Transaction-Cost Sensitivity
Oneiros Vision
Period: 2010-01-04 to 2026-09-30
Execution: Signal at the close of T, traded at the close of T+1
Turnover: 13.46x average annual total turnover (one-way turnover of 6.73x)
Net-of-Fees Performance
| Per-leg cost assumption | Cumulative Return | CAGR | Maximum Drawdown | Sharpe | Sortino | Calmar |
|---|---|---|---|---|---|---|
| 0 bps (Gross) | 807.27% | 14.11% | -13.30% | 1.09 | 1.53 | 1.06 |
| 2 bps (Base) | 767.40% | 13.80% | -13.61% | 1.06 | 1.50 | 1.01 |
| 5 bps (Conservative) | 710.85% | 13.34% | -14.07% | 1.03 | 1.45 | 0.95 |
Methodology
Each scenario deducts total turnover × slippage_bps / 10,000 from the daily gross portfolio return. Total turnover is the sum of absolute changes in executed sleeve implementation weights (accounting for both buy and sell legs), and the trade that establishes the first position is charged like any other. These are modelled transaction costs; they do not represent a quote or guarantee of executable pricing.
Sharpe and Sortino use the annualized arithmetic mean of daily excess returns over volatility (resp. downside deviation) — the standard convention for both ratios. Calmar uses CAGR / Maximum Drawdown. These are different return conventions by design.