ALGOLODGE · HISTORICAL PERFORMANCE
Compare models
How would different investment models have performed together? Select one or more models, compare their curves and explore how combining them might have affected risk and returns.
Select investment models
Select the models; the chart updates immediately.
Advanced allocationAdjust capital allocations among the selected modelsEqual weights
The allocation applies only to selected models and always adds up to 100%. The chart and statistics update instantly.
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PORTFOLIO COMPARISONCompare with stocks and bondsCombined performance
How the selected models would have performed together, with a starting index of 100.
Individual model results are based on live trading. The combined curve is a hypothetical calculation using those results.
Performance of your combination
Calculated using the same period for every selected model.
Model performance
Each model is shown from the start of its own performance history, indexed to 100. Earlier history remains visible even if other models began later.
Return and risk
The same period is used for the portfolio and individual models for a fairer comparison.
How are the models correlated?
Correlation between monthly returns over the selected period. +1 means perfect positive correlation, 0 little linear correlation, and −1 perfect negative correlation.
What does correlation mean? What does correlation mean? Read our explanation →
About the calculations
Updated with monthly returns through September 2026. The comparison is based on reported monthly model returns.
Show calculation methods and definitions
Common start: The combined portfolio, statistics and correlations use only the overlapping period for the selected models. By default, the “Model performance” chart shows each model’s full history from its own inception, indexed to 100. You can also select the common period only.
Combined portfolio: Capital is allocated equally between selected models by default. Under “Advanced allocation” you can set your own percentages, which always total 100%. With monthly rebalancing, the selected percentages are restored each month. “Keep initial weights” allocates the initial percentages once, then lets them change as the models perform.
Statistics: Total return is calculated by geometrically compounding monthly returns. CAGR is the annualised geometric return. Maximum drawdown is the largest percentage fall from a prior peak in the monthly index. Volatility is the sample standard deviation of monthly returns multiplied by √12. The Sharpe ratio is average monthly return divided by that standard deviation, multiplied by √12, with a 0% risk-free rate. Correlation uses Pearson’s coefficient for monthly returns.