Data Center | Algorithmic Investment Models

Name	AGG	AIM:A	AIM:C	AIM:E	AIM:M	AIM:U
dateFirst	2019-05-20	2019-05-20	2019-05-20	2019-05-20	2019-05-20	2019-05-20
dateLast	2024-05-17	2024-05-17	2024-05-17	2024-05-17	2024-05-17	2024-05-17
n	1259	1259	1259	1259	1259	1259
CmpdAnnRet	0.0008	0.0762	0.0415	0.1120	0.0589	0.0775
CmpdAnnStd	0.0672	0.1854	0.0662	0.2049	0.1294	0.1515
TerminalValue	1.0041	1.4433	1.2255	1.6999	1.3310	1.4522
Peak	1.1322	1.4579	1.2374	1.7021	1.3463	1.4525
Trough	0.9235	0.8036	0.9577	0.6755	0.8294	0.8015
PctOffPeak	-11.3100	-1.0000	-0.9600	-0.1300	-1.1300	-0.0200
PctOffTrough	8.7300	79.6000	27.9600	151.6500	60.4800	81.1900
PeriodsSincePeak	953	2	36	35	35	2
PeriodsSinceTrough	395	1046	1048	1046	1049	1046
MaxDrawDown	-0.1844	-0.3280	-0.1329	-0.3887	-0.2849	-0.2786
MaxDrawUp	0.1339	0.8141	0.2920	1.5198	0.6232	0.8122
PeriodsToMaxDrawDown	558	23	21	44	24	44
PeriodsToMaxDrawUp	304	1044	1012	1011	1014	1044
MaxSpanDown	953	575	633	444	563	573
UpPct	51.7900	54.2500	54.3300	53.4600	54.7300	53.5300
MinReturn	-0.0400	-0.1321	-0.0390	-0.1281	-0.0907	-0.0840
MaxReturn	0.0237	0.0959	0.0297	0.0952	0.0741	0.0691
MedReturn	0.0002	0.0008	0.0003	0.0007	0.0005	0.0005
AvgReturn	1.217e-05	0.0004	0.0002	0.0005	0.0003	0.0003
StdReturn	0.0042	0.0115	0.0042	0.0127	0.0080	0.0095
AvgGain	0.0027	0.0070	0.0026	0.0081	0.0046	0.0062
AvgLoss	-0.0030	-0.0075	-0.0027	-0.0082	-0.0050	-0.0064
StdGain	0.0028	0.0077	0.0029	0.0085	0.0052	0.0063
StdLoss	0.0034	0.0102	0.0035	0.0110	0.0077	0.0079
alpha	-9.68e-05	-0.0002	-2.232e-05	-8.449e-05	-9.308e-05	-0.0001
beta	0.0552	0.7706	0.2034	0.9044	0.4881	0.6735
rsqAlphaBeta	0.0305	0.7823	0.4209	0.8822	0.6422	0.8830
Sharpe	-0.2501	0.3875	0.3544	0.5315	0.3596	0.4424
InfoRatio	-0.7611	-0.7296	-0.6819	-0.4839	-0.7307	-0.8844
Sortino	-0.3071	0.4356	0.4156	0.6127	0.3754	0.5312
MAR	0.0045	0.2324	0.3125	0.2882	0.2067	0.2782
Treynor	-0.2999	0.0917	0.1144	0.1185	0.0939	0.0986
UpsideRisk	0.0028	0.0077	0.0029	0.0085	0.0052	0.0063
DownsideRisk	0.0034	0.0102	0.0035	0.0110	0.0077	0.0079
PortfolioVolatility	0.0669	0.1824	0.0660	0.2015	0.1274	0.1500
BenchmarkVolatility	0.2092	0.2092	0.2092	0.2092	0.2092	0.2092
ResidualStdReturn	0.0131	0.0062	0.0110	0.0045	0.0083	0.0054
ResidualAvgReturn	-0.0006	-0.0003	-0.0005	-0.0001	-0.0004	-0.0003
ResidualUpPct	44.6400	47.1800	45.1900	48.1300	45.6700	46.3900
RelativeTerminalValue	0.4999	0.7186	0.6101	0.8463	0.6627	0.7230
RelativeCmpdAnnRet	-0.1296	-0.0640	-0.0942	-0.0329	-0.0791	-0.0629
RelativeMAR	-0.2080	-0.1977	-0.1886	-0.1691	-0.2073	-0.2089
UpsideCapture	0.0148	0.4781	0.0656	0.6928	0.2017	0.4058
DownsideCapture	0.1298	0.9070	0.3642	0.9588	0.7000	0.8719
UpNumberRatio	0.5437	0.8294	0.7259	0.8673	0.7857	0.8644
DownNumberRatio	0.5079	0.8039	0.6760	0.8651	0.7391	0.8616
UpPercentageRatio	0.0977	0.3265	0.0918	0.3717	0.1837	0.2259
DownPercentageRatio	0.8651	0.6445	0.8844	0.6130	0.7846	0.7478
CountBenchmarkUp	686	686	686	686	686	686
CountBenchmarkFlat	2	2	2	2	2	2
CountBenchmarkDown	571	571	571	571	571	571
CountPortfolioUpWhenBenchmarkUp	373	569	498	595	539	593
CountPortfolioDownWhenBenchmarkDown	290	459	386	494	422	492
CountPortfolioOutperformedWhenBenchmarkUp	67	224	63	255	126	155
CountPortfolioOutperformedWhenBenchmarkDown	494	368	505	350	448	427
PortfolioUpsideCAGR	0.1121	3.6289	0.4981	5.2584	1.5311	3.0799
PortfolioFlatCAGR	-0.4419	0.8897	-0.0142	-0.1542	-0.0954	0.1036
PortfolioDownsideCAGR	-0.1165	-0.8139	-0.3268	-0.8603	-0.6281	-0.7824
PortfolioTotalCAGR	0.0008	0.0762	0.0415	0.1120	0.0589	0.0775
BenchmarkUpsideCAGR	7.5903	7.5903	7.5903	7.5903	7.5903	7.5903
BenchmarkFlatCAGR	0.0e+00	0.0e+00	0.0e+00	0.0e+00	0.0e+00	0.0e+00
BenchmarkDownsideCAGR	-0.8973	-0.8973	-0.8973	-0.8973	-0.8973	-0.8973
BenchmarkTotalCAGR	0.1498	0.1498	0.1498	0.1498	0.1498	0.1498
ResidualAvgGain	0.0092	0.0043	0.0077	0.0034	0.0059	0.0038
ResidualAvgLoss	-0.0085	-0.0044	-0.0072	-0.0034	-0.0057	-0.0039
ResidualStdGain	0.0107	0.0043	0.0086	0.0029	0.0061	0.0038
ResidualStdLoss	0.0089	0.0044	0.0076	0.0031	0.0058	0.0037
dateMinReturn	2020-03-12	2020-03-16	2020-03-12	2020-03-16	2020-03-16	2020-03-16
dateMaxReturn	2020-03-23	2020-03-13	2020-03-24	2020-03-13	2020-03-13	2020-03-24
datePeak	2020-08-04	2024-05-15	2024-03-27	2024-03-28	2024-03-28	2024-05-15
dateTrough	2022-10-20	2020-03-23	2020-03-19	2020-03-23	2020-03-18	2020-03-23
dateMaxDrawDown	2022-10-20	2020-03-23	2020-03-19	2020-03-23	2020-03-18	2020-03-23
dateMaxDrawUp	2020-08-04	2024-05-15	2024-03-27	2024-03-28	2024-03-28	2024-05-15
dateMaxSpanDown	2024-05-17	2024-02-26	2024-03-07	2023-06-13	2023-12-08	2024-02-21
dateMaxPositiveRun	2019-06-03	2021-02-16	2019-08-08	2024-01-30	2019-08-08	2023-04-03
dateMaxNegativeRun	2022-01-10	2020-02-28	2022-09-27	2022-01-27	2020-02-28	2022-01-27
PerformanceVariable	d1	d1	d1	d1	d1	d1
PeriodsPerYear	252.0000	252.0000	252.0000	252.0000	252.0000	252.0000
BenchmarkSymbol	SPY	SPY	SPY	SPY	SPY	SPY
RiskFreeSymbol	SHV	SHV	SHV	SHV	SHV	SHV