Backtest results for Conservative portfolio strategy

Results of the backtest for 'Conservative' strategy

Start date2002-12-02
End date2019-12-31
Total months204
Backtest
Annual return 6.95%
Cumulative returns 214.714%
Annual volatility 8.218%
Sharpe ratio 0.86
Calmar ratio 0.32
Stability 0.98
Max drawdown -21.491%
Omega ratio 1.16
Sortino ratio 1.25
Skew 0.06
Kurtosis 4.12
Tail ratio 1.00
Daily value at risk -1.007%
Gross leverage 1.00
Daily turnover 0.428%
Alpha 0.07
Beta -0.04
Worst drawdown periods Net drawdown in % Peak date Valley date Recovery date Duration
0 21.49 2008-12-18 2009-06-10 2010-08-24 439
1 9.44 2003-06-16 2003-08-05 2004-01-14 153
2 8.57 2013-05-02 2013-08-21 2014-04-14 248
3 7.97 2010-08-31 2010-12-15 2011-07-19 231
4 7.93 2016-07-08 2016-12-01 2017-06-26 252
Stress Events mean min max
Lehman 0.06% -2.37% 2.42%
US downgrade/European Debt Crisis 0.16% -2.25% 2.47%
Fukushima 0.03% -0.63% 0.82%
US Housing 0.04% -1.42% 0.64%
EZB IR Event -0.01% -1.19% 0.46%
Aug07 0.07% -0.65% 0.54%
Mar08 -0.00% -1.55% 1.53%
Sept08 0.02% -2.37% 2.42%
2009Q1 -0.36% -2.50% 2.21%
2009Q2 -0.08% -2.53% 3.62%
Flash Crash 0.01% -0.64% 0.43%
Apr14 0.08% -0.58% 0.47%
Oct14 0.11% -0.79% 0.59%
Fall2015 -0.02% -1.46% 1.18%
Low Volatility Bull Market 0.01% -1.49% 1.02%
GFC Crash 0.03% -2.50% 3.73%
Recovery 0.03% -2.53% 3.08%
New Normal 0.03% -2.43% 1.63%
Top 10 long positions of all time max
TLT-23921 82.39%
SPY-8554 29.35%
IEF-23870 23.28%
LQD-23881 11.42%
Top 10 short positions of all time max
Top 10 positions of all time max
TLT-23921 82.39%
SPY-8554 29.35%
IEF-23870 23.28%
LQD-23881 11.42%

Performance Relative to Common Risk Factors

Summary Statistics
Annualized Specific Return 5.59%
Annualized Common Return 0.84%
Annualized Total Return 6.49%
Specific Sharpe Ratio 0.78
Exposures Summary Average Risk Factor Exposure Annualized Return Cumulative Return
basic_materials 0.02 0.42% 6.55%
consumer_cyclical -0.03 -0.69% -9.82%
financial_services -0.07 -1.04% -14.44%
real_estate 0.11 1.23% 20.13%
consumer_defensive 0.00 0.04% 0.64%
health_care 0.04 0.40% 6.14%
utilities 0.06 0.63% 9.94%
communication_services 0.02 0.07% 1.10%
energy -0.01 -0.08% -1.15%
industrials -0.02 -0.09% -1.31%
technology 0.04 0.68% 10.63%
momentum 0.07 -0.05% -0.73%
size 0.08 -0.07% -0.98%
value 0.04 -0.02% -0.23%
short_term_reversal -0.08 -0.41% -5.92%
volatility 0.03 -0.22% -3.27%