Results of backtesting for Benchmark: SPY
| Start date | 2002-12-02 | |
|---|---|---|
| End date | 2019-12-31 | |
| Total months | 204 | |
| Backtest | ||
| Annual return | 9.396% | |
| Cumulative returns | 362.891% | |
| Annual volatility | 17.65% | |
| Sharpe ratio | 0.60 | |
| Calmar ratio | 0.17 | |
| Stability | 0.86 | |
| Max drawdown | -54.691% | |
| Omega ratio | 1.12 | |
| Sortino ratio | 0.84 | |
| Skew | -0.09 | |
| Kurtosis | 11.08 | |
| Tail ratio | 0.95 | |
| Daily value at risk | -2.182% | |
| Gross leverage | 1.00 | |
| Daily turnover | 0.055% | |
| Alpha | -0.00 | |
| Beta | 0.99 | |
| Worst drawdown periods | Net drawdown in % | Peak date | Valley date | Recovery date | Duration |
|---|---|---|---|---|---|
| 0 | 54.69 | 2007-10-09 | 2009-03-09 | 2012-08-09 | 1263 |
| 1 | 19.70 | 2018-09-20 | 2018-12-24 | 2019-04-23 | 154 |
| 2 | 14.11 | 2002-12-02 | 2003-03-11 | 2003-05-06 | 112 |
| 3 | 12.83 | 2015-05-21 | 2016-02-11 | 2016-04-20 | 240 |
| 4 | 9.65 | 2018-01-26 | 2018-04-02 | 2018-07-25 | 129 |
| Stress Events | mean | min | max |
|---|---|---|---|
| Lehman | -0.18% | -7.00% | 3.67% |
| US downgrade/European Debt Crisis | -0.06% | -6.43% | 4.61% |
| Fukushima | 0.12% | -1.88% | 1.51% |
| US Housing | -0.47% | -3.04% | 1.96% |
| EZB IR Event | -0.03% | -1.00% | 1.60% |
| Aug07 | 0.07% | -2.78% | 2.38% |
| Mar08 | 0.14% | -2.21% | 4.23% |
| Sept08 | -0.43% | -7.00% | 3.67% |
| 2009Q1 | -0.46% | -5.11% | 4.22% |
| 2009Q2 | 0.42% | -4.56% | 7.21% |
| Flash Crash | -0.26% | -3.37% | 4.35% |
| Apr14 | 0.05% | -2.11% | 1.08% |
| Oct14 | 0.13% | -2.01% | 1.95% |
| Fall2015 | -0.26% | -4.07% | 3.89% |
| Low Volatility Bull Market | 0.04% | -3.58% | 2.12% |
| GFC Crash | -0.10% | -9.17% | 11.43% |
| Recovery | 0.08% | -6.43% | 4.61% |
| New Normal | 0.06% | -4.10% | 4.89% |
| Top 10 long positions of all time | max |
|---|---|
| SPY-8554 | 100.00% |
| Top 10 short positions of all time | max |
|---|
| Top 10 positions of all time | max |
|---|---|
| SPY-8554 | 100.00% |
Performance Relative to Common Risk Factors¶
| Summary Statistics | |
|---|---|
| Annualized Specific Return | -0.06% |
| Annualized Common Return | 8.85% |
| Annualized Total Return | 8.82% |
| Specific Sharpe Ratio | -0.03 |
| Exposures Summary | Average Risk Factor Exposure | Annualized Return | Cumulative Return |
|---|---|---|---|
| basic_materials | 0.03 | 0.22% | 3.31% |
| consumer_cyclical | 0.10 | 1.17% | 18.95% |
| financial_services | 0.16 | 0.79% | 12.49% |
| real_estate | 0.01 | 0.04% | 0.65% |
| consumer_defensive | 0.11 | 1.11% | 18.07% |
| health_care | 0.14 | 1.47% | 24.44% |
| utilities | 0.03 | 0.31% | 4.71% |
| communication_services | 0.00 | 0.00% | 0.01% |
| energy | 0.09 | 0.79% | 12.45% |
| industrials | 0.11 | 1.09% | 17.71% |
| technology | 0.21 | 2.86% | 52.48% |
| momentum | 0.00 | -0.03% | -0.48% |
| size | 0.01 | -0.01% | -0.09% |
| value | -0.01 | -0.02% | -0.31% |
| short_term_reversal | 0.00 | -0.02% | -0.35% |
| volatility | -0.01 | 0.13% | 1.89% |
