Backtest Results of Benchmark QQQ

Results of backtesting for Benchmark: QQQ

Start date 2002-12-02
End date 2019-12-31
Total months 204
Backtest
Annual return 13.302%
Cumulative returns 742.288%
Annual volatility 20.276%
Sharpe ratio 0.72
Calmar ratio 0.25
Stability 0.92
Max drawdown -53.311%
Omega ratio 1.14
Sortino ratio 1.03
Skew 0.02
Kurtosis 6.66
Tail ratio 0.94
Daily value at risk -2.497%
Gross leverage 1.00
Daily turnover 0.05%
Alpha -0.00
Beta 1.00
Worst drawdown periods Net drawdown in % Peak date Valley date Recovery date Duration
0 53.31 2007-10-31 2008-11-20 2010-12-10 813
1 22.93 2018-08-29 2018-12-24 2019-04-12 163
2 17.30 2006-01-11 2006-07-21 2006-11-13 219
3 16.08 2015-12-01 2016-02-09 2016-07-27 172
4 16.03 2004-01-20 2004-08-12 2004-11-12 214
Stress Events mean min max
Lehman -0.36% -9.01% 4.56%
US downgrade/European Debt Crisis -0.04% -5.97% 4.81%
Fukushima 0.09% -2.39% 1.89%
US Housing -0.49% -3.94% 3.16%
EZB IR Event -0.16% -1.61% 1.39%
Aug07 0.14% -2.43% 2.89%
Mar08 0.30% -2.47% 4.41%
Sept08 -0.77% -9.01% 4.56%
2009Q1 -0.17% -4.82% 4.29%
2009Q2 0.46% -3.37% 6.22%
Flash Crash -0.30% -3.34% 5.01%
Apr14 0.02% -3.07% 1.72%
Oct14 0.13% -2.46% 2.62%
Fall2015 -0.24% -4.23% 5.02%
Low Volatility Bull Market 0.03% -4.16% 3.04%
GFC Crash -0.07% -9.01% 12.29%
Recovery 0.09% -5.97% 5.01%
New Normal 0.08% -4.65% 6.19%
Top 10 long positions of all time max
QQQ-19920 100.00%
Top 10 short positions of all time max
Top 10 positions of all time max
QQQ-19920 100.00%

Performance Relative to Common Risk Factors

Summary Statistics
Annualized Specific Return 2.49%
Annualized Common Return 9.85%
Annualized Total Return 12.64%
Specific Sharpe Ratio 0.69
Exposures Summary Average Risk Factor Exposure Annualized Return Cumulative Return
basic_materials 0.01 0.01% 0.11%
consumer_cyclical 0.23 2.83% 51.84%
financial_services -0.03 -0.24% -3.50%
real_estate 0.01 0.09% 1.33%
consumer_defensive -0.05 -0.75% -10.64%
health_care 0.15 1.79% 30.52%
utilities -0.04 -0.45% -6.56%
communication_services -0.07 -0.12% -1.74%
energy 0.01 0.12% 1.77%
industrials -0.02 -0.31% -4.59%
technology 0.83 9.10% 268.50%
momentum 0.11 -0.04% -0.57%
size -0.06 0.08% 1.20%
value -0.18 -0.13% -1.88%
short_term_reversal -0.08 -0.18% -2.68%
volatility 0.24 -1.57% -21.07%