NEXUS // ALPHA ANALYTICS

BENCHMARK CPU vs PORTFOLIO CPU

Composite Performance Unit analysis with ridge regression factor decomposition, k-fold cross-validation for prediction error minimization, and alpha extraction.

SIMULATION PARAMETERS
COMPOSITE PERFORMANCE UNIT SCORES
BENCHMARK
62
CPU
+1DELTA
PORTFOLIO
63
CPU
Portfolio CPU outperforms benchmark by 1 points
CPU COMPONENT COMPARISON
ReturnRiskDrawdownConsistencyEfficiency0255075100
  • Benchmark
  • Portfolio
Ann. Return (P)
28.92%
Ann. Return (B)
25.98%
Sharpe (P)
1.310
Sharpe (B)
1.201
Max DD (P)
10.27%
Info Ratio
0.580
01-0201-2802-2703-2804-2805-2806-2807-2808-2709-2710-2711-2212-1801-1402-0903-1104-0605-0706-0607-0608-0609-0510-0110-2711-2212-27$0.0k$4.5k$9.0k$13.5k$18.0k
  • Benchmark
  • Portfolio
20-DAY ROLLING ALPHA
01-3002-2603-2304-1805-1406-0907-0507-3108-2609-2110-1711-1212-0412-3001-2502-2003-1804-1305-0906-0407-0107-2708-2209-1710-1311-0812-30-5.0%-2.5%0.0%2.5%5.0%
Total Alpha
2.94% ann.
Factor Return
0.00% ann.
Residual Alpha
2.94% ann.
FACTORBETAT-STATP-VALUECONTRIB
Market0.00020.0110.99460.00%
Size0.00010.0020.99910.00%
Value0.00010.0020.99890.00%
Momentum0.00010.0020.99890.00%
Quality0.00000.0000.99980.00%
Volatility-0.0001-0.0050.99770.00%
FACTOR BETAS
-0.000100.00010.00020.0003MarketSizeValueMomentumQualityVolatility
PREDICTION ERROR METRICS
MAE
0.00251
RMSE
0.00319
R-Squared
0.0001
Info Coeff
0.0972
Tracking Error
5.07% ann.
Hit Rate
54.1%
Bias
0.00000
MAPE
101.88%
K-FOLD CROSS-VALIDATION (K=5)
Train R²
0.0065
Test R²
-0.0130
Optimal λ
0.0001
Overfit Ratio
65.388
REGULARIZATION PATH (λ vs ERROR)
0.00010.0010.010.050.10.5151009182736
  • Train RMSE (bps)
  • Test RMSE (bps)

Ask about CPU comparison, factor exposures, prediction error, or alpha extraction

NEXUS ALPHA ANALYTICS // RIDGE REGRESSION + K-FOLD CV // AGENT-VAULT SECURED