Backtest results for Aggressive portfolio strategy
Results of backtesting for 'Aggressive' strategy¶
| Start date | 2002-12-02 |
|---|
| End date | 2019-12-31 |
|---|
| Total months | 204 |
|---|
|
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% |
| 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% |
