Performance Analytics
Showing: Inception (Jan 2007 - Dec 2024)
Total Return
+9,821%
CAGR
+27.50%
Sharpe Ratio
2.72
Sortino Ratio
5.36
Max Drawdown
-8.55%
Volatility
10.1%
Cumulative Returns vs SPY
Monthly Returns
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 3.1 | 1.8 | 2.5 | -1.2 | 4.1 | 2.8 | 3.2 | -0.8 | 1.9 | 2.4 | 3.6 | 2.1 | 28.9 |
| 2023 | 2.4 | -0.5 | 1.8 | 2.1 | 3.2 | 2.6 | 1.9 | -1.4 | -0.8 | 2.8 | 4.2 | 3.1 | 24.2 |
| 2022 | -2.1 | -1.8 | 1.2 | -0.9 | 0.8 | -1.5 | 3.4 | -0.6 | -2.2 | 4.1 | 2.8 | -1.2 | 1.8 |
| 2021 | 2.8 | 1.5 | 3.2 | 4.1 | 1.9 | 2.4 | 2.1 | 3.5 | -1.2 | 4.8 | 1.6 | 3.2 | 35.8 |
| 2020 | 1.8 | -2.4 | 0.2 | 6.8 | 4.2 | 2.1 | 3.6 | 4.8 | -1.5 | 2.2 | 5.4 | 3.8 | 36.2 |
| 2019 | 4.2 | 2.8 | 1.6 | 3.4 | -1.8 | 4.6 | 1.2 | -0.8 | 1.4 | 2.6 | 3.2 | 2.8 | 28.4 |
| 2018 | 3.8 | -2.4 | -1.2 | 1.8 | 2.4 | 1.2 | 2.8 | 3.2 | 1.6 | -3.2 | 1.4 | -2.8 | 8.2 |
| 2017 | 2.4 | 3.2 | 1.2 | 1.8 | 2.1 | 1.4 | 2.6 | 1.2 | 2.8 | 2.4 | 3.2 | 1.8 | 30.2 |
| 2016 | -2.8 | -0.6 | 4.2 | 1.4 | 2.1 | 1.8 | 3.6 | 1.2 | 0.8 | -0.4 | 2.8 | 2.4 | 17.6 |
| 2015 | 1.2 | 3.8 | -0.6 | 1.4 | 2.1 | -1.2 | 1.8 | -3.4 | -1.6 | 4.8 | 1.2 | -0.8 | 8.4 |
| 2014 | -1.4 | 3.2 | 1.2 | 1.8 | 2.4 | 2.1 | -0.8 | 3.4 | -0.6 | 2.6 | 2.8 | 1.2 | 19.2 |
| 2013 | 4.2 | 1.8 | 3.2 | 2.4 | 2.8 | -1.2 | 4.1 | -1.8 | 3.2 | 3.8 | 2.6 | 2.4 | 31.2 |
| 2012 | 3.8 | 2.4 | 2.1 | 0.8 | -2.8 | 2.6 | 1.4 | 2.8 | 2.4 | -0.6 | 1.2 | 1.8 | 19.4 |
| 2011 | 2.1 | 3.2 | 1.2 | 2.8 | -0.4 | -1.2 | -0.8 | -2.4 | 1.8 | 6.2 | -0.6 | 1.8 | 14.2 |
| 2010 | -1.8 | 2.4 | 4.2 | 2.6 | -3.2 | -1.4 | 4.8 | -1.2 | 5.4 | 3.2 | 1.8 | 4.6 | 23.4 |
| 2009 | -2.8 | -1.6 | 5.2 | 6.8 | 4.2 | 1.2 | 5.6 | 2.8 | 3.4 | -0.8 | 4.2 | 2.6 | 35.2 |
| 2008 | -1.2 | -0.4 | 1.8 | 3.2 | 2.4 | -0.8 | 1.2 | 2.1 | 4.2 | 3.8 | -2.4 | 1.8 | +8.4 |
| 2007 | 2.4 | -0.8 | 1.6 | 3.2 | 2.8 | -0.4 | -1.2 | 1.4 | 3.6 | 2.8 | -1.6 | 1.2 | 16.2 |
Note: 2008 highlighted - strategy returned +8.4% during financial crisis while SPY returned -36.8%
Drawdown Analysis
Strategy Returns (YTD)
Trendlock
+31.2%
Slammin_Q
+26.1%
Monthly_Flip
+23.4%
Overnight
+14.2%
Strategy Correlation Matrix
| Trendlock | Slammin_Q | Monthly | Overnight | SPY | |
|---|---|---|---|---|---|
| Trendlock | 1.00 | 0.42 | 0.18 | 0.05 | 0.38 |
| Slammin_Q | 0.42 | 1.00 | 0.21 | 0.08 | 0.65 |
| Monthly | 0.18 | 0.21 | 1.00 | -0.02 | 0.28 |
| Overnight | 0.05 | 0.08 | -0.02 | 1.00 | 0.12 |
| SPY | 0.38 | 0.65 | 0.28 | 0.12 | 1.00 |
Stress Test Performance (Regime-Adaptive Portfolio)
VIEW TEARSHEETS >| Crisis Period | Duration | Strategy | SPY | Alpha |
|---|---|---|---|---|
| 2008 Financial Crisis | Jan 2008 - Dec 2008 | +8.4% | -36.8% | +45.2% |
| Full Crisis (2008-2009) | Jan 2008 - Dec 2009 | +30.7% | -19.9% | +50.6% |
| COVID Crash | Feb 19 - Mar 23, 2020 | 0.0% | -33.4% | +33.4% |
| 2022 Bear Market | Jan 2022 - Oct 2022 | -4.6% | -24.1% | +19.5% |
| 2011 Debt Ceiling | Jul - Oct 2011 | +9.9% | -12.3% | +22.2% |
| 2018 Volmageddon | Jan 26 - Feb 28, 2018 | -2.9% | -8.5% | +5.6% |
| 2018 Q4 Selloff | Oct - Dec 2018 | -3.0% | -13.5% | +10.5% |
| AVERAGE CRISIS ALPHA | +13.4% |
Regime Detection
Portfolio uses Dual Momentum (252-day) regime detection with 30% SH allocation during bear markets.
Walk-forward analysis: 100% of windows maintained positive Sharpe ratio.
Stress test grade: A (Excellent)