treasury-robo-advisor-results.md

description
v 0.1 results

Treasury Robo Advisor Results

Average Run

Configuration

num_runs = 10 seeds = [5, 10, 15, 20, 40, 100, 200, 300, 500, 800]

eth_bound = 0.2

rebalancing_frequency = 15

start_date = 03-22-2023

end_date = 05-15-2024

all_assets = ['COMP', 'CWBTC', 'DPI', 'DYDX', 'ETH', 'FXS', 'GFI', 'MATIC', 'MKR', 'PAXG', 'RETH', 'RPL', 'SOL', 'UNI', 'USDC', 'WBTC', 'WETH', 'WSTETH']

Security Market Line/CAPM Benchmark = Sirloin Index

Cumulative Risk Premium = 0.35

Risk free = 0.0524

RL Average Scores

• Cumulative Return: 120%
• Sortino Ratio: 3.45
• Beta: 2.7
• CAGR: 145%

MVO Scores

• Cumulative Return: 73%
• Sortino Ratio: 1.51
• Beta: 2.18
• CAGR: 105.33%

Historical Scores

• Cumulative Return: 61.80%
• Sortino Ratio: 1.81
• Beta: 1.74
• CAGR: 63.39%

Now lets look at one run in particular

Configuration

Seed: 100

Initial amount: $100.00

Rebalancing Frequency: 15 days

ETH Minimum Bound: 20.00%

Selected Assets: ['COMP', 'CWBTC', 'DPI', 'DYDX', 'ETH', 'FXS', 'GFI', 'MATIC', 'MKR', 'PAXG', 'RETH', 'RPL', 'SOL', 'UNI', 'USDC', 'WBTC', 'WETH', 'WSTETH']

Benchmark - Sirloin Index

Cumulative Risk Premium: 0.35

Risk free = 0.0524

RL Scores

• Adjusted Return: $234
• Cumulative Return: 133.95%
• Sortino Ratio: 3.86
• Beta: 3.38
• CAGR: 169.92%

MVO Scores

• Adjusted Return: $174
• Cumulative Return: 74.00%
• Sortino Ratio: 1.51
• Beta: 2.18
• CAGR: 105.33%

Historical Scores

• Adjusted Return: $162
• Cumulative Return: 61.80%
• Sortino Ratio: 1.81
• Beta: 1.74
• CAGR: 63.39%

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