仮データ
petitfunds
Portfolio 4 Jan, 2005 – 21 Feb, 2025
Benchmark | Generated by QuantStats (v. 0.0.62)
Key Performance Metrics
| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 626.63% | 243.86% |
| CAGR﹪ | 7.03% | 4.32% |
| Sharpe | 0.61 | 0.65 |
| Prob. Sharpe Ratio | 99.7% | 99.81% |
| Smart Sharpe | 0.52 | 0.55 |
| Sortino | 0.86 | 0.93 |
| Smart Sortino | 0.73 | 0.79 |
| Sortino/√2 | 0.61 | 0.66 |
| Smart Sortino/√2 | 0.52 | 0.56 |
| Omega | 1.16 | 1.16 |
| Max Drawdown | -55.19% | -19.11% |
| Longest DD Days | 1772 | 987 |
| Volatility (ann.) | 19.0% | 10.28% |
| R^2 | 0.28 | 0.28 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.13 | 0.23 |
| Skew | -0.08 | 0.06 |
| Kurtosis | 14.97 | 26.92 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.82% | 0.51% |
| Expected Yearly | 9.9% | 6.06% |
| Kelly Criterion | 3.15% | 3.89% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.92% | -1.04% |
| Expected Shortfall (cVaR) | -1.92% | -1.04% |
| Max Consecutive Wins | 14 | 10 |
| Max Consecutive Losses | 8 | 8 |
| Gain/Pain Ratio | 0.13 | 0.16 |
| Gain/Pain (1M) | 0.8 | 1.04 |
| Payoff Ratio | 0.86 | 0.88 |
| Profit Factor | 1.13 | 1.16 |
| Common Sense Ratio | 1.05 | 1.23 |
| CPC Index | 0.54 | 0.56 |
| Tail Ratio | 0.93 | 1.07 |
| Outlier Win Ratio | 3.29 | 6.74 |
| Outlier Loss Ratio | 3.19 | 6.83 |
| MTD | -0.31% | 2.75% |
| 3M | 1.94% | 4.52% |
| 6M | 8.07% | 7.1% |
| YTD | 2.36% | 5.24% |
| 1Y | 22.32% | 18.28% |
| 3Y (ann.) | 8.37% | 3.88% |
| 5Y (ann.) | 15.61% | 5.36% |
| 10Y (ann.) | 8.77% | 2.81% |
| All-time (ann.) | 7.03% | 4.32% |
| Best Day | 14.52% | 6.99% |
| Worst Day | -10.94% | -6.44% |
| Best Month | 12.7% | 8.29% |
| Worst Month | -16.52% | -6.75% |
| Best Year | 32.31% | 20.21% |
| Worst Year | -36.8% | -9.49% |
| Avg. Drawdown | -1.73% | -1.18% |
| Avg. Drawdown Days | 22 | 26 |
| Recovery Factor | 4.25 | 7.02 |
| Ulcer Index | 0.13 | 0.05 |
| Serenity Index | 0.9 | 1.86 |
| Avg. Up Month | 3.47% | 1.7% |
| Avg. Down Month | -4.32% | -1.87% |
| Win Days | 55.25% | 54.92% |
| Win Month | 66.53% | 64.05% |
| Win Quarter | 75.31% | 74.07% |
| Win Year | 85.71% | 90.48% |
| Beta | – | 0.29 |
| Alpha | – | 0.03 |
| Correlation | – | 53.06% |
| Treynor Ratio | – | 849.2% |
EOY Returns vs Benchmark
| Year | Close | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2005 | 5.32 | 20.21 | 3.80 | + |
| 2006 | 15.85 | 10.84 | 0.68 | – |
| 2007 | 5.15 | 5.60 | 1.09 | + |
| 2008 | -36.80 | -9.49 | 0.26 | + |
| 2009 | 26.35 | 2.54 | 0.10 | – |
| 2010 | 15.06 | 15.91 | 1.06 | + |
| 2011 | 1.89 | 6.30 | 3.33 | + |
| 2012 | 15.99 | 3.21 | 0.20 | – |
| 2013 | 32.31 | 14.66 | 0.45 | – |
| 2014 | 13.46 | 9.91 | 0.74 | – |
| 2015 | 1.23 | 8.74 | 7.08 | + |
| 2016 | 12.00 | 1.13 | 0.09 | – |
| 2017 | 21.71 | 7.51 | 0.35 | – |
| 2018 | -4.57 | 2.21 | -0.48 | + |
| 2019 | 31.22 | 8.53 | 0.27 | – |
| 2020 | 18.33 | 7.63 | 0.42 | – |
| 2021 | 28.73 | 0.09 | 0.00 | – |
| 2022 | -18.18 | -8.46 | 0.47 | + |
| 2023 | 26.18 | 3.86 | 0.15 | – |
| 2024 | 24.89 | 16.22 | 0.65 | – |
| 2025 | 2.36 | 5.24 | 2.22 | + |
Worst 10 Drawdowns
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2008-01-15 | 2010-09-27 | -19.11 | 987 |
| 2021-09-07 | 2024-03-26 | -16.62 | 932 |
| 2020-02-21 | 2020-07-13 | -15.86 | 144 |
| 2018-10-04 | 2020-02-19 | -14.73 | 504 |
| 2015-02-24 | 2016-07-07 | -8.55 | 500 |
| 2005-09-12 | 2005-11-16 | -8.13 | 66 |
| 2018-01-29 | 2018-06-05 | -7.54 | 128 |
| 2015-02-19 | 2015-02-19 | -6.44 | 1 |
| 2014-07-07 | 2014-10-27 | -6.21 | 113 |
| 2015-02-06 | 2015-02-12 | -5.94 | 7 |