | 0.001 | 0.000 | 0.06% | 0.26% | 18.87% | 15.41% | 34.28% | 50.46% |
| cm_naturalgas | -0.001 | -0.006 | 0.12% | 0.53% | 12.26% | 16.35% | 28.62% | 60.44% |
| cm_nickel | -0.001 | 0.000 | 0.04% | 0.16% | 10.69% | 17.92% | 28.62% | 52.75% |
| cm_orangejuice | -0.001 | -0.004 | 0.01% | 0.04% | 12.89% | 17.92% | 30.82% | 47.96% |
| cm_palladium | -0.001 | 0.000 | -0.01% | -0.05% | 11.01% | 16.98% | 27.99% | 51.69% |
| cm_platinum | 0.000 | 0.000 | 0.04% | 0.20% | 16.04% | 15.09% | 31.13% | 46.46% |
| cm_redwheat | -0.002 | 0.000 | -0.04% | -0.20% | 11.64% | 19.18% | 30.82% | 45.92% |
| cm_silver | 0.001 | -0.006 | -0.02% | -0.10% | 14.78% | 18.87% | 33.65% | 47.66% |
| cm_soybeanmeal | 0.000 | 0.000 | 0.11% | 0.52% | 15.72% | 12.89% | 28.62% | 48.35% |
| cm_soybeanoil | -0.000 | 0.008 | 0.01% | 0.03% | 10.69% | 12.26% | 22.96% | 52.05% |
| cm_soybeans | 0.001 | 0.000 | 0.06% | 0.28% | 18.24% | 11.64% | 29.87% | 52.63% |
| cm_sugar | -0.002 | -0.009 | 0.07% | 0.33% | 15.72% | 26.10% | 41.82% | 58.65% |
| cm_tin | 0.001 | 0.000 | 0.09% | 0.41% | 18.55% | 16.35% | 34.91% | 48.65% |
| cm_wheat | -0.001 | 0.000 | 0.06% | 0.25% | 14.15% | 18.24% | 32.39% | 52.43% |
| cm_zinc | -0.001 | 0.000 | 0.05% | 0.21% | 8.18% | 14.15% | 22.33% | 43.66% |
| eq_australia | -0.024 | -0.046 | 0.10% | 0.44% | 41.19% | 58.18% | 99.37% | 6.96% |
| eq_austria | 0.006 | 0.014 | 0.30% | 1.38% | 44.03% | 34.91% | 78.93% | 58.96% |
| eq_belgium | -0.001 | 0.033 | 0.22% | 1.00% | 48.74% | 48.74% | 97.48% | 51.29% |
| eq_brazil | -0.001 | -0.033 | 0.15% | 0.67% | 46.54% | 46.86% | 93.40% | 33.67% |
| eq_canada | 0.003 | -0.037 | 0.23% | 1.06% | 49.69% | 48.43% | 98.11% | 54.81% |
| eq_chile | -0.008 | -0.005 | 0.07% | 0.30% | 19.50% | 34.91% | 54.40% | 52.60% |
| eq_china | 0.000 | 0.009 | 0.50% | 2.25% | 50.63% | 47.17% | 97.80% | 40.84% |
| eq_colombia | -0.002 | -0.006 | 0.27% | 1.21% | 15.41% | 16.35% | 31.76% | 51.49% |
| eq_czech_republic | 0.002 | 0.010 | 0.26% | 1.20% | 48.74% | 45.60% | 94.34% | 53.00% |
| eq_denmark | 0.008 | -0.043 | 0.63% | 2.86% | 44.97% | 41.51% | 86.48% | 55.27% |
| eq_egypt | 0.007 | 0.015 | 0.45% | 2.03% | 48.43% | 32.39% | 80.82% | 54.86% |
| eq_euro_area | -0.001 | 0.016 | 0.05% | 0.24% | 42.45% | 40.57% | 83.02% | 45.08% |
| eq_finland | 0.012 | 0.040 | -0.04% | -0.18% | 61.01% | 37.42% | 98.43% | 48.24% |
| eq_france | 0.001 | 0.030 | 0.16% | 0.74% | 50.31% | 48.11% | 98.43% | 51.44% |
| eq_germany | 0.018 | -0.055 | 0.45% | 2.03% | 68.55% | 30.50% | 99.06% | 56.51% |
| eq_greece | -0.009 | -0.014 | 0.75% | 3.40% | 20.13% | 32.70% | 52.83% | 53.57% |
| eq_hong_kong | -0.008 | 0.050 | 0.44% | 2.00% | 44.34% | 55.66% | 100.00% | 55.35% |
| eq_hungary | 0.010 | 0.008 | 0.81% | 3.67% | 44.34% | 33.02% | 77.36% | 63.01% |
| eq_india | 0.004 | -0.028 | 0.14% | 0.62% | 55.35% | 43.08% | 98.43% | 57.51% |
| eq_indonesia | -0.001 | -0.006 | 0.08% | 0.35% | 48.11% | 49.06% | 97.17% | 49.84% |
| eq_ireland | -0.015 | -0.051 | 0.07% | 0.33% | 5.66% | 11.01% | 16.67% | 45.28% |
| eq_israel | 0.005 | -0.039 | 1.12% | 5.07% | 32.08% | 22.01% | 54.09% | 11.05% |
| eq_italy | -0.014 | 0.023 | 0.58% | 2.64% | 36.79% | 57.86% | 94.65% | 53.49% |
| eq_japan | 0.010 | -0.005 | 0.45% | 2.03% | 57.55% | 41.19% | 98.74% | 57.32% |
| eq_korea_south | 0.003 | 0.035 | 0.39% | 1.79% | 49.37% | 43.40% | 92.77% | 46.44% |
| eq_kuwait | 0.008 | -0.012 | 0.11% | 0.49% | 17.30% | 8.49% | 25.79% | 54.88% |
| eq_malaysia | -0.015 | 0.055 | 0.17% | 0.76% | 38.68% | 57.86% | 96.54% | 9.77% |
| eq_mexico | 0.001 | -0.016 | 0.35% | 1.59% | 47.48% | 45.91% | 93.40% | 3.70% |
| eq_netherlands | -0.002 | 0.049 | 0.15% | 0.70% | 49.69% | 47.48% | 97.17% | 50.16% |
| eq_new_zealand | 0.005 | -0.099 | 0.25% | 1.12% | 38.36% | 33.65% | 72.01% | 49.78% |
| eq_norway | 0.019 | -0.024 | 0.39% | 1.77% | 63.52% | 35.22% | 98.74% | 56.05% |
| eq_philippines | -0.007 | -0.015 | 0.21% | 0.95% | 40.25% | 54.72% | 94.97% | 31.46% |
| eq_poland | -0.006 | -0.037 | 0.07% | 0.31% | 37.11% | 55.66% | 92.77% | 48.81% |
| eq_portugal | -0.027 | -0.064 | -0.02% | -0.10% | 28.30% | 60.06% | 88.36% | 54.45% |
| eq_qatar | -0.003 | 0.049 | 0.12% | 0.56% | 15.09% | 17.92% | 33.02% | 53.33% |
| eq_saudi_arabia | 0.009 | 0.019 | 0.74% | 3.37% | 52.83% | 44.97% | 97.80% | 61.41% |
| eq_singapore | -0.011 | -0.017 | 0.33% | 1.49% | 41.19% | 57.86% | 99.06% | 52.06% |
| eq_south_africa | 0.002 | 0.035 | -0.11% | -0.51% | 39.31% | 31.13% | 70.44% | 46.43% |
| eq_spain | -0.016 | 0.011 | 0.12% | 0.53% | 34.59% | 65.09% | 99.69% | 50.16% |
| eq_sweden | -0.000 | 0.022 | 0.07% | 0.30% | 47.48% | 49.69% | 97.17% | 48.87% |
| eq_switzerland | 0.004 | -0.034 | -0.36% | -1.65% | 54.40% | 44.97% | 99.37% | 7.91% |
| eq_taiwan | 0.009 | 0.032 | 0.15% | 0.66% | 58.18% | 38.36% | 96.54% | 44.30% |
| eq_thailand | 0.001 | 0.057 | 0.16% | 0.73% | 47.48% | 48.43% | 95.91% | 41.64% |
| eq_turkey | 0.009 | -0.009 | 0.68% | 3.07% | 60.06% | 35.85% | 95.91% | 57.70% |
| eq_uae | -0.000 | 0.000 | 0.13% | 0.60% | 32.08% | 31.76% | 63.84% | 56.16% |
| eq_united_kingdom | -0.023 | -0.022 | 0.26% | 1.20% | 35.85% | 62.58% | 98.43% | 52.08% |
| eq_united_states | 0.011 | 0.031 | 0.75% | 3.41% | 60.69% | 38.68% | 99.37% | 57.28% |
| fi_australia_yield_10y | 0.000 | 0.000 | 0.07% | 0.33% | 7.86% | 5.97% | 13.84% | 0.00% |
| fi_australia_yield_2y | 0.390 | -0.03% | -0.15% | 95.60% | 0.00% | 95.60% | 4.28% | |
| fi_australia_yield_5y | 0.036 | 0.00% | 0.00% | 40.57% | 0.00% | 40.57% | 0.00% | |
| fi_austria_yield_10y | 0.002 | 0.000 | 0.08% | 0.35% | 6.29% | 3.77% | 10.06% | 56.25% |
| fi_austria_yield_2y | -0.039 | 0.11% | 0.50% | 15.09% | 38.68% | 53.77% | 50.88% | |
| fi_austria_yield_5y | 0.000 | 0.00% | 0.00% | 0.31% | 0.00% | 0.31% | 0.00% | |
| fi_belgium_yield_10y | 0.002 | 0.000 | 0.12% | 0.54% | 4.72% | 2.52% | 7.23% | 52.17% |
| fi_belgium_yield_2y | 0.072 | 0.06% | 0.29% | 44.34% | 0.00% | 44.34% | 50.35% | |
| fi_belgium_yield_5y | 0.001 | 0.00% | 0.00% | 0.94% | 0.00% | 0.94% | 0.00% | |
| fi_brazil_yield_10y | -0.001 | 0.000 | -0.04% | -0.20% | 0.31% | 0.94% | 1.26% | 50.00% |
| fi_brazil_yield_2y | 0.092 | 0.22% | 1.00% | 26.73% | 0.00% | 26.73% | 35.29% | |
| fi_brazil_yield_5y | -0.001 | -0.00% | -0.02% | 2.52% | 6.92% | 9.43% | 40.00% | |
| fi_canada_yield_10y | -0.000 | 0.000 | 0.08% | 0.35% | 6.29% | 5.03% | 11.32% | 50.00% |
| fi_canada_yield_2y | 0.059 | 0.06% | 0.25% | 38.36% | 0.00% | 38.36% | 53.28% | |
| fi_canada_yield_5y | 0.000 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||
| fi_chile_yield_10y | -0.002 | 0.000 | 0.05% | 0.25% | 0.31% | 1.57% | 1.89% | 66.67% |
| fi_chile_yield_2y | -0.073 | -0.07% | -0.33% | 0.00% | 12.58% | 12.58% | 42.50% | |
| fi_chile_yield_5y | -0.005 | 0.01% | 0.06% | 0.00% | 5.66% | 5.66% | 61.11% | |
| fi_china_yield_10y | -0.008 | 0.000 | 0.17% | 0.79% | 3.46% | 12.58% | 16.04% | 50.98% |
| fi_china_yield_2y | -0.264 | 0.27% | 1.22% | 0.00% | 66.04% | 66.04% | 48.10% | |
| fi_china_yield_5y | -0.006 | 0.01% | 0.04% | 0.00% | 8.49% | 8.49% | 62.96% | |
| fi_colombia_yield_10y | 0.002 | 0.000 | 0.12% | 0.56% | 1.89% | 0.63% | 2.52% | 75.00% |
| fi_colombia_yield_5y | 0.000 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||
| fi_czech_republic_yield_10y | 0.000 | 0.063 | 0.04% | 0.17% | 6.29% | 7.55% | 13.84% | 54.55% |
| fi_czech_republic_yield_2y | -0.535 | 1.44% | 6.54% | 0.00% | 91.51% | 91.51% | 69.07% | |
| fi_czech_republic_yield_5y | -0.060 | 0.19% | 0.87% | 0.00% | 35.85% | 35.85% | 55.26% | |
| fi_denmark_yield_10y | 0.005 | 0.000 | 0.14% | 0.61% | 6.92% | 2.52% | 9.43% | 63.33% |
| fi_denmark_yield_2y | 0.019 | 0.09% | 0.41% | 19.81% | 10.38% | 30.19% | 63.54% | |
| fi_denmark_yield_5y | 0.000 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||
| fi_finland_yield_10y | 0.003 | 0.000 | -0.01% | -0.07% | 6.29% | 2.83% | 9.12% | 55.17% |
| fi_finland_yield_2y | -0.052 | 0.02% | 0.07% | 0.00% | 38.99% | 38.99% | 46.77% | |
| fi_finland_yield_5y | 0.000 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||
| fi_france_yield_10y | -0.002 | 0.000 | -0.03% | -0.14% | 2.52% | 3.46% | 5.97% | 42.11% |
| fi_france_yield_2y | 0.044 | 0.06% | 0.28% | 26.42% | 0.00% | 26.42% | 47.62% | |
| fi_france_yield_5y | 0.000 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||
| fi_germany_yield_10y | -0.002 | 0.000 | -0.04% | -0.19% | 3.14% | 4.40% | 7.55% | 41.67% |
| fi_germany_yield_2y | 0.041 | 0.11% | 0.49% | 26.42% | 7.55% | 33.96% | 50.93% | |
| fi_germany_yield_5y | -0.001 | 0.00% | 0.00% | 0.00% | 1.57% | 1.57% | 0.00% | |
| fi_greece_yield_10y | -0.004 | 0.000 | 0.08% | 0.38% | 13.84% | 15.09% | 28.93% | 54.35% |
| fi_greece_yield_2y | 0.000 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||
| fi_greece_yield_5y | -0.001 | 0.03% | 0.13% | 3.46% | 2.20% | 5.66% | 61.11% | |
| fi_hong_kong_yield_10y | 0.001 | 0.000 | 0.05% | 0.23% | 5.03% | 6.29% | 11.32% | 44.44% |
| fi_hong_kong_yield_2y | -0.024 | 0.04% | 0.20% | 0.00% | 4.09% | 4.09% | 61.54% | |
| fi_hong_kong_yield_5y | 0.000 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||
| fi_hungary_yield_10y | 0.005 | 0.000 | 0.01% | 0.03% | 9.75% | 3.46% | 13.21% | 64.29% |
| fi_hungary_yield_5y | -0.009 | -0.01% | -0.03% | 0.00% | 12.26% | 12.26% | 46.15% | |
| fi_india_yield_10y | 0.002 | 0.000 | 0.06% | 0.28% | 11.01% | 8.49% | 19.50% | 58.06% |
| fi_india_yield_2y | -0.075 | 0.02% | 0.09% | 1.89% | 47.48% | 49.37% | 50.96% | |
| fi_india_yield_5y | -0.000 | 0.00% | 0.01% | 0.00% | 0.31% | 0.31% | 100.00% | |
| fi_indonesia_yield_10y | 0.002 | 0.105 | 0.01% | 0.03% | 6.60% | 3.14% | 9.75% | 41.94% |
| fi_indonesia_yield_5y | 0.000 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||
| fi_ireland_yield_10y | 0.003 | 0.000 | 0.11% | 0.50% | 9.75% | 7.86% | 17.61% | 55.36% |
| fi_ireland_yield_2y | -0.073 | 0.07% | 0.30% | 3.77% | 31.13% | 34.91% | 53.15% | |
| fi_ireland_yield_5y | 0.000 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||
| fi_israel_yield_10y | 0.000 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||
| fi_israel_yield_2y | 0.000 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||
| fi_israel_yield_5y | 0.000 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||
| fi_italy_yield_10y | 0.002 | 0.000 | -0.01% | -0.02% | 4.40% | 5.03% | 9.43% | 53.33% |
| fi_italy_yield_2y | 0.052 | 0.10% | 0.47% | 34.28% | 0.00% | 34.28% | 60.55% | |
| fi_italy_yield_5y | -0.001 | 0.00% | 0.00% | 0.00% | 0.63% | 0.63% | 0.00% | |
| fi_japan_yield_10y | 0.008 | -0.059 | 0.06% | 0.29% | 5.97% | 5.97% | 11.95% | 68.42% |
| fi_japan_yield_2y | 0.096 | 0.01% | 0.04% | 72.01% | 5.66% | 77.67% | 51.82% | |
| fi_japan_yield_5y | 0.018 | -0.00% | -0.02% | 31.76% | 0.00% | 31.76% | 45.54% | |
| fi_korea_south_yield_10y | 0.002 | 0.000 | 0.03% | 0.14% | 3.77% | 3.46% | 7.23% | 60.87% |
| fi_korea_south_yield_2y | -0.014 | 0.02% | 0.09% | 25.79% | 17.61% | 43.40% | 42.75% | |
| fi_korea_south_yield_5y | -0.022 | 0.00% | 0.02% | 0.00% | 26.10% | 26.10% | 15.66% | |
| fi_malaysia_yield_10y | 0.000 | 0.000 | -0.01% | -0.06% | 5.35% | 6.60% | 11.95% | 5.26% |
| fi_malaysia_yield_5y | -0.027 | 0.00% | 0.01% | 4.72% | 27.04% | 31.76% | 6.93% | |
| fi_mexico_yield_10y | 0.000 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||
| fi_mexico_yield_5y | 0.000 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||
| fi_netherlands_yield_10y | 0.002 | -0.097 | 0.01% | 0.04% | 3.14% | 1.57% | 4.72% | 40.00% |
| fi_netherlands_yield_2y | 0.009 | 0.04% | 0.16% | 11.32% | 5.35% | 16.67% | 41.51% | |
| fi_netherlands_yield_5y | -0.001 | 0.00% | 0.00% | 0.00% | 0.94% | 0.94% | 0.00% | |
| fi_new_zealand_yield_10y | -0.002 | 0.000 | 0.02% | 0.08% | 0.63% | 1.57% | 2.20% | 42.86% |
| fi_new_zealand_yield_2y | -0.085 | -0.05% | -0.23% | 0.00% | 33.02% | 33.02% | 57.14% | |
| fi_new_zealand_yield_5y | 0.000 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||
| fi_norway_yield_10y | -0.000 | 0.000 | -0.00% | -0.01% | 3.46% | 3.14% | 6.60% | 42.86% |
| fi_norway_yield_5y | 0.031 | 0.18% | 0.80% | 28.93% | 0.00% | 28.93% | 54.35% | |
| fi_philippines_yield_10y | 0.001 | 0.000 | 0.09% | 0.41% | 16.35% | 15.09% | 31.45% | 35.00% |
| fi_philippines_yield_2y | 0.070 | 0.06% | 0.28% | 40.25% | 0.00% | 40.25% | 28.12% | |
| fi_philippines_yield_5y | 0.013 | 0.00% | 0.00% | 16.98% | 0.00% | 16.98% | 0.00% | |
| fi_poland_yield_10y | 0.000 | 0.056 | 0.07% | 0.30% | 2.83% | 4.40% | 7.23% | 56.52% |
| fi_poland_yield_2y | 0.000 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||
| fi_poland_yield_5y | 0.000 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||
| fi_portugal_yield_10y | -0.000 | 0.095 | 0.09% | 0.41% | 6.60% | 6.92% | 13.52% | 60.47% |
| fi_portugal_yield_2y | 0.029 | 0.32% | 1.46% | 23.58% | 0.00% | 23.58% | 66.67% | |
| fi_portugal_yield_5y | 0.000 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||
| fi_singapore_yield_10y | 0.001 | 0.000 | 0.11% | 0.48% | 8.18% | 8.18% | 16.35% | 44.23% |
| fi_singapore_yield_2y | 0.037 | 0.04% | 0.18% | 20.75% | 6.29% | 27.04% | 51.16% | |
| fi_singapore_yield_5y | 0.000 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||
| fi_south_africa_yield_10y | 0.007 | 0.000 | 0.05% | 0.22% | 10.69% | 1.26% | 11.95% | 57.89% |
| fi_south_africa_yield_5y | 0.000 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||
| fi_spain_yield_10y | 0.001 | 0.000 | 0.03% | 0.14% | 4.09% | 4.72% | 8.81% | 46.43% |
| fi_spain_yield_2y | 0.026 | 0.13% | 0.57% | 21.38% | 5.03% | 26.42% | 65.48% | |
| fi_spain_yield_5y | 0.000 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||
| fi_sweden_yield_10y | 0.000 | 0.000 | 0.08% | 0.37% | 1.26% | 0.94% | 2.20% | 71.43% |
| fi_sweden_yield_2y | -0.041 | 0.03% | 0.12% | 0.63% | 31.76% | 32.39% | 55.34% | |
| fi_sweden_yield_5y | 0.000 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||
| fi_switzerland_yield_10y | -0.015 | 0.000 | 0.11% | 0.49% | 2.20% | 29.87% | 32.08% | 4.90% |
| fi_switzerland_yield_2y | -0.268 | 0.37% | 1.66% | 0.00% | 90.88% | 90.88% | 6.57% | |
| fi_switzerland_yield_5y | -0.026 | 0.00% | 0.00% | 0.00% | 39.31% | 39.31% | 0.00% | |
| fi_taiwan_yield_10y | -0.006 | 0.189 | 0.06% | 0.26% | 2.83% | 4.40% | 7.23% | 73.91% |
| fi_taiwan_yield_2y | -0.075 | 0.04% | 0.19% | 0.00% | 14.78% | 14.78% | 59.57% | |
| fi_taiwan_yield_5y | -0.006 | 0.01% | 0.03% | 0.00% | 4.72% | 4.72% | 53.33% | |
| fi_thailand_yield_10y | 0.006 | 0.12% | 0.52% | 12.89% | 9.12% | 22.01% | 50.00% | |
| fi_thailand_yield_2y | -0.050 | 0.17% | 0.75% | 0.00% | 8.18% | 8.18% | 38.46% | |
| fi_thailand_yield_5y | 0.000 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||
| fi_turkey_yield_10y | 0.005 | 0.000 | 0.21% | 0.94% | 11.64% | 4.72% | 16.35% | 55.77% |
| fi_turkey_yield_2y | 0.112 | 1.10% | 5.01% | 56.29% | 0.00% | 56.29% | 68.72% | |
| fi_turkey_yield_5y | 0.011 | 0.07% | 0.31% | 14.47% | 0.00% | 14.47% | 67.39% | |
| fi_united_kingdom_yield_10y | -0.012 | 0.000 | -0.00% | -0.00% | 4.09% | 20.13% | 24.21% | 48.05% |
| fi_united_kingdom_yield_2y | -0.014 | -0.01% | -0.05% | 7.86% | 14.47% | 22.33% | 49.30% | |
| fi_united_kingdom_yield_5y | -0.009 | -0.01% | -0.05% | 0.00% | 11.95% | 11.95% | 47.37% | |
| fi_united_states_yield_10y | 0.003 | 0.000 | 0.06% | 0.26% | 7.86% | 7.23% | 15.09% | 54.17% |
| fi_united_states_yield_2y | 0.080 | 0.06% | 0.27% | 52.20% | 0.00% | 52.20% | 53.01% | |
| fi_united_states_yield_5y | 0.001 | 0.01% | 0.03% | 1.26% | 0.00% | 1.26% | 75.00% | |
| cm | -0.012 | -0.021 | 1.09% | 4.97% | 39.94% | 60.06% | 100.00% | 58.81% |
| eq_dm | -0.028 | -0.217 | 5.53% | 25.14% | 45.91% | 54.09% | 100.00% | 67.92% |
| eq_em | 0.016 | 0.143 | 4.83% | 21.93% | 56.60% | 43.40% | 100.00% | 69.18% |
| fi_dm | 0.441 | -0.061 | 2.23% | 10.13% | 80.50% | 19.50% | 100.00% | 59.75% |
| fi_em | -0.841 | 0.412 | 3.72% | 16.88% | 6.29% | 93.71% | 100.00% | 66.04% |
| cm_energy | -0.000 | -0.026 | 0.40% | 1.82% | 34.59% | 38.99% | 73.58% | 56.41% |
| cm_grains | -0.002 | 0.008 | 0.15% | 0.66% | 38.68% | 42.45% | 81.13% | 50.39% |
| cm_industrial_metals | -0.004 | 0.015 | 0.20% | 0.92% | 34.59% | 48.74% | 83.33% | 55.85% |
| cm_livestock | 0.002 | 0.000 | 0.15% | 0.68% | 39.94% | 32.70% | 72.64% | 50.65% |
| cm_precious_metals | -0.003 | -0.006 | -0.01% | -0.03% | 29.25% | 42.45% | 71.70% | 54.39% |
| cm_softs | -0.005 | -0.012 | 0.20% | 0.91% | 32.39% | 52.52% | 84.91% | 54.81% |
| eq_americas | 0.009 | -0.067 | 1.24% | 5.64% | 54.09% | 45.91% | 100.00% | 58.81% |
| eq_apac | -0.035 | 0.022 | 2.72% | 12.35% | 44.65% | 55.35% | 100.00% | 62.58% |
| eq_emea | 0.014 | -0.030 | 6.40% | 29.08% | 50.63% | 49.37% | 100.00% | 67.30% |
| fi_americas | 0.187 | 0.000 | 0.40% | 1.84% | 67.30% | 20.75% | 88.05% | 54.64% |
| fi_apac | 0.105 | 0.234 | 1.03% | 4.68% | 60.38% | 39.62% | 100.00% | 56.92% |
| fi_emea | -0.692 | 0.117 | 4.51% | 20.50% | 13.21% | 86.79% | 100.00% | 72.33% |
A robustness check that re-runs the strategy with one instrument removed at a time and reports the resulting performance and significance statistics. Stable results across exclusions indicate the strategy does not rely on any single market.
| start date | end date | annualized return | annualized std | information ratio | max drawdown | average gross weight | max gross weight | average net weight | max net weight | turnover annual | annual transaction cost | datapoints | p value | t test 5pct | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ex-eq_australia | 2000-01-03 | 2026-06-01 | 16.14% | 6.33% | 2.409 | -6.10% | 5.25 | 7.47 | -0.42 | 1.88 | 26.89 | 1.72% | 318 | 0.0000 | pass |
| ex-eq_austria | 2000-01-03 | 2026-06-01 | 16.83% | 6.10% | 2.599 | -5.56% | 5.29 | 7.45 | -0.43 | 1.85 | 27.27 | 1.74% | 318 | 0.0000 | pass |
| ex-eq_belgium | 2000-01-03 | 2026-06-01 | 16.60% | 6.10% | 2.566 | -5.93% | 5.26 | 7.41 | -0.43 | 1.86 | 27.01 | 1.73% | 318 | 0.0000 | pass |
| ex-eq_canada | 2000-01-03 | 2026-06-01 | 16.69% | 6.20% | 2.538 | -5.25% | 5.26 | 7.24 | -0.43 | 1.90 | 26.98 | 1.72% | 318 | 0.0000 | pass |
| ex-eq_denmark | 2000-01-03 | 2026-06-01 | 16.30% | 6.13% | 2.507 | -5.81% | 5.28 | 7.45 | -0.42 | 1.82 | 27.23 | 1.74% | 318 | 0.0000 | pass |
| ex-eq_euro_area | 2000-01-03 | 2026-06-01 | 16.72% | 6.17% | 2.551 | -6.13% | 5.28 | 7.42 | -0.42 | 1.86 | 27.15 | 1.74% | 318 | 0.0000 | pass |
| ex-eq_finland | 2000-01-03 | 2026-06-01 | 16.81% | 6.18% | 2.560 | -5.66% | 5.28 | 7.42 | -0.43 | 1.85 | 27.15 | 1.74% | 318 | 0.0000 | pass |
| ex-eq_france | 2000-01-03 | 2026-06-01 | 16.56% | 6.20% | 2.519 | -5.86% | 5.27 | 7.51 | -0.43 | 1.85 | 27.10 | 1.73% | 318 | 0.0000 | pass |
| ex-eq_germany | 2000-01-03 | 2026-06-01 | 16.47% | 6.21% | 2.500 | -5.56% | 5.28 | 7.42 | -0.42 | 1.89 | 27.18 | 1.74% | 318 | 0.0000 | pass |
| ex-eq_hong_kong | 2000-01-03 | 2026-06-01 | 15.93% | 6.08% | 2.476 | -5.52% | 5.28 | 7.45 | -0.43 | 1.86 | 27.15 | 1.74% | 318 | 0.0000 | pass |
| ex-eq_ireland | 2000-01-03 | 2026-06-01 | 16.71% | 6.15% | 2.557 | -5.53% | 5.29 | 7.45 | -0.42 | 1.85 | 27.30 | 1.74% | 318 | 0.0000 | pass |
| ex-eq_israel | 2000-01-03 | 2026-06-01 | 16.67% | 6.19% | 2.537 | -5.62% | 5.28 | 7.45 | -0.42 | 1.85 | 27.25 | 1.74% | 318 | 0.0000 | pass |
| ex-eq_italy | 2000-01-03 | 2026-06-01 | 16.30% | 6.08% | 2.530 | -5.61% | 5.28 | 7.47 | -0.43 | 1.87 | 27.23 | 1.74% | 318 | 0.0000 | pass |
| ex-eq_japan | 2000-01-03 | 2026-06-01 | 16.16% | 6.22% | 2.453 | -6.72% | 5.28 | 7.41 | -0.43 | 1.86 | 27.22 | 1.74% | 318 | 0.0000 | pass |
| ex-eq_netherlands | 2000-01-03 | 2026-06-01 | 16.68% | 6.14% | 2.559 | -5.06% | 5.28 | 7.38 | -0.42 | 1.87 | 27.13 | 1.74% | 318 | 0.0000 | pass |
| ex-eq_new_zealand | 2000-01-03 | 2026-06-01 | 16.58% | 6.16% | 2.537 | -5.37% | 5.27 | 7.45 | -0.42 | 1.85 | 27.02 | 1.73% | 318 | 0.0000 | pass |
| ex-eq_norway | 2000-01-03 | 2026-06-01 | 16.35% | 6.14% | 2.511 | -6.10% | 5.28 | 7.36 | -0.43 | 1.92 | 27.16 | 1.73% | 318 | 0.0000 | pass |
| ex-eq_portugal | 2000-01-03 | 2026-06-01 | 16.39% | 6.07% | 2.547 | -5.49% | 5.28 | 7.46 | -0.44 | 1.83 | 27.17 | 1.73% | 318 | 0.0000 | pass |
| ex-eq_singapore | 2000-01-03 | 2026-06-01 | 16.30% | 6.02% | 2.554 | -5.38% | 5.27 | 7.43 | -0.43 | 1.90 | 27.10 | 1.73% | 318 | 0.0000 | pass |
| ex-eq_spain | 2000-01-03 | 2026-06-01 | 16.47% | 6.09% | 2.551 | -5.80% | 5.27 | 7.40 | -0.43 | 1.86 | 27.14 | 1.73% | 318 | 0.0000 | pass |
| ex-eq_sweden | 2000-01-03 | 2026-06-01 | 16.69% | 6.26% | 2.511 | -5.78% | 5.28 | 7.47 | -0.43 | 1.85 | 27.23 | 1.74% | 318 | 0.0000 | pass |
| ex-eq_switzerland | 2000-01-03 | 2026-06-01 | 16.56% | 6.06% | 2.574 | -5.41% | 5.27 | 7.42 | -0.43 | 1.90 | 27.04 | 1.73% | 318 | 0.0000 | pass |
| ex-eq_united_kingdom | 2000-01-03 | 2026-06-01 | 16.42% | 6.18% | 2.508 | -5.21% | 5.26 | 7.34 | -0.42 | 1.86 | 26.96 | 1.73% | 318 | 0.0000 | pass |
| ex-eq_united_states | 2000-01-03 | 2026-06-01 | 15.99% | 6.21% | 2.434 | -5.59% | 5.27 | 7.45 | -0.42 | 1.88 | 27.11 | 1.73% | 318 | 0.0000 | pass |
| ex-eq_brazil | 2000-01-03 | 2026-06-01 | 16.83% | 6.21% | 2.551 | -6.69% | 5.28 | 7.40 | -0.42 | 1.85 | 27.23 | 1.74% | 318 | 0.0000 | pass |
| ex-eq_chile | 2000-01-03 | 2026-06-01 | 16.76% | 6.17% | 2.559 | -5.39% | 5.29 | 7.45 | -0.42 | 1.85 | 27.26 | 1.74% | 318 | 0.0000 | pass |
| ex-eq_china | 2000-01-03 | 2026-06-01 | 16.73% | 6.24% | 2.526 | -5.85% | 5.28 | 7.42 | -0.42 | 1.86 | 27.19 | 1.74% | 318 | 0.0000 | pass |
| ex-eq_colombia | 2000-01-03 | 2026-06-01 | 16.68% | 6.17% | 2.547 | -5.53% | 5.29 | 7.45 | -0.42 | 1.85 | 27.25 | 1.74% | 318 | 0.0000 | pass |
| ex-eq_czech_republic | 2000-01-03 | 2026-06-01 | 16.64% | 6.17% | 2.540 | -5.39% | 5.27 | 7.40 | -0.42 | 1.88 | 27.06 | 1.74% | 318 | 0.0000 | pass |
| ex-eq_egypt | 2000-01-03 | 2026-06-01 | 16.36% | 6.10% | 2.529 | -5.45% | 5.29 | 7.45 | -0.42 | 1.88 | 27.32 | 1.75% | 318 | 0.0000 | pass |
| ex-eq_greece | 2000-01-03 | 2026-06-01 | 16.34% | 6.16% | 2.503 | -6.02% | 5.29 | 7.45 | -0.43 | 1.85 | 27.30 | 1.74% | 318 | 0.0000 | pass |
| ex-eq_hungary | 2000-01-03 | 2026-06-01 | 16.37% | 6.16% | 2.504 | -5.92% | 5.28 | 7.45 | -0.42 | 1.85 | 27.20 | 1.74% | 318 | 0.0000 | pass |
| ex-eq_india | 2000-01-03 | 2026-06-01 | 16.51% | 6.08% | 2.561 | -5.01% | 5.28 | 7.39 | -0.42 | 1.86 | 27.17 | 1.74% | 318 | 0.0000 | pass |
| ex-eq_indonesia | 2000-01-03 | 2026-06-01 | 16.68% | 6.22% | 2.526 | -6.06% | 5.28 | 7.40 | -0.42 | 1.88 | 27.11 | 1.74% | 318 | 0.0000 | pass |
| ex-eq_korea_south | 2000-01-03 | 2026-06-01 | 16.46% | 6.19% | 2.508 | -6.18% | 5.28 | 7.40 | -0.42 | 1.86 | 27.18 | 1.74% | 318 | 0.0000 | pass |
| ex-eq_kuwait | 2000-01-03 | 2026-06-01 | 16.74% | 6.17% | 2.555 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.25 | 1.74% | 318 | 0.0000 | pass |
| ex-eq_malaysia | 2000-01-03 | 2026-06-01 | 16.65% | 6.16% | 2.545 | -6.69% | 5.25 | 7.44 | -0.42 | 1.87 | 26.95 | 1.73% | 318 | 0.0000 | pass |
| ex-eq_mexico | 2000-01-03 | 2026-06-01 | 16.82% | 6.24% | 2.538 | -6.17% | 5.28 | 7.40 | -0.42 | 1.84 | 27.17 | 1.74% | 318 | 0.0000 | pass |
| ex-eq_philippines | 2000-01-03 | 2026-06-01 | 16.69% | 6.08% | 2.586 | -5.42% | 5.27 | 7.37 | -0.42 | 1.84 | 27.08 | 1.74% | 318 | 0.0000 | pass |
| ex-eq_poland | 2000-01-03 | 2026-06-01 | 16.68% | 6.12% | 2.567 | -5.75% | 5.28 | 7.41 | -0.42 | 1.88 | 27.17 | 1.74% | 318 | 0.0000 | pass |
| ex-eq_qatar | 2000-01-03 | 2026-06-01 | 16.72% | 6.15% | 2.561 | -5.53% | 5.28 | 7.45 | -0.43 | 1.85 | 27.25 | 1.74% | 318 | 0.0000 | pass |
| ex-eq_saudi_arabia | 2000-01-03 | 2026-06-01 | 15.81% | 6.00% | 2.490 | -5.51% | 5.27 | 7.30 | -0.43 | 1.79 | 27.21 | 1.74% | 318 | 0.0000 | pass |
| ex-eq_south_africa | 2000-01-03 | 2026-06-01 | 16.80% | 6.19% | 2.558 | -5.45% | 5.28 | 7.45 | -0.42 | 1.85 | 27.24 | 1.74% | 318 | 0.0000 | pass |
| ex-eq_taiwan | 2000-01-03 | 2026-06-01 | 17.12% | 6.18% | 2.607 | -5.70% | 5.28 | 7.45 | -0.42 | 1.87 | 27.14 | 1.74% | 318 | 0.0000 | pass |
| ex-eq_thailand | 2000-01-03 | 2026-06-01 | 16.79% | 6.04% | 2.616 | -5.43% | 5.28 | 7.35 | -0.42 | 1.86 | 27.11 | 1.74% | 318 | 0.0000 | pass |
| ex-eq_turkey | 2000-01-03 | 2026-06-01 | 16.36% | 6.04% | 2.553 | -5.19% | 5.28 | 7.31 | -0.42 | 1.86 | 27.20 | 1.75% | 318 | 0.0000 | pass |
| ex-eq_uae | 2000-01-03 | 2026-06-01 | 16.54% | 6.17% | 2.526 | -5.71% | 5.28 | 7.45 | -0.43 | 1.85 | 27.20 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_australia_yield_10y | 2000-01-03 | 2026-06-01 | 16.58% | 6.14% | 2.544 | -5.22% | 5.28 | 7.40 | -0.42 | 1.85 | 27.11 | 1.73% | 318 | 0.0000 | pass |
| ex-fi_austria_yield_10y | 2000-01-03 | 2026-06-01 | 16.74% | 6.18% | 2.552 | -5.78% | 5.28 | 7.45 | -0.42 | 1.85 | 27.08 | 1.73% | 318 | 0.0000 | pass |
| ex-fi_belgium_yield_10y | 2000-01-03 | 2026-06-01 | 16.74% | 6.15% | 2.562 | -5.39% | 5.28 | 7.45 | -0.42 | 1.85 | 27.14 | 1.73% | 318 | 0.0000 | pass |
| ex-fi_canada_yield_10y | 2000-01-03 | 2026-06-01 | 16.64% | 6.17% | 2.540 | -5.53% | 5.28 | 7.45 | -0.42 | 1.73 | 27.10 | 1.73% | 318 | 0.0000 | pass |
| ex-fi_denmark_yield_10y | 2000-01-03 | 2026-06-01 | 16.78% | 6.22% | 2.540 | -5.40% | 5.28 | 7.45 | -0.43 | 1.85 | 27.18 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_finland_yield_10y | 2000-01-03 | 2026-06-01 | 16.77% | 6.15% | 2.566 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.12 | 1.73% | 318 | 0.0000 | pass |
| ex-fi_france_yield_10y | 2000-01-03 | 2026-06-01 | 16.82% | 6.15% | 2.572 | -5.29% | 5.28 | 7.20 | -0.42 | 1.85 | 27.12 | 1.73% | 318 | 0.0000 | pass |
| ex-fi_germany_yield_10y | 2000-01-03 | 2026-06-01 | 16.71% | 6.17% | 2.552 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.14 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_hong_kong_yield_10y | 2000-01-03 | 2026-06-01 | 16.73% | 6.16% | 2.559 | -5.53% | 5.28 | 7.45 | -0.42 | 1.95 | 27.16 | 1.73% | 318 | 0.0000 | pass |
| ex-fi_ireland_yield_10y | 2000-01-03 | 2026-06-01 | 16.84% | 6.21% | 2.555 | -5.20% | 5.28 | 7.45 | -0.42 | 1.85 | 27.17 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_israel_yield_10y | 2000-01-03 | 2026-06-01 | 16.76% | 6.17% | 2.556 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.26 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_italy_yield_10y | 2000-01-03 | 2026-06-01 | 16.83% | 6.20% | 2.555 | -5.64% | 5.28 | 7.51 | -0.43 | 1.85 | 27.17 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_japan_yield_10y | 2000-01-03 | 2026-06-01 | 16.74% | 6.19% | 2.548 | -5.41% | 5.26 | 7.45 | -0.43 | 1.85 | 26.96 | 1.72% | 318 | 0.0000 | pass |
| ex-fi_netherlands_yield_10y | 2000-01-03 | 2026-06-01 | 16.81% | 6.19% | 2.557 | -5.28% | 5.28 | 7.45 | -0.43 | 1.85 | 27.21 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_new_zealand_yield_10y | 2000-01-03 | 2026-06-01 | 16.74% | 6.17% | 2.554 | -5.53% | 5.29 | 7.45 | -0.42 | 1.85 | 27.26 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_norway_yield_10y | 2000-01-03 | 2026-06-01 | 16.80% | 6.14% | 2.574 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.14 | 1.73% | 318 | 0.0000 | pass |
| ex-fi_portugal_yield_10y | 2000-01-03 | 2026-06-01 | 16.70% | 6.16% | 2.553 | -5.30% | 5.28 | 7.47 | -0.42 | 1.85 | 27.17 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_singapore_yield_10y | 2000-01-03 | 2026-06-01 | 16.82% | 6.18% | 2.561 | -5.11% | 5.27 | 7.45 | -0.42 | 1.85 | 27.17 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_spain_yield_10y | 2000-01-03 | 2026-06-01 | 16.74% | 6.19% | 2.546 | -6.19% | 5.28 | 7.46 | -0.43 | 1.85 | 27.14 | 1.73% | 318 | 0.0000 | pass |
| ex-fi_sweden_yield_10y | 2000-01-03 | 2026-06-01 | 16.70% | 6.18% | 2.545 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.25 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_switzerland_yield_10y | 2000-01-03 | 2026-06-01 | 16.78% | 6.14% | 2.574 | -5.39% | 5.29 | 7.45 | -0.43 | 1.72 | 27.13 | 1.73% | 318 | 0.0000 | pass |
| ex-fi_united_kingdom_yield_10y | 2000-01-03 | 2026-06-01 | 16.74% | 6.20% | 2.544 | -5.86% | 5.29 | 7.45 | -0.42 | 1.72 | 27.21 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_united_states_yield_10y | 2000-01-03 | 2026-06-01 | 16.71% | 6.20% | 2.539 | -5.59% | 5.28 | 7.45 | -0.42 | 1.85 | 27.16 | 1.73% | 318 | 0.0000 | pass |
| ex-fi_brazil_yield_10y | 2000-01-03 | 2026-06-01 | 16.78% | 6.17% | 2.560 | -5.53% | 5.29 | 7.45 | -0.42 | 1.85 | 27.27 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_chile_yield_10y | 2000-01-03 | 2026-06-01 | 16.75% | 6.18% | 2.554 | -5.53% | 5.29 | 7.45 | -0.42 | 1.85 | 27.25 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_china_yield_10y | 2000-01-03 | 2026-06-01 | 16.75% | 6.13% | 2.573 | -5.41% | 5.27 | 7.45 | -0.42 | 1.85 | 27.07 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_colombia_yield_10y | 2000-01-03 | 2026-06-01 | 16.75% | 6.17% | 2.556 | -5.53% | 5.29 | 7.45 | -0.42 | 1.85 | 27.27 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_czech_republic_yield_10y | 2000-01-03 | 2026-06-01 | 16.67% | 6.18% | 2.539 | -5.76% | 5.28 | 7.45 | -0.42 | 1.89 | 27.16 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_greece_yield_10y | 2000-01-03 | 2026-06-01 | 16.66% | 6.15% | 2.551 | -5.46% | 5.29 | 7.45 | -0.42 | 1.85 | 27.24 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_hungary_yield_10y | 2000-01-03 | 2026-06-01 | 16.75% | 6.24% | 2.529 | -5.39% | 5.28 | 7.45 | -0.42 | 1.85 | 27.28 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_india_yield_10y | 2000-01-03 | 2026-06-01 | 16.68% | 6.17% | 2.546 | -5.28% | 5.27 | 7.45 | -0.42 | 1.85 | 27.12 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_indonesia_yield_10y | 2000-01-03 | 2026-06-01 | 16.77% | 6.17% | 2.560 | -5.40% | 5.29 | 7.45 | -0.42 | 1.85 | 27.25 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_korea_south_yield_10y | 2000-01-03 | 2026-06-01 | 16.72% | 6.14% | 2.566 | -5.46% | 5.28 | 7.45 | -0.42 | 1.85 | 27.17 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_malaysia_yield_10y | 2000-01-03 | 2026-06-01 | 16.71% | 6.18% | 2.547 | -6.07% | 5.28 | 7.45 | -0.43 | 1.85 | 27.10 | 1.73% | 318 | 0.0000 | pass |
| ex-fi_mexico_yield_10y | 2000-01-03 | 2026-06-01 | 16.75% | 6.17% | 2.556 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.26 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_philippines_yield_10y | 2000-01-03 | 2026-06-01 | 16.79% | 6.21% | 2.544 | -6.01% | 5.28 | 7.45 | -0.42 | 1.85 | 27.23 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_poland_yield_10y | 2000-01-03 | 2026-06-01 | 16.70% | 6.18% | 2.547 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.25 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_south_africa_yield_10y | 2000-01-03 | 2026-06-01 | 16.76% | 6.18% | 2.553 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.30 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_taiwan_yield_10y | 2000-01-03 | 2026-06-01 | 16.77% | 6.16% | 2.561 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.13 | 1.73% | 318 | 0.0000 | pass |
| ex-fi_thailand_yield_10y | 2000-01-03 | 2026-06-01 | 16.63% | 6.19% | 2.532 | -5.96% | 5.28 | 7.45 | -0.42 | 1.85 | 27.15 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_turkey_yield_10y | 2000-01-03 | 2026-06-01 | 16.65% | 6.13% | 2.560 | -5.53% | 5.29 | 7.45 | -0.42 | 1.85 | 27.30 | 1.75% | 318 | 0.0000 | pass |
| ex-fi_australia_yield_5y | 2000-01-03 | 2026-06-01 | 16.84% | 6.19% | 2.562 | -5.20% | 5.32 | 7.51 | -0.39 | 1.85 | 27.34 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_austria_yield_5y | 2000-01-03 | 2026-06-01 | 16.76% | 6.17% | 2.557 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.25 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_belgium_yield_5y | 2000-01-03 | 2026-06-01 | 16.76% | 6.17% | 2.558 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.25 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_canada_yield_5y | 2000-01-03 | 2026-06-01 | 16.76% | 6.17% | 2.557 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.26 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_denmark_yield_5y | 2000-01-03 | 2026-06-01 | 16.76% | 6.17% | 2.557 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.26 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_finland_yield_5y | 2000-01-03 | 2026-06-01 | 16.76% | 6.17% | 2.557 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.26 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_france_yield_5y | 2000-01-03 | 2026-06-01 | 16.76% | 6.17% | 2.557 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.26 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_germany_yield_5y | 2000-01-03 | 2026-06-01 | 16.76% | 6.17% | 2.557 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.25 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_hong_kong_yield_5y | 2000-01-03 | 2026-06-01 | 16.76% | 6.17% | 2.557 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.26 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_ireland_yield_5y | 2000-01-03 | 2026-06-01 | 16.76% | 6.17% | 2.557 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.26 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_israel_yield_5y | 2000-01-03 | 2026-06-01 | 16.76% | 6.17% | 2.557 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.26 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_italy_yield_5y | 2000-01-03 | 2026-06-01 | 16.76% | 6.17% | 2.557 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.25 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_japan_yield_5y | 2000-01-03 | 2026-06-01 | 16.83% | 6.18% | 2.564 | -5.38% | 5.30 | 7.45 | -0.40 | 1.85 | 27.32 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_netherlands_yield_5y | 2000-01-03 | 2026-06-01 | 16.76% | 6.17% | 2.557 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.25 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_new_zealand_yield_5y | 2000-01-03 | 2026-06-01 | 16.76% | 6.17% | 2.557 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.26 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_norway_yield_5y | 2000-01-03 | 2026-06-01 | 16.49% | 6.14% | 2.530 | -5.53% | 5.30 | 7.45 | -0.41 | 1.85 | 27.29 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_portugal_yield_5y | 2000-01-03 | 2026-06-01 | 16.76% | 6.17% | 2.557 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.26 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_singapore_yield_5y | 2000-01-03 | 2026-06-01 | 16.76% | 6.17% | 2.557 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.26 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_spain_yield_5y | 2000-01-03 | 2026-06-01 | 16.76% | 6.17% | 2.557 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.26 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_sweden_yield_5y | 2000-01-03 | 2026-06-01 | 16.76% | 6.17% | 2.557 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.26 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_switzerland_yield_5y | 2000-01-03 | 2026-06-01 | 16.71% | 6.17% | 2.552 | -5.48% | 5.29 | 7.41 | -0.43 | 1.75 | 27.31 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_united_kingdom_yield_5y | 2000-01-03 | 2026-06-01 | 16.74% | 6.18% | 2.552 | -5.53% | 5.29 | 7.41 | -0.43 | 1.75 | 27.27 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_united_states_yield_5y | 2000-01-03 | 2026-06-01 | 16.75% | 6.17% | 2.557 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.26 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_brazil_yield_5y | 2000-01-03 | 2026-06-01 | 16.73% | 6.15% | 2.562 | -5.42% | 5.30 | 7.45 | -0.42 | 1.85 | 27.27 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_chile_yield_5y | 2000-01-03 | 2026-06-01 | 16.75% | 6.17% | 2.555 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.26 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_china_yield_5y | 2000-01-03 | 2026-06-01 | 16.74% | 6.17% | 2.555 | -5.53% | 5.29 | 7.45 | -0.43 | 1.85 | 27.25 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_colombia_yield_5y | 2000-01-03 | 2026-06-01 | 16.76% | 6.17% | 2.557 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.26 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_czech_republic_yield_5y | 2000-01-03 | 2026-06-01 | 16.59% | 6.17% | 2.535 | -5.53% | 5.37 | 7.45 | -0.51 | 1.85 | 27.28 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_greece_yield_5y | 2000-01-03 | 2026-06-01 | 16.77% | 6.17% | 2.557 | -5.53% | 5.29 | 7.45 | -0.42 | 1.84 | 27.25 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_hungary_yield_5y | 2000-01-03 | 2026-06-01 | 16.77% | 6.18% | 2.553 | -5.53% | 5.29 | 7.45 | -0.43 | 1.85 | 27.27 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_india_yield_5y | 2000-01-03 | 2026-06-01 | 16.75% | 6.17% | 2.557 | -5.53% | 5.29 | 7.45 | -0.42 | 1.85 | 27.27 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_indonesia_yield_5y | 2000-01-03 | 2026-06-01 | 16.76% | 6.17% | 2.557 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.26 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_korea_south_yield_5y | 2000-01-03 | 2026-06-01 | 16.71% | 6.16% | 2.554 | -5.53% | 5.32 | 7.98 | -0.46 | 1.68 | 27.27 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_malaysia_yield_5y | 2000-01-03 | 2026-06-01 | 16.75% | 6.19% | 2.550 | -5.48% | 5.30 | 7.45 | -0.43 | 1.85 | 27.28 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_mexico_yield_5y | 2000-01-03 | 2026-06-01 | 16.76% | 6.17% | 2.557 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.26 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_philippines_yield_5y | 2000-01-03 | 2026-06-01 | 16.76% | 6.17% | 2.557 | -5.53% | 5.34 | 7.45 | -0.36 | 1.85 | 27.22 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_poland_yield_5y | 2000-01-03 | 2026-06-01 | 16.76% | 6.17% | 2.557 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.26 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_south_africa_yield_5y | 2000-01-03 | 2026-06-01 | 16.76% | 6.17% | 2.557 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.26 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_taiwan_yield_5y | 2000-01-03 | 2026-06-01 | 16.73% | 6.17% | 2.552 | -5.53% | 5.29 | 7.45 | -0.43 | 1.85 | 27.27 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_thailand_yield_5y | 2000-01-03 | 2026-06-01 | 16.76% | 6.17% | 2.557 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.26 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_turkey_yield_5y | 2000-01-03 | 2026-06-01 | 16.71% | 6.18% | 2.547 | -5.53% | 5.32 | 7.45 | -0.39 | 1.85 | 27.29 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_australia_yield_2y | 2000-01-03 | 2026-06-01 | 16.92% | 6.23% | 2.558 | -5.20% | 5.13 | 6.88 | -0.58 | 1.88 | 27.28 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_austria_yield_2y | 2000-01-03 | 2026-06-01 | 16.72% | 6.14% | 2.563 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.21 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_belgium_yield_2y | 2000-01-03 | 2026-06-01 | 16.65% | 6.16% | 2.546 | -5.62% | 5.27 | 7.34 | -0.43 | 1.76 | 27.25 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_canada_yield_2y | 2000-01-03 | 2026-06-01 | 16.55% | 6.16% | 2.533 | -5.53% | 5.27 | 7.31 | -0.44 | 1.76 | 27.22 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_denmark_yield_2y | 2000-01-03 | 2026-06-01 | 16.71% | 6.16% | 2.557 | -5.53% | 5.28 | 7.34 | -0.43 | 1.76 | 27.20 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_finland_yield_2y | 2000-01-03 | 2026-06-01 | 16.76% | 6.16% | 2.561 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.28 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_france_yield_2y | 2000-01-03 | 2026-06-01 | 16.76% | 6.18% | 2.552 | -5.68% | 5.28 | 7.34 | -0.43 | 1.76 | 27.26 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_germany_yield_2y | 2000-01-03 | 2026-06-01 | 16.61% | 6.14% | 2.549 | -5.86% | 5.26 | 7.30 | -0.43 | 1.85 | 27.23 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_hong_kong_yield_2y | 2000-01-03 | 2026-06-01 | 16.74% | 6.17% | 2.556 | -5.53% | 5.29 | 7.45 | -0.42 | 1.85 | 27.27 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_ireland_yield_2y | 2000-01-03 | 2026-06-01 | 16.75% | 6.15% | 2.565 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.29 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_israel_yield_2y | 2000-01-03 | 2026-06-01 | 16.76% | 6.17% | 2.557 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.26 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_italy_yield_2y | 2000-01-03 | 2026-06-01 | 16.60% | 6.16% | 2.538 | -5.58% | 5.28 | 7.45 | -0.43 | 1.85 | 27.23 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_japan_yield_2y | 2000-01-03 | 2026-06-01 | 16.75% | 6.17% | 2.557 | -5.42% | 5.26 | 7.35 | -0.43 | 1.76 | 27.24 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_netherlands_yield_2y | 2000-01-03 | 2026-06-01 | 16.73% | 6.17% | 2.553 | -5.53% | 5.28 | 7.30 | -0.42 | 1.85 | 27.25 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_new_zealand_yield_2y | 2000-01-03 | 2026-06-01 | 16.80% | 6.16% | 2.565 | -5.22% | 5.26 | 7.45 | -0.40 | 1.85 | 27.28 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_portugal_yield_2y | 2000-01-03 | 2026-06-01 | 16.51% | 6.10% | 2.553 | -5.53% | 5.28 | 7.45 | -0.43 | 1.85 | 27.16 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_singapore_yield_2y | 2000-01-03 | 2026-06-01 | 16.77% | 6.19% | 2.552 | -5.53% | 5.28 | 7.16 | -0.42 | 1.68 | 27.28 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_spain_yield_2y | 2000-01-03 | 2026-06-01 | 16.62% | 6.13% | 2.555 | -5.53% | 5.28 | 7.45 | -0.43 | 1.85 | 27.17 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_sweden_yield_2y | 2000-01-03 | 2026-06-01 | 16.73% | 6.16% | 2.559 | -5.53% | 5.28 | 7.45 | -0.41 | 1.85 | 27.24 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_switzerland_yield_2y | 2000-01-03 | 2026-06-01 | 16.72% | 6.17% | 2.553 | -5.72% | 5.19 | 7.05 | -0.33 | 1.96 | 27.23 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_united_kingdom_yield_2y | 2000-01-03 | 2026-06-01 | 16.80% | 6.18% | 2.558 | -5.53% | 5.27 | 7.30 | -0.41 | 1.85 | 27.24 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_united_states_yield_2y | 2000-01-03 | 2026-06-01 | 16.67% | 6.18% | 2.540 | -5.53% | 5.27 | 7.34 | -0.44 | 1.76 | 27.33 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_brazil_yield_2y | 2000-01-03 | 2026-06-01 | 16.69% | 6.15% | 2.556 | -5.53% | 5.26 | 7.45 | -0.45 | 1.85 | 27.30 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_chile_yield_2y | 2000-01-03 | 2026-06-01 | 16.78% | 6.18% | 2.555 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.26 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_china_yield_2y | 2000-01-03 | 2026-06-01 | 16.70% | 6.28% | 2.506 | -5.39% | 5.23 | 7.45 | -0.37 | 1.85 | 27.21 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_czech_republic_yield_2y | 2000-01-03 | 2026-06-01 | 15.24% | 6.15% | 2.349 | -5.48% | 5.25 | 7.45 | -0.39 | 2.20 | 27.40 | 1.75% | 318 | 0.0000 | pass |
| ex-fi_greece_yield_2y | 2000-01-03 | 2026-06-01 | 16.76% | 6.17% | 2.557 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.26 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_india_yield_2y | 2000-01-03 | 2026-06-01 | 16.74% | 6.16% | 2.558 | -5.22% | 5.26 | 7.73 | -0.40 | 1.74 | 27.23 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_korea_south_yield_2y | 2000-01-03 | 2026-06-01 | 16.55% | 6.14% | 2.539 | -5.53% | 5.27 | 7.52 | -0.42 | 1.67 | 27.29 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_philippines_yield_2y | 2000-01-03 | 2026-06-01 | 16.81% | 6.20% | 2.554 | -5.42% | 5.33 | 7.45 | -0.38 | 1.85 | 27.19 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_poland_yield_2y | 2000-01-03 | 2026-06-01 | 16.76% | 6.17% | 2.557 | -5.53% | 5.28 | 7.45 | -0.42 | 1.85 | 27.26 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_taiwan_yield_2y | 2000-01-03 | 2026-06-01 | 16.73% | 6.19% | 2.548 | -5.53% | 5.27 | 7.45 | -0.41 | 1.85 | 27.27 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_thailand_yield_2y | 2000-01-03 | 2026-06-01 | 16.70% | 6.16% | 2.553 | -5.53% | 5.30 | 7.45 | -0.44 | 1.85 | 27.17 | 1.74% | 318 | 0.0000 | pass |
| ex-fi_turkey_yield_2y | 2000-01-03 | 2026-06-01 | 15.76% | 6.00% | 2.483 | -5.53% | 5.31 | 7.45 | -0.39 | 1.92 | 27.36 | 1.75% | 318 | 0.0000 | pass |
| ex-cm_aluminum | 2000-01-03 | 2026-06-01 | 16.74% | 6.14% | 2.568 | -5.34% | 5.28 | 7.43 | -0.42 | 1.85 | 27.21 | 1.74% | 318 | 0.0000 | pass |
| ex-cm_cocoa | 2000-01-03 | 2026-06-01 | 16.76% | 6.17% | 2.558 | -5.50% | 5.28 | 7.45 | -0.42 | 1.85 | 27.21 | 1.74% | 318 | 0.0000 | pass |
| ex-cm_coffee | 2000-01-03 | 2026-06-01 | 16.76% | 6.17% | 2.560 | -5.63% | 5.28 | 7.45 | -0.42 | 1.85 | 27.24 | 1.74% | 318 | 0.0000 | pass |
| ex-cm_copper | 2000-01-03 | 2026-06-01 | 16.78% | 6.19% | 2.553 | -5.52% | 5.28 | 7.45 | -0.42 | 1.85 | 27.23 | 1.74% | 318 | 0.0000 | pass |
| ex-cm_corn | 2000-01-03 | 2026-06-01 | 16.79% | 6.21% | 2.545 | -5.65% | 5.28 | 7.43 | -0.42 | 1.85 | 27.24 | 1.74% | 318 | 0.0000 | pass |
| ex-cm_cotton | 2000-01-03 | 2026-06-01 | 16.67% | 6.15% | 2.553 | -5.69% | 5.29 | 7.45 | -0.42 | 1.85 | 27.26 | 1.74% | 318 | 0.0000 | pass |
| ex-cm_crudebrent | 2000-01-03 | 2026-06-01 | 16.71% | 6.16% | 2.554 | -5.57% | 5.29 | 7.45 | -0.42 | 1.85 | 27.25 | 1.74% | 318 | 0.0000 | pass |
| ex-cm_crudewti | 2000-01-03 | 2026-06-01 | 16.72% | 6.19% | 2.545 | -5.30% | 5.29 | 7.45 | -0.42 | 1.85 | 27.27 | 1.74% | 318 | 0.0000 | pass |
| ex-cm_feedercattle | 2000-01-03 | 2026-06-01 | 16.76% | 6.16% | 2.562 | -5.56% | 5.28 | 7.43 | -0.42 | 1.83 | 27.19 | 1.74% | 318 | 0.0000 | pass |
| ex-cm_gasoil | 2000-01-03 | 2026-06-01 | 16.68% | 6.13% | 2.564 | -5.10% | 5.28 | 7.45 | -0.42 | 1.85 | 27.22 | 1.74% | 318 | 0.0000 | pass |
| ex-cm_gasolinerbob | 2000-01-03 | 2026-06-01 | 16.74% | 6.16% | 2.560 | -5.29% | 5.29 | 7.45 | -0.42 | 1.85 | 27.26 | 1.74% | 318 | 0.0000 | pass |
| ex-cm_gold | 2000-01-03 | 2026-06-01 | 16.78% | 6.19% | 2.552 | -5.37% | 5.28 | 7.45 | -0.42 | 1.85 | 27.17 | 1.74% | 318 | 0.0000 | pass |
| ex-cm_heatingoil | 2000-01-03 | 2026-06-01 | 16.72% | 6.15% | 2.559 | -5.37% | 5.28 | 7.45 | -0.42 | 1.85 | 27.23 | 1.74% | 318 | 0.0000 | pass |
| ex-cm_lead | 2000-01-03 | 2026-06-01 | 16.70% | 6.18% | 2.545 | -5.62% | 5.28 | 7.45 | -0.42 | 1.85 | 27.24 | 1.74% | 318 | 0.0000 | pass |
| ex-cm_leanhogs | 2000-01-03 | 2026-06-01 | 16.66% | 6.16% | 2.547 | -5.62% | 5.29 | 7.45 | -0.42 | 1.85 | 27.36 | 1.75% | 318 | 0.0000 | pass |
| ex-cm_livecattle | 2000-01-03 | 2026-06-01 | 16.69% | 6.17% | 2.549 | -5.53% | 5.28 | 7.43 | -0.42 | 1.85 | 27.21 | 1.74% | 318 | 0.0000 | pass |
| ex-cm_naturalgas | 2000-01-03 | 2026-06-01 | 16.71% | 6.15% | 2.558 | -5.41% | 5.29 | 7.45 | -0.42 | 1.85 | 27.27 | 1.74% | 318 | 0.0000 | pass |
| ex-cm_nickel | 2000-01-03 | 2026-06-01 | 16.69% | 6.18% | 2.544 | -5.82% | 5.29 | 7.45 | -0.42 | 1.85 | 27.24 | 1.74% | 318 | 0.0000 | pass |
| ex-cm_orangejuice | 2000-01-03 | 2026-06-01 | 16.76% | 6.17% | 2.559 | -5.64% | 5.28 | 7.45 | -0.42 | 1.86 | 27.25 | 1.74% | 318 | 0.0000 | pass |
| ex-cm_palladium | 2000-01-03 | 2026-06-01 | 16.78% | 6.17% | 2.560 | -5.61% | 5.29 | 7.45 | -0.42 | 1.87 | 27.24 | 1.74% | 318 | 0.0000 | pass |
| ex-cm_platinum | 2000-01-03 | 2026-06-01 | 16.71% | 6.19% | 2.544 | -5.66% | 5.28 | 7.45 | -0.42 | 1.85 | 27.23 | 1.74% | 318 | 0.0000 | pass |
| ex-cm_redwheat | 2000-01-03 | 2026-06-01 | 16.78% | 6.18% | 2.556 | -5.43% | 5.28 | 7.45 | -0.42 | 1.85 | 27.24 | 1.74% | 318 | 0.0000 | pass |
| ex-cm_silver | 2000-01-03 | 2026-06-01 | 16.81% | 6.15% | 2.571 | -5.64% | 5.28 | 7.45 | -0.42 | 1.85 | 27.23 | 1.74% | 318 | 0.0000 | pass |
| ex-cm_soybeanmeal | 2000-01-03 | 2026-06-01 | 16.71% | 6.19% | 2.543 | -5.58% | 5.29 | 7.45 | -0.42 | 1.87 | 27.25 | 1.74% | 318 | 0.0000 | pass |
| ex-cm_soybeanoil | 2000-01-03 | 2026-06-01 | 16.78% | 6.17% | 2.560 | -5.55% | 5.28 | 7.45 | -0.43 | 1.85 | 27.25 | 1.74% | 318 | 0.0000 | pass |
| ex-cm_soybeans | 2000-01-03 | 2026-06-01 | 16.80% | 6.18% | 2.558 | -5.41% | 5.28 | 7.45 | -0.42 | 1.85 | 27.22 | 1.74% | 318 | 0.0000 | pass |
| ex-cm_sugar | 2000-01-03 | 2026-06-01 | 16.74% | 6.14% | 2.568 | -5.42% | 5.29 | 7.45 | -0.43 | 1.86 | 27.23 | 1.74% | 318 | 0.0000 | pass |
| ex-cm_tin | 2000-01-03 | 2026-06-01 | 16.79% | 6.17% | 2.562 | -5.44% | 5.28 | 7.45 | -0.42 | 1.85 | 27.20 | 1.74% | 318 | 0.0000 | pass |
| ex-cm_wheat | 2000-01-03 | 2026-06-01 | 16.68% | 6.19% | 2.539 | -5.64% | 5.28 | 7.45 | -0.42 | 1.85 | 27.23 | 1.74% | 318 | 0.0000 | pass |
| ex-cm_zinc | 2000-01-03 | 2026-06-01 | 16.77% | 6.18% | 2.557 | -5.60% | 5.28 | 7.45 | -0.42 | 1.85 | 27.24 | 1.74% | 318 | 0.0000 | pass |
Correlations and betas of the signal against common market and factor benchmarks. The chart below shows how those relationships evolve on a rolling basis.
| Pearson Correlation | Kendall Correlation | Beta | |
|---|---|---|---|
| MSCI World (from Jan 2012) | -0.070 | -0.008 | -0.026 |
| MSCI ACWI (from Apr 2008) | -0.084 | -0.043 | -0.028 |
| US Agg (from Oct 2003) | -0.075 | 0.007 | -0.104 |
| WTI Crude | -0.052 | -0.080 | -0.009 |
| VIX | 0.062 | 0.006 | 0.004 |
| DXY | 0.087 | 0.037 | 0.071 |
| sdmf (from Feb 2026) | 0.361 | 0.000 | 0.299 |
| eq_united_states | -0.029 | -0.025 | -0.010 |
Linear (Pearson) correlation of monthly returns between every pair of signals; lower correlations point to a greater diversification benefit when the signals are combined.
Rank-based (Kendall tau) correlation between the signals, which measures monotonic co-movement and is less sensitive to outliers than the Pearson measure above.
Pairwise beta of each row signal regressed on each column signal — a directional measure of how strongly one signal's returns load on another.
Configuration for this combined-book run, read directly from signals_combine.py so the table always reflects the settings actually used.
| Parameter | Value | Description |
|---|---|---|
| TRADABLE_ONLY | False | restrict the combined book to tradable (IBKR-futures) assets only |
| TRANSACTION_COST | True | charge netted transaction costs on the combined book |
| PORTFOLIO_VOL_TARGET_FLAG | False | lever the combined book to a target volatility |
| PORTFOLIO_VOL_TARGET | 0.05 | annualised vol target for the combined book |
| PORTFOLIO_VOL_TRAILING_MONTHS | 24 | trailing window (months) for the book vol estimate |
| VOL_ESTIMATOR | ewma | book vol estimator (ewma / sma) |
| VOL_MIN_PERIODS | 12 | months of history required before leverage engages |
| PORTFOLIO_MAX_LEVERAGE | 1 | cap on book leverage (None = uncapped) |
| COMBINE_METHOD | sum | signal combination method |
| DEFAULT_TARGET_VOL | 0.02 | default per-signal annualised target vol |
| DEFAULT_MAX_WEIGHT | None | default cap on a signal's gross weight (None = uncapped) |
| TARGET_VOL_TRAILING_MONTHS | 36 | trailing vol window for a monthly signal |
| TARGET_VOL_TRAILING_WEEKS | 156 | trailing vol window for a weekly signal |
| COV_TRAILING_MONTHS | 36 | trailing window (months) for the signal covariance |
| COV_SHRINKAGE_METHOD | none | covariance shrinkage method |
| COV_SHRINKAGE | 0.1 | fixed shrinkage intensity (used when method = fixed) |
| OVERRIDE_START_DATE_ENABLED | True | truncate the analysis window at a start date |
| OVERRIDE_START_DATE | 2000-01-01 | analysis-window start (when enabled) |
| OVERRIDE_END_DATE_ENABLED | False | truncate the analysis window at an end date |
| OVERRIDE_END_DATE | 2019-12-31 | analysis-window end (when enabled) |
Supporting detail on the market-regime model used elsewhere in this report: the estimated sentiment factor through time, and the distribution of S&P 500 returns within each identified regime.
Further details on the regime classification approach can be found here