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Net: 100% · Gross: 100%
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Strategy Return
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Benchmark Return
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Alpha
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Sharpe Ratio
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Max Drawdown
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Win Rate
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Cumulative Performance
?Cumulative return of the strategy (combined long + short books) vs the benchmark. Shows how $1 invested at inception would have grown.
Rule Map — Breadth → Net Exposure
?How each variant maps the breadth signal (% of XBI constituents above the chosen SMA) to net exposure. Momentum trends with the signal; Contrarian bets against it. The active variant column is highlighted; the inactive column is shown for comparison.
Net Exposure Over Time
?Daily net exposure as a % of portfolio NAV. 100% = identical to ETF buy-and-hold. Above 100% = leveraged long (borrowing cash). Below 100% = holding cash. The strategy raises net when breadth is trending high and lowers it when breadth is washed out.
Factor Strength — % of constituents above MA (signal)
?The breadth signal driving net exposure. Solid line = % above 50-day SMA, dotted line = % above 100-day SMA (the smoother series the strategy actually trades on). Dashed reference lines mark bucket boundaries (20% / 40% / 60% / 80%). When the 100-day series crosses a boundary by the hysteresis amount, the strategy steps one bucket in net exposure.
Regime Selection Timeline
?Shows which stage and therapeutic area baskets are being shorted at each rebalance. Color bands indicate the worst-performing factor basket selected by the strategy's trailing momentum signal.
Outperformance vs Benchmark
?Daily difference between strategy cumulative return and benchmark cumulative return. Positive = strategy beating benchmark. An upward slope means the strategy is consistently outperforming.
Drawdown
?Percentage decline from the strategy's peak cumulative return at each point in time. Deeper drawdowns indicate higher risk. Max drawdown is the worst peak-to-trough decline.
Short Book Size
?Number of names in the short book at each rebalance date. Shows how portfolio concentration changes over time as regime signals and filters shift the composition.
Performance Comparison
?Grouped bar chart comparing strategy returns vs XBI benchmark per period. Toggle between quarterly and annual views to see consistency of outperformance.
Stock-Level Performance Drivers
?Individual stock returns for the selected rebalance period, sorted best to worst. Green = positive, red = negative. Shows which holdings drove portfolio performance that period.
Post-Blowup Forward Return
?For every single-day close-to-close drop of ≥ |threshold|% on a biotech, we anchor day 0 at the blowup close and track the stock's cumulative return out to 252 trading days. Mean (orange dashed) = equal-weight average return at each forward day — this is where the strategy's payoff lives, dragged way above the median by a small number of right-tail recoveries. Median (white) = typical name. 25-75 IQR shaded band; p10 / p90 dotted decile envelopes.
Drop threshold
Holdings
?Positions for the selected rebalance period. For calendar strategies, shows each period's holdings. For event strategies, shows each trade with entry/exit dates and rules.
| Entry Date | Ticker | Side | Metric | Rank | Score | Weight | Exit Date | Entry $ | Exit $ | Return |
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Universe Fundamentals
?Annual TTM fundamentals for every constituent in the strategy's universe, ranked by operating margin (the selection signal). Scatter plots annual stock return against TTM op margin so you can see whether low-margin names actually underperform each year.
| Rank | Ticker | TTM Revenue ($M) | TTM Rev YoY | TTM Op Inc ($M) | TTM Op Margin | TTM FCF Margin | Annual Return |
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Where the stop loss cuts losses
?For each constituent in the selected year, shows the short P&L you would have had WITHOUT the stop (faded red) vs the P&L you actually got WITH the stop (solid blue capped at −30%). The shaded area between them is the dispersion premium captured that year.
Dispersion vs captured premium — every year
?Each dot is one year. X = cross-sectional stddev of constituent returns that year (how spread out stocks were). Y = Jensen gap / dispersion premium captured. An upward trend proves the mechanism is real and scales with dispersion.
Short alpha vs stop-loss threshold — "dose-response"
?Simulates the strategy at a range of stop-loss thresholds (5% → no SL). Tight stops whipsaw you out of rebounds; loose stops don't cap the losers. The curve reveals the sweet spot for THIS ETF's dispersion profile.
Regime Selection Timeline
?Shows which basket is being shorted at each rebalance. Color bands indicate the current regime as determined by the strategy's trailing momentum signal.
Window:
Type:
Current regime:
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Performance Delta: Commercial vs Phase 1/2
?Monthly return difference between Commercial (stage 4/5) and Phase 1/2 (stage 1/2) baskets. Green = Commercial outperforms, Red = Phase 1/2 outperforms. The 3-month moving average shows the regime trend that drives the strategy's short selection.
Overlay:
Performance Delta: BBP vs BBC
?Monthly return difference between BBP (commercial biotech ETF) and BBC (clinical-stage biotech ETF). Green = BBP outperforms, Red = BBC outperforms. Same regime lens as the Commercial vs Phase 1/2 chart, but using traded ETF proxies. Window aligned with the stage chart for easy comparison.
Overlay:
Multi-Regime Spread vs XBI
?Cumulative outperformance of each ETF vs XBI from the start of the visible window. Every line starts at 0% on the first visible day and accumulates daily. Lines below zero at any point = underperforming XBI cumulatively since the window start = short candidates. Change the range pill (1M / 3M / 6M / YTD / 1Y / 3Y / Max) to re-anchor the start date.
ETF Universe — Sensitivity to 10yr Yield (Pearson correlation, daily Δyield vs daily return)
?Pearson correlation between daily change in the 10-year Treasury yield (DGS10, in bps) and the daily % return of each benchmark ETF. Full period covers 2020+ (DGS10 history start, n≈1,587 daily pairs) — the structural reading, what you'd cite to an LP. Trailing 1Y covers the past 252 trading days (n≈248) — the current regime, more reactive but smaller sample. Bars stay sorted by the structural (full-period) ranking so the universe order doesn't flip with the toggle.
10yr Yield vs ETF — Overlaid Time Series (eyeball check)
?Two series on the same x-axis: the 10y Treasury yield (right axis, %) and one or more ETFs' cumulative return rebased to 100 (left axis). When yield rises and the ETF line drops in the same window, you can see the rate-sensitivity story playing out. Toggle ETFs via the pills on the right; multi-select supported. Default selection: ARKG (most rate-sensitive in the universe) + XBI (benchmark).
Rate Sensitivity — Daily Δyield (bps) vs Daily Return (%)
?Scatter plot of daily 10y-yield change (x, in bps) vs daily ETF return (y, in %) for the selected ETF. Gray dots = full-period daily pairs; red dots = trailing-1Y subset. The slope of the cloud is the rate sensitivity. A negative tilt (cloud running NE→SW) means the ETF falls when yields rise. Both correlation values shown beside the dropdown.
x = daily Δ10yr yield (bps), y = daily ETF return (%). Gray = full period, red = trailing 1Y.
Regime Duration Distribution: Commercial vs Phase 1/2
?Histogram of how long regimes (MA stays on one side of zero) persist. Short runs are the false-positive whipsaws; long runs are durable regime shifts. The dashed line marks each side's median duration — a flip that has persisted longer than the median has historically been a more reliable switch signal.
Departure Events
?Every departure event in the strategy, sorted most-recent first. Filing $ = close on the 8-K Item 5.02 filing date. Entry $ = close on T+1 (the next trading day), which is when the strategy opens the short. Exit $ = close after the selected hold period (1M / 3M / 6M). Return = post-disclosure return on the underlying stock — positive means stock went up (short loses), negative means stock went down (short wins).
| Filing Date | Ticker | Role | Person | Reason | Filing $ | Entry (T+1) | Entry $ | Exit | Exit $ | Return |
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Alpha vs # Portfolio Positions
?For each N value, runs the strategy at that position count and plots the final cumulative alpha (strategy total return − benchmark total return). Reveals the diminishing-returns curve — typical biotech ranked strategies show highest alpha at small N and plateau or decay as you widen the basket. The dashed vertical line marks your current N selection.
Select a strategy to begin.
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