| Model | Ann. Return | Ann. Volatility | Sharpe | Max Drawdown | Win Rate | Cumulative Return |
|---|---|---|---|---|---|---|
| Equal Weight | 11.22% | 19.26% | 0.583 | -2547.69% | 66.3% | 97.24% |
| Value Weight | 10.83% | 15.57% | 0.695 | -124.48% | 67.3% | 93.84% |
| Hierarchical (Sorted Long-Only) | 26.05% | 16.28% | 1.600 | -322.31% | 70.2% | 225.81% |