Omega ratio 0.501.001.502.002.503.001.251.25 Calmar ratio 0.005.0010.0015.002.082.01 Martin ratio 0.0020.0040.0060.0080.00100.008.178.09 VTI ^GSPC Sharpe ratio The currentVanguard Total Stock Market ETFSharpe ratio is1.38. This value is calculated based on the past 1 year of trading data and takes...
MSE 效果比较 Sharpe Ratio 效果比较 参考 ^1https://arxiv.org/pdf/2309.00073.pdf ^1https://homepages.inf.ed.ac.uk/scohen/acl18stock.pdf ^
Calmar ratio 0.002.004.006.003.022.62 Martin ratio -10.000.0010.0020.0030.008.7810.69 ORCL ^GSPC The currentOracle CorporationSharpe ratio is1.60. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends. ...
For advanced traders who, like me, crave institutional-grade tools and data, Interactive Brokers feels like stepping into a professional’s playground. Want to optimize your taxes or measure your portfolio’s Sharpe ratio, standard deviation, alpha, beta, or even correlation? You can. ...
sharpe ratio 0.62 -> 1.04 最大回撤-0.48 -> -0.18 沪深300算的\beta: 0.66 -> 0.82 我认为如果要看图,要先用杠杆调平了回报率,再看PnL的稳定性。 于是假设我按\cfrac{1}{\beta}加杠杆,不择时会变成: 年化收益21.2%,最大回撤55%, IR=0.03, sharpe / maxDD=1.16. 回撤已经over了。
PortfolioAnnualReturnBenchmark+/- BenchmarkBetaStandardDeviationMaximum DrawdownSharpe Ratio Factor Rotation - Momentum with Trend 12.0% 9.9% 2.1% 0.60 18.5% 34.7% 0.58 Factor Rotation - Composite with Trend 11.8% 9.9% 1.9% 0.60 18.7% 40.7% 0.56 Factor Rotation - Momentum 11.1% 9.9% 1.2% 0.95...
3-Year Sharpe Ratio -0.12 3-Year Sortino Ratio -0.16 Volatility % 19.94 14-Day RSI 36.5 14-Day ATR ($) 0.626346 20-Day SMA ($) 30.897 12-1 Month Momentum % -13.69 52-Week Range ($) 28.98 - 38.03 Shares Outstanding (Mil) 1,894.62 Piotroski F-Score Details Year: ...
Sharpe ratio 2069 -0.08 0.18 — Primary benchmark* -0.05 0.18 0.24 Broad-based benchmark — — — Sortino ratio 2069 0.01 0.38 — Primary benchmark* 0.04 0.38 0.46 Broad-based benchmark — — — Risk measures are calculated from trailing 3, 5, and 10 year fund returns relative to the ...
International Stock Funds to Buy U.S. stocks are looking expensive. Diversifying internationally via these funds can potentially help investors unlock better value. Tony DongDec. 5, 2024 Fixed-Income Funds to Buy for 2025 Here's what the experts have to say when it comes to investing in bond...
International Stock Funds to Buy U.S. stocks are looking expensive. Diversifying internationally via these funds can potentially help investors unlock better value. Tony DongDec. 5, 2024 Fixed-Income Funds to Buy for 2025 Here's what the experts have to say when it comes to investing in bond...