Track record

paper book · forward / out-of-sample · net of modelled costs · core sleeve

benchmark: SPY + sector ETF · n = 312 closed calls

CAGR

+22.6%

Sharpe

1.34

Sortino

1.91

Info ratio

0.78

Max DD

−11.4%

Ann. vol

14.8%

Beta

0.71

Equity curve & drawdown

book vs benchmark · net of costs

SiftUp bookSPYdrawdown

Factor-adjusted alpha

5-factor regression · daily

Factor	Beta	t-stat
Market (Mkt-Rf)	0.71	8.9
Size (SMB)	0.34	3.1
Momentum (UMD)	0.29	2.7
Value (HML)	−0.06	0.5
Quality (QMJ)	0.11	1.2
Residual alpha (ann.)	+5.8%	2.3

Edge survives controlling for market, size and momentum exposure — residual alpha is significant (t>2), R²=0.62. The book carries real momentum/size beta; the ~5.8% is what's left after stripping it.

Predictive power

information coefficient

Mean IC

0.064

IC t-stat

3.4

Decile spread

+9.1%

rolling 60-day IC

Positive and stable; no sign of decay over the window. Breadth: 312 calls.

Calibration

reliability · Brier 0.18

Points hug the 45° line — stated confidence tracks realised hit rate closely. The number on a verdict is earned, not decorative.

Hit rate & payoff

by sleeve

Tactical

28%

Core

33%

Strategic

41%

Payoff (avg win/loss)

2.4×

Avg hold

47d

Turnover

2.1×

Monthly returns

book · net

JUN+2.1

JUL+3.4

AUG−1.8

SEP+0.9

OCT+4.2

NOV−2.6

DEC+1.7

JAN+3.0

FEB+2.4

MAR−0.7

APR+3.8

MAY+1.4

Methodology & integrity

Point-in-time data. Scored only on information available as of each decision date — no restatement leakage.
Out-of-sample. Headline figures are forward / OOS; a locked holdout is never used in fitting.
Debate validated forward-only. The multi-agent layer is measured on post-cutoff data — model recall cannot leak the future.
Costs included. Returns net of modelled spread + slippage, scaled for small / micro-cap liquidity.
Deflated for multiplicity. Sharpe/alpha haircut applied for the number of signals tested; survivorship handled (delisted names retained).
Honest ceiling. ~30% in-category hit rate is the design expectation; edge is the payoff ratio and residual alpha, not win frequency.

Sample data for interface illustration only — not live performance, not a track record, not financial advice. Past or simulated results do not indicate future results. SiftUp does not execute trades. © 2026 SiftUp.