Sharpe_ratio | Excess_sharpe_ratio | Calmar_ratio | Omega_ratio | Sortino_ratio | Tail_ratio | Cum_return | Annual_return | Annual_volatility | Max_drawdown | Positive_days_rate | Alpha | Beta |
---|---|---|---|---|---|---|---|---|---|---|---|---|
-0.72 | -0.01 | -0.26 | 0.88 | -1.0 | 0.92 | -8.59% | -5.08% | 9.77% | -19.42% | 48.16% | -0.03 | 0.49 |
Var | Std | Mean | Median | Range | Kurtosis | Skewness | Beat_the_benchmark_times | Sample_size | Beat_the_benchmark_rate | Beat_the_benchmark_cum |
---|---|---|---|---|---|---|---|---|---|---|
0.38 | 0.62% | -0.02% | -0.02% | 5.47% | 2.33 | 0.29 | 223 | 434 | 51.38% | -1.60% |