5-2007
12-2023
Portfolio table
Color | Name | Start Date | End Date | Year Mean | Year Volatility | Year VaR | Monthly Mean | Monthly Volatility | Monthly VaR | Maximum Drawdown | Sharpe | Sortino | Calmar | Market correlation | Alpha | Beta | Edit | Excel | Optimize |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio 1 | 31-05-2007 | 26-12-2023 | 5.99% | 13.9% | -22.44% | .53% | 3.96% | -8.34% | -46.8% | 0.21 | 0.26 | 0.18 | 0.98 | -2.08% | 0.81 | Excel | Optimize |
Color | |
---|---|
Name | Portfolio 1 |
Start Date | 31-05-2007 |
End Date | 26-12-2023 |
Year Mean | 5.99% |
Year Volatility | 13.9% |
Year VaR | -22.44% |
Monthly Mean | .53% |
Monthly Volatility | 3.96% |
Monthly VaR | -8.34% |
Maximum Drawdown | -46.8% |
Sharpe | 0.21 |
Sortino | 0.26 |
Calmar | 0.18 |
Market correlation | 0.98 |
Alpha | -2.08% |
Beta | 0.81 |
Edit | |
Excel | Excel |
Optimize | Optimize |
Note: The time period was constrained by the available data for:
BND -
10-04-2007
Portfolio balance (hypothetical growth of $10,000)
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