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 |
---|---|---|---|---|---|---|---|---|---|---|---|---|
-0.94 | -0.01 | -0.35 | 0.85 | -1.31 | 0.93 | -9.66% | -6.72% | 9.35% | -19.42% | 47.01% | -0.04 | 0.46 |
Var | Std | Mean | Median | Range | Kurtosis | Skewness | Beat_the_benchmark_times | Sample_size | Beat_the_benchmark_rate | Beat_the_benchmark_cum |
---|---|---|---|---|---|---|---|---|---|---|
0.35 | 0.59% | -0.03% | -0.03% | 5.47% | 3.27 | 0.37 | 191 | 368 | 51.90% | -1.01% |