퀀트주식투자/[리포트]포트폴리오
real-1-ROE증가율-2022-10-24 23-23-58
플라즈밍
2022. 10. 24. 23:34
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real-1-ROE증가율 4 Oct, 2022 - 24 Oct, 2022
Benchmark is KQ11 | Generated by QuantStats (v. 0.0.59)
Key Performance Metrics
| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 93.0% | 93.0% |
| Cumulative Return | 4.29% | -1.19% |
| CAGR﹪ | 115.35% | -19.62% |
| Sharpe | 1.9 | -0.42 |
| Prob. Sharpe Ratio | 66.36% | 46.22% |
| Smart Sharpe | 1.75 | -0.38 |
| Sortino | 2.88 | -0.62 |
| Smart Sortino | 2.65 | -0.57 |
| Sortino/√2 | 2.03 | -0.44 |
| Smart Sortino/√2 | 1.87 | -0.4 |
| Omega | 1.33 | 1.33 |
| Max Drawdown | -7.49% | -7.71% |
| Longest DD Days | 11 | 17 |
| Volatility (ann.) | 44.67% | 36.62% |
| R^2 | 0.65 | 0.65 |
| Information Ratio | 0.24 | 0.24 |
| Calmar | 15.4 | -2.55 |
| Skew | -0.48 | 0.15 |
| Kurtosis | -1.04 | -0.39 |
| Expected Daily | 0.3% | -0.09% |
| Expected Monthly | 4.29% | -1.19% |
| Expected Yearly | 4.29% | -1.19% |
| Kelly Criterion | 13.72% | -4.22% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.29% | -3.86% |
| Expected Shortfall (cVaR) | -4.29% | -3.86% |
| Max Consecutive Wins | 3 | 3 |
| Max Consecutive Losses | 3 | 3 |
| Gain/Pain Ratio | 0.33 | -0.06 |
| Gain/Pain (1M) | - | -1.0 |
| Payoff Ratio | 1.15 | 1.07 |
| Profit Factor | 1.33 | 0.94 |
| Common Sense Ratio | 1.14 | 0.93 |
| CPC Index | 0.82 | 0.46 |
| Tail Ratio | 0.86 | 1.0 |
| Outlier Win Ratio | 1.62 | 2.19 |
| Outlier Loss Ratio | 1.81 | 2.3 |
| MTD | 4.29% | -1.19% |
| 3M | 4.29% | -1.19% |
| 6M | 4.29% | -1.19% |
| YTD | 4.29% | -1.19% |
| 1Y | 4.29% | -1.19% |
| 3Y (ann.) | 115.35% | -19.62% |
| 5Y (ann.) | 115.35% | -19.62% |
| 10Y (ann.) | 115.35% | -19.62% |
| All-time (ann.) | 115.35% | -19.62% |
| Best Day | 3.78% | 4.09% |
| Worst Day | -4.73% | -4.15% |
| Best Month | 4.29% | -1.19% |
| Worst Month | 4.29% | -1.19% |
| Best Year | 4.29% | -1.19% |
| Worst Year | 4.29% | -1.19% |
| Avg. Drawdown | -5.65% | -4.68% |
| Avg. Drawdown Days | 8 | 9 |
| Recovery Factor | 0.57 | -0.15 |
| Ulcer Index | 0.04 | 0.04 |
| Serenity Index | 0.5 | -0.11 |
| Avg. Up Month | - | - |
| Avg. Down Month | - | - |
| Win Days | 53.85% | 46.15% |
| Win Month | 100.0% | 0.0% |
| Win Quarter | 100.0% | 0.0% |
| Win Year | 100.0% | 0.0% |
| Beta | 0.98 | - |
| Alpha | 1.0 | - |
| Correlation | 80.41% | - |
| Treynor Ratio | 4.38% | - |
EOY Returns vs Benchmark
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | -1.19 | 4.29 | -3.61 | + |
Worst 10 Drawdowns
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-10-07 | 2022-10-18 | -7.49 | 11 |
| 2022-10-19 | 2022-10-24 | -3.82 | 5 |
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