Backtest results for Balanced portfolio strategy

Results of backtesting for 'Balanced' strategy

Start date2002-12-02
End date2019-12-31
Total months204
Backtest
Annual return 9.08%
Cumulative returns 340.617%
Annual volatility 8.939%
Sharpe ratio 1.02
Calmar ratio 0.42
Stability 0.98
Max drawdown -21.636%
Omega ratio 1.20
Sortino ratio 1.47
Skew -0.12
Kurtosis 3.78
Tail ratio 0.99
Daily value at risk -1.09%
Gross leverage 1.00
Daily turnover 0.648%
Alpha 0.08
Beta 0.13
Worst drawdown periods Net drawdown in % Peak date Valley date Recovery date Duration
0 21.64 2008-12-18 2009-06-10 2010-08-19 436
1 8.82 2018-08-29 2018-11-23 2019-06-06 202
2 7.68 2018-01-26 2018-02-08 2018-07-25 129
3 7.63 2003-06-16 2003-08-05 2003-12-16 132
4 7.39 2011-10-03 2011-10-27 2011-11-23 38
Stress Events mean min max
Lehman 0.06% -2.31% 2.36%
US downgrade/European Debt Crisis 0.07% -2.27% 2.48%
Fukushima 0.05% -0.33% 0.64%
US Housing 0.04% -1.39% 0.64%
EZB IR Event 0.00% -0.62% 0.80%
Aug07 0.07% -1.16% 0.87%
Mar08 0.00% -1.51% 1.53%
Sept08 0.02% -2.31% 2.36%
2009Q1 -0.37% -2.55% 2.19%
2009Q2 -0.08% -2.51% 3.60%
Flash Crash -0.09% -0.94% 1.36%
Apr14 0.03% -1.68% 1.09%
Oct14 0.10% -1.61% 1.41%
Fall2015 -0.07% -2.36% 2.52%
Low Volatility Bull Market 0.02% -1.50% 1.20%
GFC Crash 0.03% -2.55% 3.70%
Recovery 0.03% -2.51% 3.10%
New Normal 0.04% -2.83% 2.52%
Top 10 long positions of all time max
TLT-23921 84.16%
SPY-8554 45.88%
MTUM-44542 36.35%
IEF-23870 20.12%
LQD-23881 19.69%
Top 10 short positions of all time max
Top 10 positions of all time max
TLT-23921 84.16%
SPY-8554 45.88%
MTUM-44542 36.35%
IEF-23870 20.12%
LQD-23881 19.69%

Performance Relative to Common Risk Factors

Summary Statistics
Annualized Specific Return 4.61%
Annualized Common Return 3.79%
Annualized Total Return 8.58%
Specific Sharpe Ratio 0.74
Exposures Summary Average Risk Factor Exposure Annualized Return Cumulative Return
basic_materials 0.02 0.43% 6.70%
consumer_cyclical 0.01 -0.16% -2.44%
financial_services 0.01 -0.19% -2.88%
real_estate 0.07 0.98% 15.68%
consumer_defensive 0.04 0.35% 5.45%
health_care 0.07 0.81% 12.77%
utilities 0.05 0.45% 6.97%
communication_services 0.01 0.07% 1.12%
energy 0.02 0.19% 2.92%
industrials 0.02 0.20% 3.02%
technology 0.10 1.32% 21.78%
momentum 0.05 -0.11% -1.61%
size 0.06 -0.05% -0.74%
value 0.03 -0.03% -0.44%
short_term_reversal -0.06 -0.36% -5.26%
volatility 0.00 -0.05% -0.71%