IFE MACROLAB / LIVE PERFORMANCE
Live performance
Every weekly allocation decision the two models make is recorded as it happens and set beside the market benchmarks. The figures refresh automatically after each US close.
Retrospective replay Forward live
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What the lines mean
The numbers
Forward live
| Total return | Max drawdown | Sharpe ratio |
|---|
Full period
| Total return | Max drawdown | Sharpe ratio |
|---|
- Reading the numbers
- Total return How much the value has grown since the start.
- Max drawdown The largest fall from a peak. Smaller is steadier.
- Sharpe ratio Return earned per unit of volatility taken. Higher is more efficient. * marks windows under one year, shown for reference only.
How the models run
① Read the macro data
Growth, inflation, employment and rates indicate which regime the economy is in.
② Set the risk level
In Model 1 a reinforcement-learning model decides each week how much risk to take; Model 2 keeps that level fixed. The gap between them is the contribution of reinforcement learning.
③ Allocate
At the chosen risk level the optimizer computes the most efficient mix of US stocks, bonds and commodities and rebalances weekly. Results are after trading costs.
Good to know
- Left of the dashed line is a replay on historical data after the models were frozen, not a record of orders placed. The live track record starts at the dashed line.
- An experimental model, not investment advice. Past performance does not guarantee future returns.
- Sharpe ratios on windows under one year are marked * and shown for reference only.
- Specific asset weights and trades are not published.