Sharpe Improvement
+67%
Efficiency gain without adding equity-market dependence.
Research View
A fixed 10% ZenWave sleeve materially improves a standard 60/40 portfolio across return, risk, and drawdown.
The effect is structural rather than tactical: the sleeve adds an uncorrelated return stream that lifts risk-adjusted outcomes while softening portfolio-level drawdowns.
The right panel shows a direct baseline-versus-sleeve comparison so this section can stay focused on interpretation.
One allocation change: 60/40 baseline versus the same portfolio with a fixed 10% ZenWave sleeve.
Sharpe Improvement
+67%
Efficiency gain without adding equity-market dependence.
Baseline vs With ZenWave
Sharpe
+0.889 → +1.486
Annual Return
+9.33% → +15.36%
Max Drawdown
-21.63% → -18.62%
Allocator test: adding ZenWave as a fixed sleeve inside a traditional portfolio.
A fixed 10% allocation to ZW Book materially improves the baseline portfolio across the entire test period.
Starts from 60% SPY / 40% AGG and adds a 10% ZenWave sleeve, rebalanced monthly.
Assumptions: monthly rebalance, AGG as the bond proxy, same overlapping daily sample.
Illustrative allocation test, not an optimized mix.
Baseline (60/40)
60% SPY · 40% AGG
Sharpe
+0.889
Max DD
-21.63%
Ann. Return
+9.33%
60/40 + ZW Book (10%)
54% SPY · 36% AGG · 10% ZW Book
Sharpe
+1.486
Max DD
-18.62%
Ann. Return
+15.36%
Rebalancing note: portfolios are reset to target weights monthly, meaning gains from ZenWave are periodically reallocated into SPY and AGG.
Growth of baseline vs enhanced allocation over the same overlapping sample.
Rebased to 100 at inception
Both portfolios are rebased to 100 at inception to isolate the effect of adding a 10% ZenWave allocation on long-term compounding.
Full-period backtest (2014–2025)
The improvement comes from structural independence. The book behaves differently from equities across both normal and stress regimes.
Both series are rebased to 100 at the first overlapping trading date. Log scale is the default because the book compounds materially faster than SPY across the full sample.
This comparison shows how ZenWave compounds relative to equities over the same period.
Peak-to-trough distance is often the clearer risk comparison. Each line shows how far the series sits below its own prior peak.
Independence Metrics
ZenWave compounds differently — not just faster, but with a distinct return path.
Daily return relationship is near zero, indicating independence from equity markets.
Correlation
-0.021
Pearson correlation of overlapping daily returns
Equity-market sensitivity is near zero, indicating very limited directional dependence on SPY.
Beta
-0.034
Sensitivity of ZW Book returns to SPY returns
Stress-regime relationship remains limited, indicating independence during equity drawdowns.
Drawdown Correlation
-0.023
Correlation during periods when SPY is below its rolling max
Tail-event relationship turns positive, indicating some sensitivity on the worst SPY days.
Worst 10% SPY Days
+0.001
Correlation on the most negative decile of SPY daily returns
Methodology & Interpretation Notes
Methodology notes and sample details.
The growth charts are path comparisons, not raw price comparisons. Each line is rebased to 100 on the first overlapping trading date so the focus stays on compounding behavior rather than nominal dollar scale.
ZW Book is the compounded A+B backtest series, carried forward across market holidays and other non-trading gaps so it can be compared cleanly against the ETF trading calendar.
The summary metrics and correlation cards are calculated from daily returns, not from the indexed chart levels. Two rising lines can still have very little day-to-day relationship.
A small, fixed ZenWave allocation improves portfolio efficiency without relying on equity market direction.