Page 47 - QuantScan-Example.pdf
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Professional investors only
Annualized return fund Annualized return benchmark Annualized volatility fund Annualized volatility benchmark
Annualized alpha
Annualized tracking error
Information ratio
Maximum drawdown fund Maximum drawdown benchmark Bad date fund
Bad date benchmark Recovery days fund Recovery days benchmark Value at risk fund Value at risk benchmark Expected shortfall fund Expected shortfall benchmark
Beta in all markets
Capture in all markets
Beta in bull markets
Capture in bull markets
Beta in bear markets
Capture in bear markets
Annualized riskfree rate
Annualized passive return
Annualized Jensen's alpha
Sharpe ratio fund
Sharpe ratio benchmark Treynor ratio fund Treynor ratio benchmark Sortino ratio fund Sortino ratio benchmark
0.1227 0.1042 0.2249 0.2316
0.0185 0.0256 0.7205
-0.3387
-0.3379 14/02/2020 19/02/2020 132
120 -0.0213 -0.0220 -0.0362 -0.0376
0.9654 1.1982 0.9716 0.9012 0.9647 0.9927
0.0017 0.1007 0.0220 0.5379 0.4427 0.1253 0.1025 0.7979 0.6528
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