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% |
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% |