Backtest results for Risk Lover portfolio strategy

Results of backtesting for 'Risk Lover' strategy

Start date2002-12-02
End date2019-12-31
Total months204
Backtest
Annual return 10.532%
Cumulative returns 452.179%
Annual volatility 10.468%
Sharpe ratio 1.01
Calmar ratio 0.51
Stability 0.98
Max drawdown -20.696%
Omega ratio 1.19
Sortino ratio 1.44
Skew -0.30
Kurtosis 2.72
Tail ratio 0.99
Daily value at risk -1.277%
Gross leverage 1.00
Daily turnover 0.614%
Alpha 0.07
Beta 0.29
Worst drawdown periods Net drawdown in % Peak date Valley date Recovery date Duration
0 20.70 2008-12-18 2009-06-10 2010-03-17 325
1 9.99 2011-04-29 2011-08-08 2011-09-22 105
2 9.98 2018-09-20 2018-12-17 2019-06-18 194
3 9.40 2010-04-23 2010-07-02 2010-08-24 88
4 9.03 2015-08-17 2015-08-25 2016-07-08 235
Stress Events mean min max
Lehman 0.05% -2.04% 1.97%
US downgrade/European Debt Crisis 0.02% -4.00% 3.49%
Fukushima 0.09% -1.11% 0.98%
US Housing -0.00% -1.17% 0.57%
EZB IR Event -0.03% -0.80% 1.13%
Aug07 0.07% -2.09% 1.58%
Mar08 0.02% -1.30% 1.37%
Sept08 -0.00% -2.04% 1.97%
2009Q1 -0.40% -2.73% 2.16%
2009Q2 -0.05% -2.36% 3.51%
Flash Crash -0.17% -1.69% 2.60%
Apr14 0.05% -1.86% 1.06%
Oct14 0.12% -1.82% 1.63%
Fall2015 -0.12% -3.17% 3.06%
Low Volatility Bull Market 0.03% -2.34% 1.69%
GFC Crash 0.02% -2.73% 3.51%
Recovery 0.04% -4.00% 3.49%
New Normal 0.05% -3.40% 3.06%
Top 10 long positions of all time max
TLT-23921 85.12%
SPY-8554 76.72%
MTUM-44542 20.69%
Top 10 short positions of all time max
Top 10 positions of all time max
TLT-23921 85.12%
SPY-8554 76.72%
MTUM-44542 20.69%

Performance Relative to Common Risk Factors

Summary Statistics
Annualized Specific Return 3.75%
Annualized Common Return 5.76%
Annualized Total Return 9.71%
Specific Sharpe Ratio 0.66
Exposures Summary Average Risk Factor Exposure Annualized Return Cumulative Return
basic_materials 0.02 0.46% 7.10%
consumer_cyclical 0.04 0.14% 2.07%
financial_services 0.05 0.16% 2.41%
real_estate 0.05 0.82% 13.06%
consumer_defensive 0.06 0.59% 9.20%
health_care 0.09 1.09% 17.55%
utilities 0.05 0.44% 6.75%
communication_services 0.01 0.06% 0.93%
energy 0.04 0.39% 5.95%
industrials 0.05 0.46% 7.18%
technology 0.14 1.81% 30.86%
momentum 0.05 -0.12% -1.79%
size 0.05 -0.05% -0.68%
value 0.02 -0.04% -0.54%
short_term_reversal -0.05 -0.34% -4.91%
volatility -0.01 0.03% 0.45%