# Treasury Robo Advisor Results

## Average Run

### Configuration

num\_runs = 10 seeds = \[5, 10, 15, 20, 40, 100, 200, 300, 500, 800]&#x20;

eth\_bound = 0.2&#x20;

rebalancing\_frequency = 15&#x20;

start\_date = 03-22-2023&#x20;

end\_date =  05-15-2024 &#x20;

all\_assets = \['COMP', 'CWBTC', 'DPI', 'DYDX', 'ETH', 'FXS', 'GFI', 'MATIC', 'MKR', 'PAXG', 'RETH', 'RPL', 'SOL', 'UNI', 'USDC', 'WBTC', 'WETH', 'WSTETH']

Security Market Line/CAPM Benchmark = [Sirloin Index](https://dune.com/queries/2233092)

Cumulative Risk Premium = 0.35

Risk free = 0.0524

### RL Average Scores

* Cumulative Return: 120%&#x20;
* Sortino Ratio: 3.45&#x20;
* Beta: 2.7
* CAGR: 145%

### MVO Scores

* Cumulative Return: 73%
* Sortino Ratio: 1.51
* Beta: 2.18
* CAGR: 105.33%

### Historical Scores

* Cumulative Return: 61.80%
* Sortino Ratio: 1.81
* Beta: 1.74
* CAGR: 63.39%

<figure><img src="https://697976859-files.gitbook.io/~/files/v0/b/gitbook-x-prod.appspot.com/o/spaces%2FZtotewTEAoS1uTwhDWxI%2Fuploads%2Flz5y71zMRoGNR5SCq6bq%2Fnewplot%20(30).png?alt=media&#x26;token=e5854e85-aa34-404d-8830-68dcb91df5e9" alt=""><figcaption></figcaption></figure>

<figure><img src="https://697976859-files.gitbook.io/~/files/v0/b/gitbook-x-prod.appspot.com/o/spaces%2FZtotewTEAoS1uTwhDWxI%2Fuploads%2F4F2giA0c1cfQgucOwcpE%2Fnewplot%20(31).png?alt=media&#x26;token=af645ea0-acc4-4176-96f2-fcd8ccbdd288" alt=""><figcaption></figcaption></figure>

<figure><img src="https://697976859-files.gitbook.io/~/files/v0/b/gitbook-x-prod.appspot.com/o/spaces%2FZtotewTEAoS1uTwhDWxI%2Fuploads%2F1T4Y1U4X9nIBP8XlfCqE%2Fnewplot%20(32).png?alt=media&#x26;token=45fde2ed-1ed7-4604-8550-7b723acfb10e" alt=""><figcaption></figcaption></figure>

## Now lets look at one run in particular

### Configuration

Seed: 100

Initial amount: $100.00

Rebalancing Frequency: 15 days

ETH Minimum Bound: 20.00%

Selected Assets: \['COMP', 'CWBTC', 'DPI', 'DYDX', 'ETH', 'FXS', 'GFI', 'MATIC', 'MKR', 'PAXG', 'RETH', 'RPL', 'SOL', 'UNI', 'USDC', 'WBTC', 'WETH', 'WSTETH']

Benchmark - [Sirloin Index](https://dune.com/queries/2233092)

Cumulative Risk Premium: 0.35

Risk free = 0.0524

### RL Scores

* Adjusted Return: $234
* Cumulative Return: 133.95%
* Sortino Ratio: 3.86
* Beta: 3.38
* CAGR: 169.92%

### MVO Scores

* Adjusted Return: $174
* Cumulative Return: 74.00%
* Sortino Ratio: 1.51
* Beta: 2.18
* CAGR: 105.33%

### Historical Scores

* Adjusted Return: $162
* Cumulative Return: 61.80%
* Sortino Ratio: 1.81
* Beta: 1.74
* CAGR: 63.39%

<br>

<figure><img src="https://697976859-files.gitbook.io/~/files/v0/b/gitbook-x-prod.appspot.com/o/spaces%2FZtotewTEAoS1uTwhDWxI%2Fuploads%2FOYcO3IbPlykoGk5IiLu0%2Fnewplot%20(23).png?alt=media&#x26;token=5c6939b5-162d-4fc4-89ab-ba6a7fa51762" alt=""><figcaption></figcaption></figure>

<figure><img src="https://697976859-files.gitbook.io/~/files/v0/b/gitbook-x-prod.appspot.com/o/spaces%2FZtotewTEAoS1uTwhDWxI%2Fuploads%2FVVs87jXGPdv6o8TGjktl%2Fnewplot%20(24).png?alt=media&#x26;token=4827559c-1caa-4920-9a0b-e6defb07e7bc" alt=""><figcaption></figcaption></figure>

<figure><img src="https://697976859-files.gitbook.io/~/files/v0/b/gitbook-x-prod.appspot.com/o/spaces%2FZtotewTEAoS1uTwhDWxI%2Fuploads%2FZxLra5ARighnA85FA6Ac%2Fnewplot%20(26).png?alt=media&#x26;token=7af90b1c-4113-4ede-8158-79640a19905e" alt=""><figcaption></figcaption></figure>

<figure><img src="https://697976859-files.gitbook.io/~/files/v0/b/gitbook-x-prod.appspot.com/o/spaces%2FZtotewTEAoS1uTwhDWxI%2Fuploads%2FWCUuH6WqGB9IJ4NgZ8uU%2Fnewplot%20(27).png?alt=media&#x26;token=1e422046-bf46-4141-a144-d2cf4391a2fa" alt=""><figcaption></figcaption></figure>

<figure><img src="https://697976859-files.gitbook.io/~/files/v0/b/gitbook-x-prod.appspot.com/o/spaces%2FZtotewTEAoS1uTwhDWxI%2Fuploads%2Fvr6cizZfR95xaxWQbVqc%2Fnewplot%20(28).png?alt=media&#x26;token=4ca803cc-7f5e-4166-b06c-8e3b0876e7aa" alt=""><figcaption></figcaption></figure>

<figure><img src="https://697976859-files.gitbook.io/~/files/v0/b/gitbook-x-prod.appspot.com/o/spaces%2FZtotewTEAoS1uTwhDWxI%2Fuploads%2FnRD6ubJ7xK9pCZlVo4dE%2Fnewplot%20(29).png?alt=media&#x26;token=d10881ff-4cdd-43e4-be1e-93516000b0ae" alt=""><figcaption></figcaption></figure>
