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 |
---|---|---|---|---|---|---|---|---|---|---|---|---|
-0.08 | 0.02 | 0.38 | 0.99 | -0.11 | 1.25 | 1.91% | 1.99% | 6.75% | -5.26% | 49.59% | 0.03 | 0.32 |
Var | Std | Mean | Median | Range | Kurtosis | Skewness | Beat_the_benchmark_times | Sample_size | Beat_the_benchmark_rate | Beat_the_benchmark_cum |
---|---|---|---|---|---|---|---|---|---|---|
0.18 | 0.43% | 0.01% | 0.0% | 2.67% | 0.89 | 0.12 | 132 | 242 | 54.55% | 4.94% |