TA Solution - LTCM
Thanks to Tobias
Case: Long-Term Capital Management, L.P. (A) [9-200-007].
|
Gross |
Net |
SPY |
RFR |
| Annualized Return |
0.2436 |
0.156883 |
0.154775 |
0.050287 |
| Annualized Volatility |
0.136238 |
0.111773 |
0.114073 |
0.001271 |
| Annualized Sharpe Ratio |
1.78805 |
1.40359 |
1.356806 |
39.579951 |
| Annualized Sortino Ratio |
2.356764 |
1.628167 |
2.318467 |
NaN |
| Skewness |
-0.288328 |
-0.81087 |
-0.406867 |
-1.202728 |
| Excess Kurtosis |
1.586681 |
2.927724 |
-0.388002 |
3.015576 |
| VaR (0.05) |
-0.030305 |
-0.0263 |
-0.049667 |
0.003465 |
| CVaR (0.05) |
-0.072889 |
-0.068556 |
-0.052804 |
0.003186 |
| Min |
-0.105142 |
-0.105142 |
-0.056045 |
0.002892 |
| Max |
0.112442 |
0.080442 |
0.075014 |
0.004867 |
| Max Drawdown |
-0.168744 |
-0.175402 |
-0.060568 |
0.0 |
| Bottom |
1998-06-30 00:00:00 |
1998-07-31 00:00:00 |
1994-12-31 00:00:00 |
1994-03-31 00:00:00 |
| Peak |
1998-04-30 00:00:00 |
1997-12-31 00:00:00 |
1998-06-30 00:00:00 |
1998-07-31 00:00:00 |
| Recovery |
- |
- |
1995-02-28 00:00:00 |
1994-03-31 00:00:00 |
| Duration (days) |
- |
- |
59 |
0 |
| Calmar Ratio |
1.443609 |
0.894421 |
2.555371 |
inf |
|
Net |
| Alpha |
0.135076 |
| R-Squared |
0.020676 |
| SPY Beta |
0.140892 |
| Information Ratio |
1.221183 |
| Tracking Error |
0.110611 |
|
Net |
| Alpha |
0.162629 |
| R-Squared |
0.027801 |
| SPY Beta |
0.168741 |
| SPY_Squared Beta |
-2.158255 |
| Information Ratio |
1.475657 |
| Tracking Error |
0.110208 |
|
Net |
| Alpha |
0.109438 |
| R-Squared |
0.048607 |
| SPY Beta |
0.434499 |
| SPY_Put Beta |
1.042253 |
| SPY_Call Beta |
-0.721876 |
| Information Ratio |
1.003814 |
| Tracking Error |
0.109022 |
