FINA4380 Portfolio Target Return: 0025, Commission Fee: 001 Bayesian Report

31 Dec, 2019 - 28 Feb, 2024

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	100.0%
Cumulative Return	143.35%
CAGR﹪	15.89%
Sharpe	0.77
Prob. Sharpe Ratio	93.94%
Smart Sharpe	0.76
Sortino	1.1
Smart Sortino	1.09
Sortino/√2	0.78
Smart Sortino/√2	0.77
Omega	1.15
Max Drawdown	-53.62%
Longest DD Days	341
Volatility (ann.)	36.69%
Calmar	0.3
Skew	-0.42
Kurtosis	6.18
Expected Daily	0.09%
Expected Monthly	1.76%
Expected Yearly	15.98%
Kelly Criterion	7.16%
Risk of Ruin	0.0%
Daily Value-at-Risk	-3.69%
Expected Shortfall (cVaR)	-3.69%
Max Consecutive Wins	9
Max Consecutive Losses	8
Gain/Pain Ratio	0.15
Gain/Pain (1M)	0.93
Payoff Ratio	0.95
Profit Factor	1.15
Common Sense Ratio	1.24
CPC Index	0.6
Tail Ratio	1.08
Outlier Win Ratio	4.57
Outlier Loss Ratio	3.79
MTD	18.46%
3M	29.0%
6M	28.05%
YTD	27.35%
1Y	34.58%
3Y (ann.)	18.47%
5Y (ann.)	15.89%
10Y (ann.)	15.89%
All-time (ann.)	15.89%
Best Day	10.6%
Worst Day	-16.7%
Best Month	30.03%
Worst Month	-35.85%
Best Year	33.47%
Worst Year	0.0%
Avg. Drawdown	-5.49%
Avg. Drawdown Days	29
Recovery Factor	2.18
Ulcer Index	0.14
Serenity Index	0.76
Avg. Up Month	8.66%
Avg. Down Month	-5.76%
Win Days	54.76%
Win Month	56.0%
Win Quarter	76.47%
Win Year	100.0%