Equity Alpha
Global Equity Alpha · ML ETF Selection + Regional Allocation + Selective Alpha
Completed cumulative wealth
Completed daily history · current MTD excluded
Current MTD
Open holding-month performance is separate from completed history
Official final portfolio
Final portfolio preview
ACWI / Global Alpha mix
Selected risk profile translated into investable portfolio weights
Operating clocks
Completed performance · Current MTD/YTD · Official portfolio · Preview are separate
ML selection ranking
ML Broad rank shows the primary ML Selection layer’s cross-sectional order. Rank 1 is strongest; it does not represent final portfolio weight.
| Broad rank | ETF | REX2 rank | Chronos-2 rank | Broad state |
|---|
Decision structure
Three independent decision layers combined into one final portfolio
ACWI / Global Alpha risk profile
Adjust the investor-level mix; performance and investable holdings update together
Completed performance summary
Completed daily history · current MTD excluded
| Series | Cumulative | CAGR | Ann. vol | Sharpe · rf=0 | MDD | Calmar | Ann. active return | TE | IR · daily | Relative DD |
|---|
Cumulative wealth
Completed daily history
Relative wealth vs ACWI
Portfolio wealth relative to ACWI
Drawdown
Peak-to-trough decline from each series’ prior high
Rolling tracking error
1-year and 2-year annualized tracking error
Rolling information ratio
1-year and 2-year information ratio
Monthly returns
Latest 12 completed months in the chart; full history below
| Month | Portfolio | ACWI | Excess |
|---|
Calendar-year returns
Investor portfolio vs ACWI
| Year | Portfolio | ACWI | Excess |
|---|
Investor portfolio weights
Portfolio composition
Investor portfolio target weights by presentation group
Official holdings detail
| Driver | ML rank | ETF | Role family | Exposure | Target wt | Current wt | Holding MTD |
|---|
Preview holdings detail
| Driver | ML rank | ETF | Role family | Exposure | Status | Preview wt | Official wt | Δ wt |
|---|
ML selection universe breadth
Monthly point-in-time opportunity set for the primary ML Selection layer
Current ML universe by role
Role groups within the current point-in-time ML universe; counts sum to the current universe
ML universe ranking
Broad rank is the current ML Broad rank. Blend score is a normalized ranking diagnostic, not an expected return or probability. Lower rank is stronger.
| Broad rank | ETF | Name | Blend strength | REX2 rank | Chronos-2 rank | Rank band | Broad state | Role family | Exposure | Rep months | 60M ready |
|---|
ML Broad selection heatmap
Last 36 ML Broad decisions · completed history plus the current Official open holding month
Monthly portfolio history
| State | Signal | Holding | ACWI / Global Alpha | ML Broad holdings | ML Static holdings | Portfolio turnover | Return / MTD | Excess / MTD |
|---|
ACWI core / Global Alpha profile ladder
Same Global model, different investor risk budgets
| Profile | TE | Ann. active | IR | CAGR | MDD | Relative DD |
|---|
Tracking-error map
Realized historical TE by Global Alpha weight
ML transaction-cost sensitivity
Primary ML layer only · internal Broad / Static structure
| Cost / side | IR | Ann. active | TE | CAGR | MDD |
|---|
ML blend sensitivity
Nearby REX2 / Chronos-2 blends and hold thresholds for the primary ML layer
| REX2 / Chronos-2 · Hold | Full IR | Earlier IR | Later IR | Turnover |
|---|
ML selection engine
Internal forecast-to-rank process used by the primary alpha layer
Dynamic U.S.-listed ETF representatives under point-in-time liquidity, history and exposure rules.
Per-ETF price and return features measured with point-in-time availability.
Ridge + ElasticNet forecasts transformed to cross-sectional rank strength.
Pretrained time-series forecasts transformed to the same rank-strength scale.
80% REX2 + 20% Chronos-2 normalized rank strength.
10 positions · enter at ranks 1–10 · existing holdings may remain through rank 15.
Small static-universe sub-portfolio using the ML ranking framework with its own entry / hold mapping.
Broad and Static targets are combined inside the ML layer; overlapping ETFs are merged before the Global layers are combined.
Optional ACWI core changes investor-level active risk after the Global portfolio is formed; model selections are unchanged.