Cumulative Return
+84.2%
SPY: +62.1%
Annual CAGR
13.0%
SPY: 10.1%
Sharpe Ratio (Rf=4%)
1.18
Sortino: 1.74
Max Drawdown
-14.2%
Calmar: 0.92
Alpha / Beta
α +4.8% | β 0.42
Info Ratio: 0.65
Annualized Volatility
11.4%
Daily VaR 95%: -1.1%
STEP 1
Did the strategy generate attractive returns?
Cumulative compounding growth curves vs. benchmark over the evaluation window.
| Performance Dimension | Strategy | Benchmark (SPY) | Active Spread (Δ) |
|---|
STEP 2
Did the strategy improve performance relative to the market?
CAPM decomposition, Jensen's Alpha, Beta, Tracking Error, and Information Ratio.
| CAPM / Factor Metric | Value | Quantitative Interpretation |
|---|
STEP 3
How much risk did the portfolio take to generate returns?
Rolling 6-month Sharpe ratio dynamics and tail-risk distribution analysis.
| Risk Statistic | Strategy | Benchmark | Risk Assessment |
|---|
STEP 4
When and how severely did drawdowns occur?
Underwater equity curve tracking peak-to-trough decline depth and recovery durations.
| Drawdown Episode Rank | Peak Date | Valley Date | Recovery Date | Max Depth | Duration (Trading Days) |
|---|
STEP 5
Was performance consistent across calendar cycles?
Standardized monthly return breakdown matrix and calendar year totals.
STEP 6
Can the performance be trusted? (Regimes & Python Code)
Stress regime breakdown and reproducible Python pyfolio-reloaded / empyrical script.
| Regime / Stress Window | Strategy Return | Benchmark Return | Strategy Max DD | Sharpe Ratio |
|---|
Reproducible Python PyFolio / Empyrical Script
Direct paste into Jupyter / Colab# Loading Python script...