Hill Capital Research — Quantitative Equity Portfolio

ⓘ ILLUSTRATIVE DATA — representative structure, metrics, and analytical framework. Actual allocations and live P&L are proprietary.

Return (incep.)

+31.2%

vs SPY +18.5%

YTD 2026

+9.4%

vs SPY +5.1%

Sharpe

1.62

252d rolling

Alpha (ann.)

+6.8%

β 0.82 vs SPY

Max DD

-7.2%

SPY: -12.1%

Win rate

62%

11 / 15 mo

01 Portfolio performance // equity curve vs benchmarks · strategy attribution

equity_curve.py

Feb 2025 → Apr 2026

attribution_by_strategy

+31.2% total

02 Strategy book // 4 systematic sleeves, weighted by Sharpe-adjusted capital

[fm] · 42% capital

Multi-Factor Equity

+14.8%

Value, momentum, quality composite across Russell 1000. Monthly rebalance, 60–80 names, sector-neutral.

Sharpe1.71 Names72 Turnover28% Max DD-5.4%

[mo] · 24% capital

Trend / Momentum

+9.3%

Cross-sectional momentum on sector ETFs + top-decile large-caps. 6-1 momentum signal, 20-day vol targeting.

Sharpe1.48 Names18 Turnover84% Max DD-6.1%

[mr] · 18% capital

Stat-Arb / Mean-Rev

+4.2%

Pairs trading on cointegrated S&P 500 pairs. Engle-Granger + Kalman filter. Entry z ≥ 2.0, exit z ≤ 0.4.

Sharpe1.34 Pairs11 Hit %68% Max DD-2.8%

[op] · 16% capital

Options Income

+2.9%

Cash-secured puts + covered calls on core factor names. IVR ≥ 40 triggers. Delta-target 0.30, 30–45 DTE.

Sharpe0.97 Contracts46 Win %87% Max DD-1.6%

03 Monthly returns // book vs S&P 500 · Feb 2025 → Apr 2026

returns_heatmap.monthly

HCR vs SPY · pct

JAN

FEB

MAR

APR

MAY

JUN

JUL

AUG

SEP

OCT

NOV

DEC

HCR
25

—

+2.4

+4.8

-3.1

+3.6

+1.9

+5.2

-1.4

+4.1

+2.6

+3.8

+1.2

+26.8

SPY
25

—

+1.1

+1.8

-5.2

+2.4

+1.6

+3.9

-2.8

+2.1

+1.0

+2.2

-0.6

+7.5

HCR
26

+2.8

-1.6

+5.4

+2.8

—

+9.4

SPY
26

+1.4

-2.0

+3.1

+2.6

—

+5.1

04 Factor exposures & drawdown // Barra-style decomposition · underwater curve

factor_exposures.net

z-score vs Russell 1000

Value

+0.56

Momentum

+0.72

Quality

+0.44

Size

-0.31

Low Vol

+0.18

Growth

-0.12

net_tilt: long quality-value-momentum, short growth, neutral vol. all < ±1σ sleeve cap.

drawdown_curve.underwater

vs SPY · pct

05 Exposure detail // sector allocation · top 8 positions · risk metrics

positions.top_8

by weight

Ticker	Sector	Sleeve	Wt %	Δ MTD	Factor Z
MSFT	Tech	FM	4.2	+3.1%	+1.8
JPM	Financials	FM	3.6	+2.4%	+1.4
UNH	Health	FM	3.3	-0.9%	+1.6
XLE	Energy ETF	MO	3.1	+4.8%	+2.2
LLY	Health	MO	2.9	+1.7%	+1.9
CVX	Energy	FM	2.6	+2.2%	+1.1
XLK	Tech ETF	MO	2.4	+3.4%	+1.7
PEP	Staples	FM	2.2	-0.4%	+0.9

sector_alloc

pct of NAV

risk_metrics

252d

Vol (ann.)	11.8%	SPY 14.6%
Sortino	2.41	SPY 1.18
Calmar	3.42	SPY 1.32
VaR 95%	-1.8%	daily
CVaR 95%	-2.6%	daily
Beta (SPY)	0.82	R² 0.71
Corr (AGG)	-0.18	diversified
Info Ratio	1.04	vs SPY

06 Multi-asset view // book vs SPY · QQQ · AGG · GLD · 24-month normalized

normalized_returns.base100

rebased to 100 on Feb 1 2025

07 Sector rotation & forward simulation // sector ETFs 12m · Monte Carlo 10k paths

sector_etfs.12m_return

tilts drive MO sleeve

monte_carlo.forward_12m

10k paths · bootstrapped

Quantitative Equity Portfolio — Multi-Strategy Book

Multi-Factor Equity

Trend / Momentum

Stat-Arb / Mean-Rev

Options Income