| Model | Ann. Return | Ann. Volatility | Sharpe | Max Drawdown | Win Rate | Cumulative Return |
|---|---|---|---|---|---|---|
| Equal Weight | 11.72% | 19.29% | 0.608 | -189.57% | 67.0% | 100.61% |
| Value Weight | 10.89% | 15.62% | 0.697 | -103.91% | 68.0% | 93.44% |
| Sorted Long-Only (Hierarchical) | 23.89% | 16.25% | 1.470 | -93.96% | 68.0% | 205.04% |