Backtest Results of Benchmark SPY

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%