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Canterbury Portfolio Thermostat Fund Class I Shares CAPTX
Historical return decomposition and an investable replication portfolio, using data through 2026-10-09.
Fund and replication metrics
| Measure | CAPTX | Replication |
|---|---|---|
| Annualized growth | 5.5% | 9.2% |
| Annualized volatility | 9.8% | 9.6% |
| Sharpe ratio | 0.60 | 0.96 |
| Maximum drawdown | 14.8% | 15.9% |
| Replication fit (R²) | 0.73 · Tracking error 5.1% | |
Replication portfolio
The published portfolio below is the investable basket used to model CAPTX’s historical return behavior.
| Ticker | Building block | Weight |
|---|---|---|
| WTMF | Alternatives · Mgt Futures | 42.0% |
| MTUM | Factor · Momentum | 22.7% |
| VTV | Style · Value | 19.0% |
| ICVT | FI · Convertibles | 11.5% |
| SPHY | FI · High Yield | 4.9% |