Annualised Stats | MODELOMNI | US Equities | US Bonds |
---|---|---|---|
Return | 58.1% | 9.3% | 7.9% |
St. Dev. | 39.9% | 15.5% | 4.5% |
Downside Dev. | 41.5% | 17.3% | 4.7% |
Skew | 4% | -10% | -12% |
Sharpe | 1.46x | 0.60x | 1.77x |
Sortino | 1.40x | 0.54x | 1.70x |
US Equities Correlation | -7% | n/m | -41% |
US Bonds Correlation | 20% | -41% | n/m |
Weeks | 65 | 65 | 65 |
Positive Weeks | 61% | 57% | 60% |
Best / Worst Week | 1.3x | 0.7x | 0.6x |
Worst Draw | -19.5% | -17.1% | -2.5% |
Total Return | MODELOMNI | US Equities | US Bonds |
2018 | 13.5% | -11.7% | 2.1% |
2019 | 59.2% | 25.4% | 8.0% |
L12M | 58.3% | 14.9% | 11.5% |
68% | |||||
95% | |||||
-2 Std | -1 Std | Mean | +1 Std | +2 Std | |
---|---|---|---|---|---|
MODELOMNI | -2,166,760 | 1,823,500 | 5,813,760 | 9,804,020 | 13,794,280 |
US Equities | -2,159,988 | -613,106 | 933,775 | 2,480,657 | 4,027,539 |
US Bonds | -105,718 | 344,189 | 794,096 | 1,244,002 | 1,693,909 |
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