logo/icon-invert The Future Strategy and Portfolio Returns Strategy Returns Strategy and Portfolio Returns Date Date Number of Strategies i 20 1 100 1 2 4 10 20 30 40 50 100 Strategy Sharpe Ratio i 0.35 0 1.0 0 0.1 0.2 0.3 0.35 0.4 0.5 0.6 0.7 0.8 0.9 1.0 Correlation i 0.15 0 0.9 0 0.025 0.05 0.075 0.1 0.15 0.2 0.3 0.5 0.7 0.9 Annual σ i 10% 5% 20% 5% 8.5% 10% 15% 20% Trade All Systems All Systems Best System Top 10% Worked in sample Period In Sample In Sample Out Of Sample CandidateSharpe Ratio 0.6 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1 Filtering Rule Cull Cull Time Time Down Never Never 1 Year Down 2 Years Down 3 Years Down 4 Years Down 5 Years Down % Down Never Never 5% 10% 15% 20% 25% 50% Under-performance Never Never 1% Below Avg 2% Below Avg 5% Below Avg 10% Below Avg 15% Below Avg Decide Never Never Every Week Every Month Every Quarter Every 6 Months Every Year Look Back 1 Week 1 Week 1 Month 3 Months 6 Months 1 Year 2 Years 0 bps 0 bps 5 bps 10 bps 15 bps 20 bps 25 bps Simulation Horizon in Years 25 1 40 1 10 20 25 30 40 Show stats? REFRESH logo/icon-invert The Future Please rotate your device into a landscape orientation to use this tool.