P GS FundX Fundss Yearly Portfolio Statistics
From 12/31/1998 To 11/09/20231 Yr | 3 Yr | 5 Yr | 10 Yr | Inception | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Annualized Return (%) | -1.9 | 5.1 | 5.2 | 5.3 | 8.1 | -1.5 | -10.4 | 23.6 | 12.2 | 11.2 | -6.1 | 17.1 | 0.7 | -3.8 | 13.1 | 10.6 | 9.6 | -12.5 | 8.7 | 19.5 | -4.2 | 7.9 | 19.6 | 7.4 | 19.2 | 29.2 | 1.7 | 4.0 | 17.6 | 21.4 | 0.0 |
Sharpe Ratio (%) | -87.2 | 35.1 | 40.5 | 50.3 | 61.7 | -71.3 | -124.8 | 208.0 | 125.3 | 139.1 | -77.1 | 285.7 | 5.9 | -44.5 | 154.0 | 96.7 | 99.4 | -67.0 | 47.0 | 138.8 | -54.0 | 30.7 | 148.2 | 47.9 | 106.8 | 283.9 | 8.8 | 29.9 | 117.7 | 195.5 | NA |
Alpha(%) | -0.04 | 0.01 | 0.0 | 0.0 | 0.02 | -0.04 | -0.03 | 0.02 | 0.03 | -0.02 | -0.02 | 0.0 | -0.02 | -0.02 | 0.01 | -0.06 | -0.01 | -0.07 | -0.04 | 0.05 | -0.02 | 0.0 | 0.02 | 0.01 | 0.04 | 0.09 | 0.01 | 0.01 | 0.06 | 0.05 | NA |
Beta | 0.45 | 0.55 | 0.39 | 0.51 | 0.5 | 0.64 | 0.32 | 1.18 | 0.19 | 0.74 | 0.85 | 1.23 | 0.78 | 0.79 | 1.13 | 1.47 | 1.12 | 1.13 | 1.6 | 0.35 | 0.02 | 1.38 | 1.27 | 0.94 | 0.89 | 0.17 | 0.16 | 0.14 | 0.38 | 0.62 | NA |
RSquare | 0.46 | 0.44 | 0.33 | 0.41 | 0.27 | 0.64 | 0.3 | 0.8 | 0.17 | 0.56 | 0.75 | 0.73 | 0.56 | 0.62 | 0.77 | 0.86 | 0.73 | 0.68 | 0.86 | 0.17 | 0.0 | 0.64 | 0.59 | 0.32 | 0.13 | 0.03 | 0.11 | 0.09 | 0.22 | 0.55 | NA |
Standard Deviation(%) | 6.9 | 9.7 | 9.3 | 8.7 | 11.2 | 7.3 | 9.5 | 11.4 | 9.5 | 7.1 | 9.7 | 5.8 | 8.2 | 8.7 | 8.5 | 10.9 | 9.6 | 18.7 | 18.3 | 14.0 | 9.6 | 15.8 | 11.0 | 10.8 | 17.1 | 10.0 | 6.7 | 5.7 | 11.4 | 9.3 | NA |
Treynor Ratio(%) | -13.6 | 6.2 | 9.6 | 8.6 | 13.7 | -8.1 | -36.8 | 20.0 | 62.2 | 13.2 | -8.7 | 13.3 | 0.6 | -4.9 | 11.6 | 7.2 | 8.5 | -11.1 | 5.4 | 56.2 | -274.8 | 3.5 | 12.9 | 5.5 | 20.6 | 163.1 | 3.7 | 12.5 | 35.6 | 29.3 | NA |
Draw Down(%) | 7.3 | 12.8 | 12.8 | 12.8 | 23.0 | 7.3 | 12.6 | 5.8 | 9.3 | 4.5 | 12.5 | 2.5 | 6.2 | 9.7 | 5.4 | 10.7 | 7.9 | 23.0 | 15.3 | 6.7 | 14.1 | 10.8 | 9.3 | 7.2 | 11.5 | 7.3 | 8.9 | 4.4 | 7.6 | 4.4 | 0.0 |
Sortino Ratio(%) | -112.4 | 48.4 | 54.7 | 68.3 | 85.6 | -92.1 | -162.1 | 296.7 | 166.9 | 193.3 | -97.7 | 463.2 | 7.8 | -59.1 | 222.1 | 131.2 | 143.8 | -84.3 | 65.4 | 204.2 | -70.7 | 41.9 | 224.2 | 67.4 | 155.1 | 449.6 | 12.2 | 41.8 | 171.0 | 297.8 | NA |