Macro-Quantamental Scorecards
Evaluate and compare strategy performance using standardized scorecards, Sharpe ratios, drawdown analysis, and attribution metrics.
Table of Contents
Scorecard Overview
A macro-quantamental scorecard is a standardized report that summarizes the risk-return characteristics of a trading strategy. Scorecards enable like-for-like comparison across different signals, asset classes, and time periods. They are the primary tool for deciding which strategies merit capital allocation.
Performance Metrics
The core metrics include annualized return, annualized volatility, Sharpe ratio, maximum drawdown, and the accuracy ratio (the proportion of periods with positive returns). Complementary metrics such as the Sortino ratio, Calmar ratio, and hit rate provide additional perspective on return quality.
Drawdown Analysis
Drawdown analysis examines the magnitude, duration, and recovery time of peak-to-trough declines. Understanding the worst historical drawdowns helps set realistic expectations for live performance and calibrate appropriate position sizes.
Return Attribution
Attribution decomposes total returns into contributions from individual positions, asset classes, and signal components. This reveals which parts of a strategy are driving performance and whether returns are concentrated in a few positions or broadly diversified.
Regime Analysis
Regime-conditional analysis evaluates how strategies perform during different macroeconomic environments: expansions vs. recessions, risk-on vs. risk-off, and high vs. low inflation. Strategies with stable performance across regimes are preferred for long-term capital allocation.