Reference Example — KOSDAQ-Active-HRPExample
Plain HRP across 22 themes: 21 monthly rebalances (2024-07 → present), 20bps cost assumption.
Click any row to see the full portfolio held that month. Download CSV for any snapshot.
Full product details and live metrics: Registry · Dashboard ⚠ SR 95% CI: bootstrap | In-sample MaxDD only | Shorter track record (21 months) | Past performance ≠ future results
Equity Curve vs KOSDAQ150 Benchmark
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Monthly Rebalance History
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Portfolio Holdings
Reference Example — KOSDAQ-Active-HRP-ClusterCapGrade A- · Repeatable 3/3 · Example
Plain HRP across 22 themes with biotech cluster cap (25%): 비만치료제, 면역항암제, 바이오시밀러, 제약업체, 의료기기 combined ≤ 25% of portfolio.
21 monthly rebalances (2024-07 → present), 20bps cost assumption.
⚠ SR 95% CI: 0.33–2.98 (bootstrap) | In-sample MaxDD only | Shorter track record (21 months) | Past performance ≠ future results
Equity Curve vs KOSDAQ150 Benchmark
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Cluster Cap Mechanism
Biotech theme group budget vs 25% cap ceiling — per rebalance. Excess redistributed to non-biotech themes.
Latest Theme Allocation
Biotech Themes Capped
5 correlated themes grouped. Each gets equal share of the 25% cluster budget.
Why cap biotech?
These 5 themes share high return correlation driven by regulatory catalysts. Uncapped, they can dominate 30-40% of the portfolio creating single-factor risk. The 25% cap redistributes excess to orthogonal themes.