Sentences with phrase «with maximum drawdown»

This time with maximum drawdown — the worst negative outcome — as a proxy for risk

The strategy that kicked into cash at the mean had lower a maximum drawdown of 73 percent, but an improved Sharpe ratio at 0.12; the strategy that kicked into cash at one standard deviation above the mean remained unchanged with a maximum drawdown of 80 percent, and a Sharpe ratio of 0.14, and the strategy that kicked into cash at two standard deviations above the mean had a maximum drawdown of 85 percent, and a Sharpe ratio of 0.15.

The total return is +691 % (about 7.8 % for the 12 - month average) with a maximum drawdown of -9.2 %

A backtest of the model from Jan - 2011 to Jul - 2017 produced a high 60 % annualized return with a maximum drawdown of -16 % with only 41realized trades.

A backtest, from Jan - 2000 to end of Jun - 2017, showed a 17.7 % annualized return with a maximum drawdown of -23.3 % and a low average annual turnover of about 70 %.

The combo showed a simulated 22.2 % annualized return with a maximum drawdown of -7.7 % when backtested from Jan - 2000 to Apr - 2017.

Over the same period the First Trust Capital Strength ETF (FTCS), which selects stocks from the NASDAQ Index, produced only 9.63 % annualized return with a maximum drawdown of -53.6 %.

A backtest, without any buy - and sell - rules, from Jan - 2000 to end of Jun - 2017 showed a 10.0 % annualized return with a maximum drawdown of -41.5 %.

A simulation from 2000 to 2017 shows a 24 % annualized return with a maximum drawdown of -12 %.

We do find that Net Stock Issuance and Composite Issuance limit maximum drawdowns, with maximum drawdowns of 29.23 % and 26.27 %, respectively.

Not exact matches

We focus on compound annual growth rate (CAGR), maximum drawdown (MaxDD) and correlation of returns with those of SPDR S&P 500 (SPY) as key performance statistics.

The strategy backtest commences with inception of IEF at the end of July 2002 and focuses on weekly return statistics, compound annual growth rate (CAGR) and maximum drawdown (MaxDD), ignoring rebalancing / reallocation frictions.

We focus on monthly return statistics, along with compound annual growth rates (CAGR) and maximum drawdowns (MaxDD).

Compared to the traditional balanced portfolio, the all weather portfolio had all the desirable characteristics: a higher annualized return and Sharpe ratio, coupled with a significantly lower beta and maximum drawdown.

With semi-annual (i.e. every six months) rebalancing, the all weather portfolio performed slightly better in terms of the higher annualized return and Sharpe ratio as well as smaller maximum drawdown:

Minimize maximum drawdown — This portfolio optimization strategy finds the portfolio with the minimum worst case drawdown with optional minimum acceptable return

Several of the market timing rules beat Buy and Hold with significant reduction in the maximum drawdown.

For reference, in the same time frame a portfolio consisting of just the SPY would have an annualized return of 8.52 % with a standard deviation of 14.25 %, Sharpe ratio of 0.55 and maximum drawdown of 50.8 %.

Over the same analysis interval, the fund had a total cumulative return of about 130 % (annualized 9.2 %), with a standard deviation of 15.1 %, Sharpe ratio of 0.58, and maximum drawdown of 44 %.

But the volatility is much lower - the maximum drawdown was 20 % in the early equities, compared with 50 % (twice) for equities and 40 % for government bonds.

Their backtests show that their balanced portfolio earned more than the S&P 500 from 1979 - 2007, with less risk, measured by maximum drawdown.

I then sort by «maximum drawdown» during that period, with low values at the top.

However, when you pair these portfolios with the shorted sells of the largest stocks of the lowest rank, you obtain a time robust strategy with a risk / reward ratio of about 1/3 with annualized gains of 30 % and maximum drawdowns of about 11 %.