Risk-Adjusted Performance & Factor Exposure

Helix Capital Management · $4.2B AUM · Q3 2024

Portfolio Sharpe (90D)
1.31
+0.18 vs 1Y avg
Vol Budget Used
87%
Within target
Correlation Drift
0.18
Peak 0.31 (M4)
Beta-Adj Gross Exp
1.43x
-0.11x vs plan
Max DD Duration
31d
Equity L/S sleeve
Calmar Ratio (12M)
2.87
Above 2.5 target

Return Attribution — Factor Decomposition (Q3 2024)

Max Drawdown Duration by Sleeve

Volatility Budget Utilization

Correlation Drift Heatmap — 30D vs 252D Baseline

Equity L/S
Credit
Macro
Multi-Strat
Index
Equity L/S
1.00
+0.12
+0.18
+0.08
+0.14
Credit
+0.12
1.00
+0.09
+0.06
-0.03
Macro
+0.18
+0.09
1.00
+0.11
+0.21
Multi-Strat
+0.08
+0.06
+0.11
1.00
+0.07
Index
+0.14
-0.03
+0.21
+0.07
1.00
Negative drift
+0.05 to +0.10
+0.10 to +0.25

CVaR 95% Contribution (Top 5)

Sharpe Ratio — 90D Rolling

Information Ratio by Sleeve

Risk Metrics by Strategy Sleeve

Strategy Sleeve IR (1Y) Sharpe (90D) Max DD Dur. Vol Utilization Beta (SPX) Status
Equity L/S 0.61 1.31 31 days 91% 0.47 OK
Credit 0.44 1.08 18 days 78% 0.21 OK
Macro 0.29 0.93 24 days 65% 0.08 WATCH
Multi-Strat 0.52 1.18 21 days 87% 0.34 OK
Quant Arb 0.38 1.02 14 days 72% 0.03 OK

Factor Exposure Time Series — 12M

Alpha Decay Rate by Signal (Systematic)