This is reasonable return for a basic strategy, the drawdown happens well after crisis (probably caused by QE destroying value trades) provides a good diversification to buying simple SP index.
the popular post did not include the drawdown period in 2009 (they posted 2011 to 2015 backtest).
The volatility of the benchmark return looks very different from strategy return.
TODO: need to make sure the Alpha/Beta calculation is vol adjusted properly. Negative 0.45 beta also looks unintuitive.
Full Decade Backtest of the Most Popular Multi-Factor Implementation on Quantopian
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