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Portfolio Performance Evaluation on Financial Portfolio 2019-2024 (93 trading days)
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37.17
Total Return
EW Buy-Hold
-1.102
8.834
18.77
28.706
Mar 26, 2026
Total Return
Annualized Return
Annualized Volatility
Sharpe Ratio
Maximum Drawdown
Updated 19d ago
Evaluation Results
Method
Method
Links
Total Return
Annualized Return
Annualized Volatility
Sharpe Ratio
Maximum Drawdown
EW Buy-Hold
Costs=15 bps
2026.03
37.17
135.48
24.18
5.6
10.47
CMMD
Costs=15 bps
2026.03
14.17
43.2
10.51
4.11
5.64
Raw Alpha
Costs=15 bps
2026.03
8.44
24.56
8.9
2.76
5.57
Momentum-20d
Costs=15 bps
2026.03
6.45
16.54
19.33
0.86
12.39
Debiased Alpha
Costs=15 bps
2026.03
3.15
8.76
5.68
1.54
4.55
Random
Costs=15 bps
2026.03
0.37
1
4.3
0.23
3.01
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