On honest drawdowns

When a quant fund advertises a track record, the number that should make you suspicious is not the Sharpe — it is the maximum drawdown. A Sharpe of 1.5 is plausible across many strategy designs. A max drawdown of -3% over five years almost never is. If you see one, the operator is either reporting on too short a window, or has implicitly excluded the bad regimes from the data they are showing you.

Every published strategy on this site has a published max drawdown. Helios sat through a -31% drawdown over 2024-2025. US Intraday Alpha has had multi-week sequences where it lost roughly 1% of its NAV per day for two weeks running. US Liquid Long-Short has gone down 3-4% in a single bad afternoon.

These are not failure modes. They are properties of the strategies. A vol-targeted long-bias crypto book will lose money when crypto falls. A market-neutral equity book can lose 2% in a session when factor correlations break. We model these scenarios; we cannot eliminate them. Subscribers who go in expecting them ride them out and end up ahead. Subscribers who expect a straight-line equity curve panic at the first -5% and lock in losses.

The monthly returns heatmap on each strategy page is colour-coded green and red precisely because we want every visitor — paying or otherwise — to see the strategy as it actually behaved. The headline CAGR is not a contract. The drawdown is.