Industrials — Growth was the strongest-performing sector universe in this window — your factor logic found more signal here than anywhere else.
It had the highest win rate at 73% and a Sharpe of 1.11 — strong risk-adjusted performance alongside raw returns.
Every metric is calculated from the same historical data, same time window, same assumptions — so the comparison is apples to apples.
Basic Materials — Balanced had the lowest drawdown at 12% — strong risk-adjusted return for a volatile sector.
It had the lowest drawdown at 12% — the most defensive profile of the four, with solid Sharpe and Sortino scores.
Every metric is calculated from the same historical data, same time window, same assumptions — so the comparison is apples to apples.
BMFW baseline had the highest total return at +121.6% and the strongest alpha at +14.5% above SPY across all strategies tested.
It had a Sharpe of 1.30 and Sortino of 2.10 — strong risk-adjusted performance on top of the highest raw return.
Every metric is calculated from the same historical data, same time window, same assumptions — so the comparison is apples to apples.
Technology — Balanced trailed on returns but showed consistent behavior — useful as a diversification baseline.
It had the highest max drawdown at 21.5% — higher volatility, but still delivered positive alpha and a competitive Sortino.
Every metric is calculated from the same historical data, same time window, same assumptions — so the comparison is apples to apples.
Change the sector universe or factor weights and re-run. The result always reflects exactly what you configured.

