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% |
