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 |
---|---|---|---|---|---|---|---|---|---|---|---|---|
1.67 | -0.0 | 4.39 | 1.34 | 2.71 | 1.44 | 5.98% | 13.69% | 6.08% | -3.12% | 53.51% | 0.1 | 0.25 |
Var | Std | Mean | Median | Range | Kurtosis | Skewness | Beat_the_benchmark_times | Sample_size | Beat_the_benchmark_rate | Beat_the_benchmark_cum |
---|---|---|---|---|---|---|---|---|---|---|
0.15 | 0.38% | 0.05% | 0.02% | 2.47% | 1.4 | 0.29 | 60 | 114 | 52.63% | 0.14% |