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Portfolio Strategy

CEFI

Live

Credit-Enhanced Financial Index

Rebalancing
Annual
Universe
13 ETFs
As of
...

The Strategy

CEFI (Constrained Efficient Frontier Index) is a systematic multi-asset strategy that allocates across 13 ETFs spanning developed equities, bonds, emerging markets, commodities, and inflation-protected assets. It balances expected return against risk while keeping the portfolio diversified across asset classes.

The allocation shifts as recent return and risk conditions change rather than holding a static split, and it manages overall portfolio volatility. It remains fully systematic with no discretionary input. Rebalancing occurs on the last trading day of each period.

How It Works

At each rebalance, CEFI recalculates its target allocation with a quantitative model and rebuilds the 13-ETF portfolio for the period ahead.

The benchmark is a static 60/40 portfolio (SPY/AGG), rebalanced at the same frequency. All dashboard metrics update dynamically based on the selected start date and initial capital.

13
ETF Universe
Managed
Volatility Target
Annual
Rebalancing

Simulation Settings

Configure the model simulation parameters. CEFI requires an initial warm-up period before it can be fully invested. During this initial period, capital remains uninvested.

Model Performance

Drawdown

Peak-to-trough decline

Historical Position

Equity vs Bonds over time
Model Value
--
--
YTD Return
--
Benchmark 60/40: --
Volatility
--
Target: 7.0%
Sharpe Ratio
--
Risk-adjusted return

Model Asset Class Allocation

Model ETF Allocation

Model Allocation

Hypothetical model allocation. Does not represent actual holdings or investment advice.

Symbol Weight Price Shares Value
Loading holdings...

Historical Asset Weights

Performance Metrics

Sortino Ratio
--
Downside risk-adjusted
Max Drawdown
--
Peak to trough
Info Ratio
--
Active return
Beta
--
vs 60/40
Calmar Ratio
--
Return/Max DD
VaR (95%)
--
Daily at risk
Downside Dev
--
Downside risk
Up Capture
--
Bull market
Down Capture
--
Bear market
Positive Months
--
Historical %

Next Model Rebalancing

Scheduled for --

Annual rebalancing at year-end

--
days remaining

Strategy Health Monitor

Live drift detection and alpha decay tracking

Drift Detection

Detects structural shifts in performance

...
Drift level 0%
0% 50% watch 80% warn 100% alert

Alpha Decay Monitor

Risk-adjusted return, 12 vs 36 months

...
12M Sharpe
--
36M Sharpe
--
12M Alpha
--
Decay Slope
--

The left panel flags structural shifts in performance against expectations. The right panel compares recent risk-adjusted returns with the longer-run track record. A weakening trend points to a fading edge.