ManageValue
Systematic strategy tear sheet
| Metric | ^SPX | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 15,384.05% | 1,040,169,067,721,472.12% |
| CAGR﹪ | 7.61% | 54.66% |
| Sharpe | 0.54 | 1.64 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.53 | 1.63 |
| Sortino | 0.76 | 2.55 |
| Smart Sortino | 0.75 | 2.53 |
| Sortino/√2 | 0.53 | 1.8 |
| Smart Sortino/√2 | 0.53 | 1.79 |
| Omega | 1.37 | 1.37 |
| Max Drawdown | -56.78% | -45.06% |
| Max DD Date | 2009-03-09 | 1987-10-19 |
| Max DD Period Start | 2007-10-10 | 1987-08-26 |
| Max DD Period End | 2013-03-27 | 1989-04-26 |
| Longest DD Days | 2743 | 610 |
| Volatility (ann.) | 16.12% | 29.14% |
| R^2 | 0.33 | 0.33 |
| Information Ratio | 0.1 | 0.1 |
| Calmar | 0.13 | 1.21 |
| Skew | -0.57 | 0.07 |
| Kurtosis | 20.01 | 18.45 |
| Expected Daily | 0.03% | 0.17% |
| Expected Monthly | 0.61% | 3.7% |
| Expected Yearly | 7.58% | 54.4% |
| Kelly Criterion | 1.85% | 14.24% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.64% | -2.83% |
| Expected Shortfall (cVaR) | -3.91% | -3.91% |
| Max Consecutive Wins | 14 | 21 |
| Max Consecutive Losses | 12 | 11 |
| Gain/Pain Ratio | 0.11 | 0.37 |
| Gain/Pain (1M) | 0.56 | 3.16 |
| Payoff Ratio | 0.91 | 1.08 |
| Profit Factor | 1.11 | 1.37 |
| Common Sense Ratio | 1.1 | 1.67 |
| CPC Index | 0.54 | 0.82 |
| Tail Ratio | 0.99 | 1.22 |
| Outlier Win Ratio | 6.17 | 3.29 |
| Outlier Loss Ratio | 5.38 | 3.25 |
| MTD | -0.05% | -6.56% |
| 3M | 2.77% | 7.47% |
| 6M | 10.89% | 2.66% |
| YTD | 16.39% | 34.56% |
| 1Y | 15.89% | 34.57% |
| 3Y (ann.) | 20.1% | 49.55% |
| 5Y (ann.) | 13.28% | 46.26% |
| 10Y (ann.) | 12.77% | 48.61% |
| All-time (ann.) | 7.61% | 54.66% |
| Best Day | 11.58% | 27.17% |
| Worst Day | -20.47% | -34.37% |
| Best Month | 16.3% | 30.35% |
| Worst Month | -21.76% | -29.69% |
| Best Year | 38.06% | 278.46% |
| Worst Year | -38.49% | -11.23% |
| Avg. Drawdown | -2.35% | -3.23% |
| Avg. Drawdown Days | 39 | 15 |
| Recovery Factor | 10.46 | 73.06 |
| Ulcer Index | 0.15 | 0.1 |
| Serenity Index | 1.23 | 17.84 |
| Avg. Up Month | 3.38% | 7.97% |
| Avg. Down Month | -4.12% | -5.85% |
| Win Days | 53.29% | 55.43% |
| Win Month | 60.65% | 73.73% |
| Win Quarter | 66.3% | 81.52% |
| Win Year | 72.46% | 95.65% |
| Beta | - | 1.05 |
| Alpha | - | 0.39 |
| Correlation | - | 57.86% |
| Treynor Ratio | - | 994544330363771.5% |
| Year | ^SPX | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1957 | -9.55 | 8.80 | -0.92 | + |
| 1958 | 38.06 | 86.46 | 2.27 | + |
| 1959 | 8.48 | 61.79 | 7.29 | + |
| 1960 | -2.97 | 17.54 | -5.90 | + |
| 1961 | 23.13 | 65.40 | 2.83 | + |
| 1962 | -11.81 | -11.23 | 0.95 | + |
| 1963 | 18.89 | 82.92 | 4.39 | + |
| 1964 | 12.97 | 32.22 | 2.48 | + |
| 1965 | 9.06 | 8.95 | 0.99 | - |
| 1966 | -13.09 | 4.85 | -0.37 | + |
| 1967 | 20.09 | 115.77 | 5.76 | + |
| 1968 | 7.66 | 39.21 | 5.12 | + |
| 1969 | -11.36 | 21.76 | -1.91 | + |
| 1970 | 0.10 | 31.70 | 324.22 | + |
| 1971 | 10.79 | 38.67 | 3.59 | + |
| 1972 | 15.63 | 25.89 | 1.66 | + |
| 1973 | -17.37 | 59.42 | -3.42 | + |
| 1974 | -29.72 | 7.00 | -0.24 | + |
| 1975 | 31.55 | 91.41 | 2.90 | + |
| 1976 | 19.15 | 68.92 | 3.60 | + |
| 1977 | -11.50 | -7.00 | 0.61 | + |
| 1978 | 1.06 | 4.08 | 3.84 | + |
| 1979 | 12.31 | 69.91 | 5.68 | + |
| 1980 | 25.77 | 25.46 | 0.99 | - |
| 1981 | -9.73 | -10.75 | 1.10 | - |
| 1982 | 14.76 | 101.65 | 6.89 | + |
| 1983 | 17.27 | 152.41 | 8.82 | + |
| 1984 | 1.40 | 56.66 | 40.45 | + |
| 1985 | 26.33 | 69.93 | 2.66 | + |
| 1986 | 14.62 | 39.19 | 2.68 | + |
| 1987 | 2.03 | 15.55 | 7.67 | + |
| 1988 | 12.40 | 23.11 | 1.86 | + |
| 1989 | 27.25 | 69.08 | 2.54 | + |
| 1990 | -6.56 | 17.40 | -2.65 | + |
| 1991 | 26.31 | 157.91 | 6.00 | + |
| 1992 | 4.46 | 45.54 | 10.20 | + |
| 1993 | 7.06 | 97.89 | 13.87 | + |
| 1994 | -1.54 | 59.55 | -38.68 | + |
| 1995 | 34.11 | 120.01 | 3.52 | + |
| 1996 | 20.26 | 214.54 | 10.59 | + |
| 1997 | 31.01 | 236.89 | 7.64 | + |
| 1998 | 26.67 | 132.77 | 4.98 | + |
| 1999 | 19.53 | 233.18 | 11.94 | + |
| 2000 | -10.14 | 278.46 | -27.46 | + |
| 2001 | -13.04 | 30.72 | -2.36 | + |
| 2002 | -23.37 | 6.68 | -0.29 | + |
| 2003 | 26.38 | 105.83 | 4.01 | + |
| 2004 | 8.99 | 65.69 | 7.30 | + |
| 2005 | 3.00 | 38.39 | 12.79 | + |
| 2006 | 13.62 | 75.66 | 5.56 | + |
| 2007 | 3.53 | 46.57 | 13.20 | + |
| 2008 | -38.49 | 16.19 | -0.42 | + |
| 2009 | 23.45 | 74.05 | 3.16 | + |
| 2010 | 12.78 | 17.04 | 1.33 | + |
| 2011 | -0.00 | 9.66 | -3033.94 | + |
| 2012 | 13.41 | 43.99 | 3.28 | + |
| 2013 | 29.60 | 120.81 | 4.08 | + |
| 2014 | 11.39 | 62.73 | 5.51 | + |
| 2015 | -0.73 | 51.19 | -70.45 | + |
| 2016 | 9.54 | 26.80 | 2.81 | + |
| 2017 | 19.42 | 52.19 | 2.69 | + |
| 2018 | -6.24 | 14.85 | -2.38 | + |
| 2019 | 28.88 | 72.39 | 2.51 | + |
| 2020 | 16.26 | 133.83 | 8.23 | + |
| 2021 | 26.89 | 37.29 | 1.39 | + |
| 2022 | -19.44 | 38.86 | -2.00 | + |
| 2023 | 24.23 | 19.09 | 0.79 | - |
| 2024 | 23.31 | 91.89 | 3.94 | + |
| 2025 | 16.39 | 34.56 | 2.11 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 1987-08-26 | 1989-04-26 | -45.06 | 610 |
| 1981-04-24 | 1982-09-21 | -43.58 | 516 |
| 1965-03-16 | 1966-01-11 | -41.07 | 302 |
| 1974-01-08 | 1975-01-09 | -40.34 | 367 |
| 1978-09-12 | 1979-06-05 | -33.55 | 267 |
| 1998-08-26 | 1998-11-05 | -33.21 | 72 |
| 1977-06-28 | 1978-05-11 | -32.84 | 318 |
| 2002-05-23 | 2003-04-01 | -32.73 | 314 |
| 1957-07-11 | 1958-06-16 | -31.86 | 341 |
| 2018-09-25 | 2019-07-25 | -30.76 | 304 |