Combined portfolio
Every published strategy held as its own sleeve, equal, rebalanced monthly. Each is a separate book with its own rules and its own overlay; nothing crosses between them except at the monthly reset to equal weights. The blend is derived from the published series rather than re-simulated, so it cannot disagree with the individual pages — and a new strategy joins it the moment it is published.
3 strategies · 2,422 sessions · 2017-01-03 → 2026-08-21 · each seeded with $100,000
- Starting capital
- $100,000
- 2017-01-03
- Current value
- $601,442
- 2026-08-21
- Total return
- +501.4%
- Annualized return
- +20.5%
- SPY +13.6%
- Max drawdown
- -21.2%
- 2020-02-19 → 2020-03-23
- Sharpe
- 1.05
Equity curve
Drawdown
Both charts include the modeled execution costs used in each strategy’s published record. Actual slippage can differ.
The blend against its parts
Return averages arithmetically. Risk should not, if the strategies are genuinely different — so the rows worth reading are drawdown, volatility and Calmar, not CAGR.
| Book | Weight | CAGR | Max DD | Worst episode | Sharpe | Calmar | Vol |
|---|---|---|---|---|---|---|---|
| Jade52-week-high momentum with entry/hold hysteresis | 33% | +18.6% | -24.3% | 2023-05-24 | 0.89 | 0.76 | 21.8% |
| CitrineSector-residual momentum, beta stripped | 33% | +17.6% | -24.2% | 2021-05-13 | 0.93 | 0.73 | 19.5% |
| SunstonePersistent risers on a liquidity-consistency screen | 33% | +24.3% | -21.5% | 2020-03-23 | 1.09 | 1.13 | 22.4% |
| Combined | 100% | +20.5% | -21.2% | 2020-03-23 | 1.05 | 0.97 | 19.6% |
The blend gives up 3.8% of CAGR against the best single strategy and takes 1.6% less volatility than their average. Its worst drawdown (-21.2%) is shallower than any member's — the signature of real diversification, since the members break in different years. Sharpe does not beat the best member, so on risk-adjusted return alone that member would do.
How different are they?
Daily return correlation. This is the ceiling on what any blend of these strategies can achieve — no weighting fixes members that move together.
| Jade / Citrine | 0.79 | two lenses on one factor |
| Jade / Sunstone | 0.78 | two lenses on one factor |
| Citrine / Sunstone | 0.75 | two lenses on one factor |
Returns by year
| Year | Jade | Citrine | Sunstone | Combined | SPY |
|---|---|---|---|---|---|
| 2017 | +23.4% | +25.9% | +20.2% | +23.3% | +18.5% |
| 2018 | +0.2% | -7.8% | -3.9% | -3.8% | -6.3% |
| 2019 | +14.8% | +20.0% | +15.5% | +17.0% | +28.8% |
| 2020 | +57.1% | +37.0% | +72.5% | +55.6% | +16.2% |
| 2021 | +21.5% | +13.5% | +26.0% | +20.6% | +27.0% |
| 2022 | -7.1% | -4.3% | -14.9% | -8.6% | -19.5% |
| 2023 | +8.5% | +18.3% | +30.9% | +19.2% | +24.3% |
| 2024 | +38.4% | +22.4% | +22.1% | +27.8% | +23.3% |
| 2025 | +40.0% | +20.4% | +48.9% | +36.2% | +16.4% |
| 2026 | -2.5% | +31.3% | +38.2% | +21.8% | +12.3% |
The final year is partial. Simulated; includes each sleeve's modeled execution costs and excludes dividends and taxes.