LAA+AAPL

기존 LAA에서 QQQ를 애플('AAPL')로 변경한 포트폴리오

 

Metric	Strategy	Benchmark(SPY)
Cumulative Return	949.37%	391.8%
CAGR﹪	14.15%	9.38%
Max Drawdown	-16.48%	-53.0%
Longest DD Days	577	1583
Volatility (ann.)	48.78%	72.97%
R^2	0.35	0.35
Information Ratio	0.08	0.08
Calmar	0.86	0.18
Skew	-0.07	-0.75
Kurtosis	-0.28	2.39
Expected Monthly	1.1%	0.75%
Expected Yearly	13.17%	8.75%
Kelly Criterion	33.5%	27.19%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.9%	-6.71%
Expected Shortfall (cVaR)	-3.9%	-6.71%
Max Consecutive Wins	8	15
Max Consecutive Losses	8	5
Gain/Pain Ratio	1.52	0.66
Gain/Pain (1M)	1.52	0.66
Payoff Ratio	1.42	0.83
Profit Factor	2.52	1.66
Common Sense Ratio	4.53	1.85
CPC Index	2.17	0.92
Tail Ratio	1.8	1.12
Outlier Win Ratio	2.92	2.84
Outlier Loss Ratio	5.24	2.58
MTD	2.34%	0.0%
3M	2.1%	-0.47%
6M	-2.23%	-8.02%
YTD	-4.12%	-12.87%
1Y	2.19%	-4.79%
3Y (ann.)	14.81%	14.45%
5Y (ann.)	12.52%	12.82%
10Y (ann.)	9.77%	13.67%
All-time (ann.)	14.15%	9.38%
Best Month	8.04%	13.44%
Worst Month	-8.5%	-16.52%
Best Year	35.39%	32.31%
Worst Year	-4.57%	-36.79%
Avg. Drawdown	-4.13%	-7.0%
Avg. Drawdown Days	110	141
Recovery Factor	57.59	7.39
Ulcer Index	0.04	0.13
Serenity Index	88.64	5.91
Avg. Up Month	3.31%	3.68%
Avg. Down Month	-2.34%	-4.44%
Win Month	61.03%	66.98%
Win Quarter	69.44%	75.0%
Win Year	73.68%	84.21%
Beta	0.4	-
Alpha	2.05	-
Correlation	59.15%	-
Treynor Ratio	2400.72%	-