Quantopian Risk Model¶
Strategy referenced in: https://www.quantopian.com/posts/quantopian-risk-model-in-algorithms
In [1]:
# Get backtest
bt = get_backtest('5a35bd4ccea2d1452c467fb6')
100% Time: 0:00:43|###########################################################|
In [2]:
# Create all tear sheets
bt.create_full_tear_sheet()
| Start date | 2011-01-05 |
|---|---|
| End date | 2015-12-31 |
| Total months | 59 |
| Backtest | |
| Annual return | 16.9% |
| Cumulative returns | 117.4% |
| Annual volatility | 7.8% |
| Sharpe ratio | 2.03 |
| Calmar ratio | 2.07 |
| Stability | 0.97 |
| Max drawdown | -8.1% |
| Omega ratio | 1.41 |
| Sortino ratio | 3.09 |
| Skew | -0.20 |
| Kurtosis | 3.06 |
| Tail ratio | 1.11 |
| Daily value at risk | -0.9% |
| Gross leverage | 1.07 |
| Daily turnover | 4.3% |
| Alpha | 0.17 |
| Beta | -0.06 |
| Worst drawdown periods | Net drawdown in % | Peak date | Valley date | Recovery date | Duration |
|---|---|---|---|---|---|
| 0 | 8.13 | 2014-12-15 | 2015-04-29 | 2015-07-20 | 156 |
| 1 | 6.23 | 2015-08-05 | 2015-10-07 | 2015-11-11 | 71 |
| 2 | 4.78 | 2011-10-13 | 2012-03-19 | 2012-06-11 | 173 |
| 3 | 4.44 | 2012-09-05 | 2012-10-18 | 2012-11-08 | 47 |
| 4 | 4.34 | 2014-06-02 | 2014-06-30 | 2014-07-31 | 44 |
/usr/local/lib/python2.7/dist-packages/numpy/lib/function_base.py:3834: RuntimeWarning: Invalid value encountered in percentile RuntimeWarning)
| Stress Events | mean | min | max |
|---|---|---|---|
| US downgrade/European Debt Crisis | 0.07% | -0.64% | 0.78% |
| Fukushima | 0.08% | -0.52% | 0.68% |
| EZB IR Event | -0.03% | -0.93% | 0.79% |
| Apr14 | -0.02% | -0.74% | 1.02% |
| Oct14 | 0.34% | -0.99% | 1.91% |
| Fall2015 | -0.04% | -1.66% | 1.10% |
| Recovery | 0.05% | -1.60% | 1.47% |
| New Normal | 0.07% | -3.13% | 2.68% |
| Top 10 long positions of all time | max |
|---|---|
| FSLR-32902 | 2.44% |
| UIS-7761 | 2.34% |
| RAD-6330 | 2.28% |
| ASPS-38633 | 2.24% |
| APOL-24829 | 2.22% |
| CEPH-1416 | 2.15% |
| KLIC-4248 | 2.15% |
| BKI-13797 | 2.14% |
| SANM-8869 | 2.13% |
| EXPE-27543 | 2.12% |
| Top 10 short positions of all time | max |
|---|---|
| HGSI-10409 | -3.37% |
| ACAD-26322 | -2.63% |
| SCTY-43721 | -2.50% |
| OAS-39797 | -2.48% |
| NAV-5199 | -2.45% |
| DF-24814 | -2.40% |
| SPWR-27817 | -2.39% |
| CZR-42461 | -2.35% |
| MCP-39960 | -2.34% |
| JCP-4118 | -2.33% |
| Top 10 positions of all time | max |
|---|---|
| HGSI-10409 | 3.37% |
| ACAD-26322 | 2.63% |
| SCTY-43721 | 2.50% |
| OAS-39797 | 2.48% |
| NAV-5199 | 2.45% |
| FSLR-32902 | 2.44% |
| DF-24814 | 2.40% |
| SPWR-27817 | 2.39% |
| CZR-42461 | 2.35% |
| MCP-39960 | 2.34% |
| All positions ever held | max |
|---|---|
| HGSI-10409 | 3.37% |
| ACAD-26322 | 2.63% |
| SCTY-43721 | 2.50% |
| OAS-39797 | 2.48% |
| NAV-5199 | 2.45% |
| FSLR-32902 | 2.44% |
| DF-24814 | 2.40% |
| SPWR-27817 | 2.39% |
| CZR-42461 | 2.35% |
| MCP-39960 | 2.34% |
| UIS-7761 | 2.34% |
| JCP-4118 | 2.33% |
| BYD-9888 | 2.31% |
| UNT-7806 | 2.30% |
| SGY-9458 | 2.29% |
| TERP-47334 | 2.28% |
| RAD-6330 | 2.28% |
| ASPS-38633 | 2.24% |
| ROSE-28091 | 2.23% |
| LPI-42263 | 2.23% |
| SHLD-26169 | 2.23% |
| APOL-24829 | 2.22% |
| LINE-27993 | 2.21% |
| LNG-22096 | 2.17% |
| PDCE-5907 | 2.17% |
| LEAP-27411 | 2.16% |
| CEPH-1416 | 2.15% |
| KLIC-4248 | 2.15% |
| CLF-1595 | 2.15% |
| BKI-13797 | 2.14% |
| UPL-22406 | 2.14% |
| BBG-26865 | 2.13% |
| SANM-8869 | 2.13% |
| EXPE-27543 | 2.12% |
| GLNG-24489 | 2.12% |
| VNR-34931 | 2.12% |
| HOS-26150 | 2.11% |
| WLL-25707 | 2.11% |
| CAR-17991 | 2.11% |
| ANR-27035 | 2.11% |
| ITMN-21284 | 2.11% |
| SN-42264 | 2.10% |
| CIEN-16453 | 2.10% |
| CSC-1898 | 2.10% |
| CSIQ-32856 | 2.10% |
| WDC-8132 | 2.09% |
| FCX-13197 | 2.08% |
| BB-19831 | 2.07% |
| TRQ-25660 | 2.07% |
| HLSS-42584 | 2.06% |
| BCEI-42272 | 2.06% |
| SVU-7233 | 2.05% |
| WCRX-32619 | 2.05% |
| WLT-13771 | 2.05% |
| USG-7844 | 2.04% |
| WPX-42251 | 2.04% |
| AKS-10897 | 2.04% |
| ANV-33832 | 2.04% |
| XCO-28083 | 2.03% |
| CRK-1663 | 2.03% |
| GTAT-36628 | 2.03% |
| ECA-23021 | 2.03% |
| ESI-24831 | 2.03% |
| KBH-4199 | 2.02% |
| CLVS-42166 | 2.02% |
| FST-2935 | 2.02% |
| AOL-38989 | 2.02% |
| CSE-25410 | 2.02% |
| AROC-34575 | 2.02% |
| BKS-9693 | 2.01% |
| MDC-4736 | 2.01% |
| ESV-2621 | 2.00% |
| GDP-13363 | 2.00% |
| ICON-6856 | 2.00% |
| CNX-24758 | 2.00% |
| HZNP-41766 | 2.00% |
| AMLN-374 | 2.00% |
| QEP-39778 | 1.99% |
| ARIA-11880 | 1.99% |
| ALR-15575 | 1.99% |
| YRCW-8370 | 1.99% |
| SD-35006 | 1.99% |
| MRC-42786 | 1.99% |
| DELL-25317 | 1.99% |
| SWN-7244 | 1.99% |
| CHK-8461 | 1.98% |
| LPS-36448 | 1.98% |
| FET-42784 | 1.98% |
| CZZ-34560 | 1.98% |
| BZ-34116 | 1.98% |
| PBI-5773 | 1.98% |
| GLOG-42746 | 1.98% |
| MRD-47126 | 1.97% |
| GPRE-28159 | 1.97% |
| CACI-1218 | 1.97% |
| NRF-26740 | 1.97% |
| UAL-28051 | 1.97% |
| ACM-33831 | 1.97% |
| SCHN-10268 | 1.97% |
| HCA-41047 | 1.97% |
| LYB-39546 | 1.97% |
| SDRL-39495 | 1.96% |
| LCC-27653 | 1.96% |
| WNR-27997 | 1.96% |
| WIN-27019 | 1.96% |
| PAAS-13083 | 1.96% |
| TRW-25948 | 1.95% |
| ANDV-7612 | 1.95% |
| CDE-1374 | 1.95% |
| RDC-6392 | 1.95% |
| CAA-7050 | 1.95% |
| ACI-88 | 1.95% |
| BPI-38286 | 1.95% |
| TTWO-16820 | 1.95% |
| TMUS-33698 | 1.94% |
| UVE-31185 | 1.94% |
| APA-448 | 1.94% |
| RCAP-44863 | 1.93% |
| MHR-32541 | 1.93% |
| KOG-32283 | 1.93% |
| TPLM-31903 | 1.93% |
| BBY-754 | 1.93% |
| HRI-32887 | 1.93% |
| JOE-6904 | 1.92% |
| TK-13289 | 1.92% |
| WCG-26440 | 1.92% |
| CLD-38971 | 1.92% |
| AOBC-24519 | 1.92% |
| VMED-26491 | 1.92% |
| HLF-26892 | 1.92% |
| NRZ-44647 | 1.92% |
| CTB-1942 | 1.92% |
| CENX-14484 | 1.91% |
| DNR-15789 | 1.91% |
| OVTI-21799 | 1.91% |
| WTW-23269 | 1.91% |
| AAWW-28378 | 1.91% |
| WRLD-8268 | 1.91% |
| DVN-2368 | 1.91% |
| IOC-26617 | 1.91% |
| HK-31032 | 1.91% |
| MBI-4684 | 1.91% |
| AXLL-3189 | 1.91% |
| PVAC-6258 | 1.91% |
| ADT-43399 | 1.91% |
| WAC-18431 | 1.91% |
| NFX-10231 | 1.90% |
| MNKD-26524 | 1.90% |
| BGC-3129 | 1.90% |
| STX-24518 | 1.90% |
| MOH-25349 | 1.90% |
| DK-32042 | 1.90% |
| MTOR-21723 | 1.90% |
| TER-7401 | 1.90% |
| OSK-5719 | 1.90% |
| FRO-22983 | 1.90% |
| DDS-2126 | 1.90% |
| KRA-39079 | 1.89% |
| QCOR-20914 | 1.89% |
| OIS-22464 | 1.89% |
| RRR-33894 | 1.89% |
| TEX-7408 | 1.89% |
| IPXL-37849 | 1.89% |
| BTU-22660 | 1.89% |
| JOY-22996 | 1.89% |
| LXK-13891 | 1.89% |
| WNC-8233 | 1.89% |
| RIG-9038 | 1.89% |
| CYH-21608 | 1.89% |
| ALJ-27500 | 1.88% |
| OMX-764 | 1.88% |
| TECK-31886 | 1.88% |
| MU-5121 | 1.88% |
| KBR-32880 | 1.88% |
| NRG-26143 | 1.88% |
| KKD-21410 | 1.88% |
| IRWD-39194 | 1.88% |
| EXPR-39626 | 1.87% |
| BPT-1068 | 1.87% |
| RICE-46240 | 1.87% |
| SFY-6825 | 1.87% |
| VECO-12267 | 1.87% |
| STI-7152 | 1.87% |
| HOT-3642 | 1.87% |
| CRUS-1882 | 1.87% |
| SGMS-22637 | 1.87% |
| LVLT-18587 | 1.87% |
| MGM-4831 | 1.87% |
| HLX-17180 | 1.87% |
| DAL-33729 | 1.87% |
| OUTR-24791 | 1.87% |
| GME-23438 | 1.86% |
| GPOR-28116 | 1.86% |
| TAL-27704 | 1.86% |
| VLO-7990 | 1.86% |
| ABX-64 | 1.86% |
| HERO-27747 | 1.86% |
| IDCC-3801 | 1.86% |
| DST-13835 | 1.86% |
| MPC-41636 | 1.86% |
| CF-27558 | 1.86% |
| HFC-3620 | 1.86% |
| RF-34913 | 1.86% |
| PHH-26956 | 1.86% |
| GT-3384 | 1.86% |
| PEGI-45526 | 1.85% |
| LNCO-43513 | 1.85% |
| PWER-17735 | 1.85% |
| SHO-26728 | 1.85% |
| CECO-24834 | 1.85% |
| CPA-27908 | 1.85% |
| ARO-23650 | 1.85% |
| CYD-12311 | 1.85% |
| MNTA-26381 | 1.85% |
| UFS-2329 | 1.85% |
| FNFG-24551 | 1.85% |
| LEA-38921 | 1.85% |
| DRH-27278 | 1.85% |
| STNG-39422 | 1.85% |
| AXL-19672 | 1.85% |
| CVI-22766 | 1.85% |
| CSH-6267 | 1.85% |
| PE-46989 | 1.85% |
| BAS-27886 | 1.85% |
| VSH-8050 | 1.85% |
| CRZO-17358 | 1.85% |
| PPC-39111 | 1.85% |
| RRD-2248 | 1.84% |
| FHN-26204 | 1.84% |
| MTZ-4667 | 1.84% |
| PENN-11361 | 1.84% |
| CIE-39073 | 1.84% |
| AGNC-36243 | 1.84% |
| NSM-42611 | 1.84% |
| PBF-43713 | 1.84% |
| REX-9642 | 1.84% |
| ACAS-17334 | 1.84% |
| SEE-6769 | 1.84% |
| SSYS-12107 | 1.84% |
| SFD-6803 | 1.84% |
| EXAS-22364 | 1.84% |
| SWY-7254 | 1.83% |
| HNT-22231 | 1.83% |
| FITB-2855 | 1.83% |
| CLWR-33480 | 1.83% |
| SUNE-13306 | 1.83% |
| AL-41280 | 1.83% |
| KGC-9189 | 1.83% |
| SPN-14141 | 1.83% |
| PACW-21624 | 1.83% |
| DHT-27705 | 1.83% |
| MYGN-13698 | 1.83% |
| STAR-24862 | 1.83% |
| ITRI-10192 | 1.83% |
| FOSL-8816 | 1.83% |
| MFC-4809 | 1.83% |
| HBHC-3476 | 1.82% |
| MAS-4665 | 1.82% |
| THC-5343 | 1.82% |
| LUK-4580 | 1.82% |
| MMR-19497 | 1.82% |
| PHM-5969 | 1.82% |
| TECD-7372 | 1.82% |
| DLX-2212 | 1.82% |
| HLS-3661 | 1.82% |
| NAVI-46782 | 1.82% |
| KEY-4221 | 1.82% |
| JNS-24556 | 1.82% |
| DS-24099 | 1.82% |
| AGP-23179 | 1.82% |
| LMCA-43919 | 1.82% |
| WMGI-22948 | 1.81% |
| XRX-8354 | 1.81% |
| NSR-27413 | 1.81% |
| TD-15596 | 1.81% |
| ALB-10898 | 1.81% |
| REXX-34379 | 1.81% |
| STZ-24873 | 1.81% |
| AMED-25392 | 1.81% |
| DEI-32770 | 1.81% |
| PEIX-27129 | 1.81% |
| MDR-4752 | 1.81% |
| PMT-38630 | 1.81% |
| RYL-6612 | 1.81% |
| SPLS-7061 | 1.81% |
| BZH-10728 | 1.81% |
| KMR-22697 | 1.81% |
| PDLI-5847 | 1.81% |
| SPPI-24517 | 1.81% |
| INFI-21744 | 1.80% |
| AMSC-393 | 1.80% |
| BEE-26410 | 1.80% |
| IVR-38531 | 1.80% |
| BPOP-1062 | 1.80% |
| HTS-36111 | 1.80% |
| JNY-4152 | 1.80% |
| AT-39942 | 1.80% |
| NE-5249 | 1.80% |
| CYS-38477 | 1.80% |
| AGO-26211 | 1.79% |
| ANDE-14329 | 1.79% |
| ITT-14081 | 1.79% |
| TGH-34810 | 1.79% |
| OC-32608 | 1.79% |
| BSX-1131 | 1.79% |
| GLBL-8489 | 1.79% |
| UMPQ-18634 | 1.79% |
| TPH-44053 | 1.79% |
| NEM-5261 | 1.79% |
| SAFM-6624 | 1.79% |
| LRCX-4537 | 1.79% |
| RSPP-46182 | 1.79% |
| VCI-7921 | 1.78% |
| HRB-3660 | 1.78% |
| WBC-34226 | 1.78% |
| WPRT-36763 | 1.78% |
| ALK-300 | 1.78% |
| SBRA-26096 | 1.78% |
| HPQ-3735 | 1.78% |
| SNV-7007 | 1.78% |
| DB-23113 | 1.78% |
| EXEL-21383 | 1.78% |
| TITN-35190 | 1.78% |
| JBL-8831 | 1.77% |
| NKTR-24572 | 1.77% |
| COP-23998 | 1.77% |
| AEL-25710 | 1.77% |
| PSLV-40322 | 1.77% |
| XLS-42021 | 1.77% |
| MRO-5035 | 1.77% |
| NXST-25679 | 1.77% |
| AVG-42445 | 1.77% |
| LLL-18738 | 1.77% |
| PSEC-26517 | 1.77% |
| VOYA-44645 | 1.77% |
| TIVO-20662 | 1.77% |
| CVH-2010 | 1.77% |
| SNDK-13940 | 1.77% |
| APAM-44249 | 1.77% |
| BNS-1010 | 1.77% |
| SUN-7211 | 1.77% |
| ANF-15622 | 1.76% |
| AMH-45197 | 1.76% |
| WMC-42917 | 1.76% |
| STWD-38668 | 1.76% |
| DFS-34011 | 1.76% |
| WY-8326 | 1.76% |
| ALLY-46015 | 1.76% |
| KRC-16374 | 1.76% |
| SLM-6935 | 1.76% |
| ATW-624 | 1.76% |
| CRBC-1278 | 1.76% |
| FMER-12662 | 1.76% |
| AMSG-22862 | 1.76% |
| SQNM-21203 | 1.76% |
| GOV-38446 | 1.76% |
| BC-755 | 1.76% |
| CLNY-38760 | 1.76% |
| ISBC-27703 | 1.76% |
| ZION-8399 | 1.76% |
| MET-21418 | 1.76% |
| HCN-3488 | 1.75% |
| OLN-5643 | 1.75% |
| AMTG-41738 | 1.75% |
| NLY-17702 | 1.75% |
| MPW-27443 | 1.75% |
| EPL-38761 | 1.75% |
| RGLD-6455 | 1.75% |
| SCHL-6705 | 1.75% |
| SDLP-43539 | 1.75% |
| DPS-36118 | 1.75% |
| CUBE-26733 | 1.75% |
| TWO-38887 | 1.75% |
| DISC_A-36930 | 1.75% |
| MS-17080 | 1.75% |
| POL-22049 | 1.75% |
| CIM-35081 | 1.75% |
| CVG-19203 | 1.75% |
| KRG-26562 | 1.75% |
| PKY-6015 | 1.74% |
| PRU-23328 | 1.74% |
| CEG-20066 | 1.74% |
| SBGI-13098 | 1.74% |
| JPM-25006 | 1.74% |
| OXPS-26978 | 1.74% |
| CNC-23283 | 1.74% |
| SSRM-15591 | 1.74% |
| EDR-26969 | 1.74% |
| DISH-13017 | 1.74% |
| GRT-10613 | 1.74% |
| CHMT-40299 | 1.74% |
| RY-13732 | 1.74% |
| PSX-42788 | 1.74% |
| RGA-9037 | 1.74% |
| PEB-39047 | 1.74% |
| LXP-9968 | 1.74% |
| TC-35140 | 1.73% |
| NOV-24809 | 1.73% |
| CFFN-19962 | 1.73% |
| VZ-21839 | 1.73% |
| BPZ-28729 | 1.73% |
| GNW-26323 | 1.73% |
| NOC-5387 | 1.73% |
| HSC-3686 | 1.73% |
| HS-28057 | 1.73% |
| URS-7828 | 1.73% |
| CMO-1655 | 1.73% |
| AFL-185 | 1.73% |
| DLR-26758 | 1.73% |
| COF-12160 | 1.73% |
| STLD-16108 | 1.73% |
| ADM-128 | 1.72% |
| AABA-14848 | 1.72% |
| AET-168 | 1.72% |
| MFA-18590 | 1.72% |
| CUZ-1995 | 1.72% |
| ANW-33014 | 1.72% |
| CIT-39053 | 1.72% |
| KING-46610 | 1.72% |
| CEL-33293 | 1.72% |
| ODP-5583 | 1.72% |
| FLEX-10953 | 1.72% |
| STAG-41271 | 1.72% |
| PFG-23151 | 1.72% |
| DCT-33026 | 1.72% |
| RSH-21550 | 1.72% |
| HT-19709 | 1.72% |
| UTIW-22284 | 1.71% |
| SSW-27550 | 1.71% |
| CKH-1581 | 1.71% |
| TIME-46965 | 1.71% |
| WU-32603 | 1.71% |
| HPP-39816 | 1.71% |
| ARNC-2 | 1.71% |
| MIC-26898 | 1.71% |
| BMR-26548 | 1.71% |
| NAT-17553 | 1.70% |
| CM-17813 | 1.70% |
| BCE-766 | 1.70% |
| SIR-42606 | 1.70% |
| HII-41111 | 1.70% |
| LLY-4487 | 1.69% |
| BXMT-24697 | 1.69% |
| BG-22959 | 1.69% |
| DEPO-18010 | 1.69% |
| SNH-20799 | 1.69% |
| HUN-27030 | 1.69% |
| AEA-26887 | 1.68% |
| MX-41048 | 1.68% |
| RE-13720 | 1.68% |
| ANH-18380 | 1.68% |
| TCF-7334 | 1.68% |
| TSN-7684 | 1.68% |
| SYA-39160 | 1.68% |
| OPTR-33327 | 1.68% |
| FMBI-2891 | 1.68% |
| LNT-18584 | 1.67% |
| LF-23879 | 1.67% |
| GLW-3241 | 1.67% |
| AFSI-32871 | 1.67% |
| PTRY-20272 | 1.66% |
| PBCT-5769 | 1.66% |
| CNO-25497 | 1.66% |
| STRA-15397 | 1.66% |
| PRE-10025 | 1.66% |
| GES-24811 | 1.66% |
| OCSL-36371 | 1.66% |
| LUV-4589 | 1.66% |
| EXL-39513 | 1.66% |
| NHI-5303 | 1.65% |
| LNC-4498 | 1.65% |
| BRCD-20061 | 1.65% |
| AER-32916 | 1.65% |
| GERN-15306 | 1.64% |
| OCN-15697 | 1.63% |
| VVUS-11224 | 1.61% |
| HOV-3645 | 1.59% |
| AVT-661 | 1.59% |
| INVA-26676 | 1.58% |
| RDEN-22398 | 1.57% |
| CPE-12011 | 1.42% |
| IRDM-35933 | 1.38% |
| GTI-23687 | 1.34% |
| FCE_A-2730 | 1.30% |
| ARI-38759 | 1.20% |
| ROIC-34972 | 1.19% |
| SRPT-16999 | 1.17% |
| CE-26960 | 1.07% |
| LPX-4531 | 0.95% |
| TPX-25802 | 0.92% |
| RSO-28076 | 0.78% |
| RTRX-41663 | 0.58% |
| MACK-42735 | 0.57% |
| AEC-10073 | 0.54% |
| DO-13635 | 0.37% |
| RDN-20276 | 0.26% |
| CONN-25646 | 0.07% |
| DWA-26750 | 0.01% |
Performance Relative to Common Risk Factors¶
| Summary Statistics | |
|---|---|
| Annualized Specific Return | 15.61% |
| Annualized Common Return | 1.10% |
| Annualized Total Return | 16.84% |
| Specific Sharpe Ratio | 2.35 |
| Exposures Summary | Average Risk Factor Exposure | Annualized Return | Cumulative Return |
|---|---|---|---|
| basic_materials | -0.03 | -0.26% | -1.29% |
| consumer_cyclical | 0.03 | 0.67% | 3.37% |
| financial_services | 0.05 | 0.31% | 1.57% |
| real_estate | -0.04 | -0.42% | -2.08% |
| consumer_defensive | 0.03 | 0.29% | 1.43% |
| health_care | 0.01 | 0.05% | 0.27% |
| utilities | -0.00 | -0.12% | -0.58% |
| communication_services | 0.00 | -0.05% | -0.26% |
| energy | -0.16 | -1.14% | -5.55% |
| industrials | -0.03 | -0.43% | -2.12% |
| technology | 0.10 | 1.61% | 8.27% |
| momentum | 0.19 | 0.42% | 2.09% |
| size | 0.18 | -0.31% | -1.55% |
| value | -0.11 | 0.01% | 0.03% |
| short_term_reversal | -0.07 | -0.13% | -0.64% |
| volatility | -0.29 | 0.58% | 2.92% |
In [3]:
# Returns Tear Sheets
bt.create_returns_tear_sheet(live_start_date='2014-09-1')
| Start date | 2011-01-05 | ||
|---|---|---|---|
| End date | 2015-12-31 | ||
| In-sample months | 43 | ||
| Out-of-sample months | 16 | ||
| All | In-sample | Out-of-sample | |
| Annual return | 16.9% | 14.7% | 22.8% |
| Cumulative returns | 117.4% | 65.1% | 31.7% |
| Annual volatility | 7.8% | 6.7% | 10.2% |
| Sharpe ratio | 2.03 | 2.07 | 2.06 |
| Calmar ratio | 2.07 | 3.08 | 2.81 |
| Stability | 0.97 | 0.97 | 0.75 |
| Max drawdown | -8.1% | -4.8% | -8.1% |
| Omega ratio | 1.41 | 1.40 | 1.44 |
| Sortino ratio | 3.09 | 3.20 | 3.09 |
| Skew | -0.20 | -0.10 | -0.32 |
| Kurtosis | 3.06 | 0.71 | 2.89 |
| Tail ratio | 1.11 | 1.14 | 1.19 |
| Daily value at risk | -0.9% | -0.8% | -1.2% |
| Gross leverage | 1.07 | 1.07 | 1.08 |
| Daily turnover | 4.3% | 4.0% | 5.5% |
| Alpha | 0.17 | 0.15 | 0.21 |
| Beta | -0.06 | -0.05 | -0.07 |
| Worst drawdown periods | Net drawdown in % | Peak date | Valley date | Recovery date | Duration |
|---|---|---|---|---|---|
| 0 | 8.13 | 2014-12-15 | 2015-04-29 | 2015-07-20 | 156 |
| 1 | 6.23 | 2015-08-05 | 2015-10-07 | 2015-11-11 | 71 |
| 2 | 4.78 | 2011-10-13 | 2012-03-19 | 2012-06-11 | 173 |
| 3 | 4.44 | 2012-09-05 | 2012-10-18 | 2012-11-08 | 47 |
| 4 | 4.34 | 2014-06-02 | 2014-06-30 | 2014-07-31 | 44 |
