Backtest results for Aggressive portfolio strategy

Results of backtesting for 'Aggressive' strategy

Start date2002-12-02
End date2019-12-31
Total months204
Backtest
Annual return 13.796%
Cumulative returns 807.197%
Annual volatility 15.733%
Sharpe ratio 0.90
Calmar ratio 0.75
Stability 0.98
Max drawdown -18.403%
Omega ratio 1.17
Sortino ratio 1.28
Skew -0.32
Kurtosis 2.53
Tail ratio 0.96
Daily value at risk -1.926%
Gross leverage 1.00
Daily turnover 0.722%
Alpha 0.09
Beta 0.49
Worst drawdown periods Net drawdown in % Peak date Valley date Recovery date Duration
0 18.40 2008-12-19 2009-07-07 2009-09-16 194
1 17.29 2006-01-11 2006-07-21 2006-11-20 224
2 16.17 2011-07-26 2011-08-24 2012-02-24 154
3 16.03 2004-01-20 2004-08-12 2004-12-02 228
4 15.90 2010-04-23 2010-07-02 2011-01-03 182
Stress Events mean min max
Lehman 0.01% -2.00% 2.00%
US downgrade/European Debt Crisis -0.13% -5.98% 4.82%
Fukushima 0.09% -2.39% 1.89%
US Housing -0.02% -0.85% 0.70%
EZB IR Event -0.16% -1.61% 1.39%
Aug07 0.14% -2.43% 2.88%
Mar08 0.05% -0.95% 1.41%
Sept08 -0.08% -2.00% 2.00%
2009Q1 -0.34% -2.57% 2.08%
2009Q2 -0.03% -2.39% 3.32%
Flash Crash -0.30% -3.34% 5.01%
Apr14 0.02% -3.07% 1.72%
Oct14 0.13% -2.46% 2.61%
Fall2015 -0.14% -4.23% 5.02%
Low Volatility Bull Market 0.03% -4.17% 3.04%
GFC Crash 0.03% -3.37% 4.18%
Recovery 0.05% -5.98% 5.01%
New Normal 0.07% -4.65% 5.02%
Top 10 long positions of all time max
QQQ-19920 100.43%
TLT-23921 83.19%
Top 10 short positions of all time max
Top 10 positions of all time max
QQQ-19920 100.43%
TLT-23921 83.19%

Performance Relative to Common Risk Factors

Summary Statistics
Annualized Specific Return 4.53%
Annualized Common Return 7.79%
Annualized Total Return 12.68%
Specific Sharpe Ratio 0.78
Exposures Summary Average Risk Factor Exposure Annualized Return Cumulative Return
basic_materials 0.01 0.34% 5.26%
consumer_cyclical 0.19 1.78% 30.16%
financial_services -0.05 -0.66% -9.51%
real_estate 0.02 0.61% 9.51%
consumer_defensive -0.05 -0.69% -9.81%
health_care 0.12 1.59% 26.71%
utilities -0.03 -0.47% -6.77%
communication_services -0.05 -0.32% -4.71%
energy 0.00 0.09% 1.30%
industrials -0.03 -0.52% -7.51%
technology 0.69 8.19% 225.29%
momentum 0.11 -0.01% -0.21%
size -0.02 -0.01% -0.10%
value -0.13 -0.15% -2.22%
short_term_reversal -0.10 -0.39% -5.64%
volatility 0.20 -1.31% -17.88%