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