A historical comparison of Noor published target weights against the contractual 50 / 30 / 10 / 10 mix, on the same index sleeves.
The first chart is total wealth. The second is the five year rolling edge. The third is cumulative extra wealth. the usual way to ask whether the process built an edge over time. Tables then add cost, crises, and a statistical test.
Both books use the same market sleeves. Only the weights differ. This measures the top level mix only. It does not include regional or style tilts inside equities. Cost cases are estimates, not a broker quote. History covered: 43.1 years.
Starting at 1. Dark green is the process book. Gold dashed is the static 50 / 30 / 10 / 10 book.
X axis is year. Y axis is total wealth. Different colour and stroke so the two curves stay distinct.
Annualised extra return of the process book versus the static book over the prior five years. Above the dashed zero line, the process was ahead on that window.
A reading above zero means Noor beat the contractual mix over the previous five years.
Noor total relative wealth versus the static book, compounded from the start. A rising line means the edge is building.
Y axis is extra wealth versus the static book, not the raw market level.
Gross of trading costs. See cost adjusted cases below. Based on 43.1 years of history.
| Metric | Noor (gross) | Static book |
|---|---|---|
| Annual growth (CAGR) | +8.08% | +6.97% |
| Worst fall | -16.62% | -25.55% |
| Calmar (growth / |worst fall|) | 0.49 | 0.27 |
| Sortino ratio | 1.63 | 1.12 |
| Time to recover from the worst fall | 415 trading days (~19.8 months) | 294 trading days (~14.0 months) |
| Volatility | 7% | 8% |
| Sharpe | 1.23 | 0.88 |
| Beta to the static book | 0.57 | |
| Hit rate | 59% of full calendar years (41 years covered) | |
| Best calendar year | 1995 · process +27.42% versus static +24.87% | |
| Worst calendar year | 2022 · process -10.07% versus static -13.50% | |
The robust finding is capital preservation, not extra return. Worst fall -17% versus -26%. That protection holds at every cost level tested.
| Portfolio | Annual return | Versus static book | Annual vol | Sharpe | Worst fall |
|---|---|---|---|---|---|
| Static book (50 / 30 / 10 / 10) | 7% | — | 8% | 0.88 | -26% |
| Noor (gross) | 8% | +1.10 pp | 7% | 1.23 | -17% |
| Noor (5 bps round trip) | 8% | +0.75 pp | 7% | 1.18 | -17% |
| Noor (10 bps round trip) | 7% | +0.41 pp | 7% | 1.13 | -17% |
| Noor (20 bps round trip) | 7% | -0.29 pp | 7% | 1.02 | -17% |
Cost cases are estimates, not a specific broker quote. Extra return fades as costs rise. The shallower worst fall does not.
| Period | Process | Static book | Edge | Process worst fall | Static worst fall |
|---|---|---|---|---|---|
| GFC 2008 to 2009 | +5% | -13% | +18.52 pp | -6% | -21% |
| Euro debt 2011 | +8% | +4% | +4.33 pp | -3% | -7% |
| Covid crash 2020 | -1% | -7% | +5.68 pp | -8% | -16% |
| Inflation shock 2022 | -10% | -14% | +3.43 pp | -12% | -17% |
Same instruments on both sides. Only the weights differ. This is the top level asset class decision, not regional or style tilts inside equities.
The working dashboard is behind pilot login.
Pilot login