P GS FundX Value Fundss Yearly Portfolio Statistics
From 12/31/1998 To 11/09/2023| 1 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 (%) | -0.9 | 3.5 | 5.3 | 4.2 | 7.9 | -2.1 | -8.8 | 19.6 | 12.7 | 7.5 | -6.3 | 11.6 | 5.2 | -5.1 | 8.0 | 21.3 | 1.5 | -1.0 | 9.5 | 8.4 | 6.0 | 8.0 | 25.8 | 9.6 | 23.0 | 22.8 | 17.1 | 6.6 | 8.2 | -2.1 | 0.0 |
| Sharpe Ratio (%) | -48.1 | 16.1 | 36.0 | 34.5 | 66.2 | -56.7 | -118.9 | 144.8 | 94.1 | 71.1 | -90.3 | 153.2 | 63.9 | -68.2 | 91.9 | 208.5 | 18.8 | -7.4 | 73.4 | 63.8 | 49.7 | 41.9 | 160.7 | 77.4 | 223.1 | 270.4 | 206.7 | 53.2 | 49.3 | -82.8 | NA |
| Alpha(%) | -0.05 | 0.0 | 0.01 | 0.01 | 0.02 | -0.05 | -0.02 | 0.0 | 0.05 | 0.04 | -0.02 | -0.03 | 0.01 | -0.02 | 0.0 | -0.01 | 0.0 | 0.0 | 0.0 | 0.02 | 0.01 | 0.01 | 0.04 | 0.02 | 0.04 | 0.07 | 0.06 | 0.02 | 0.03 | -0.03 | NA |
| Beta | 0.74 | 0.54 | 0.23 | 0.32 | 0.26 | 0.86 | 0.27 | 1.2 | -0.02 | -0.14 | 0.61 | 1.43 | 0.24 | 0.44 | 0.78 | 1.41 | 0.05 | -0.09 | 0.86 | 0.14 | -0.14 | 0.96 | 1.35 | 1.07 | 1.14 | 0.09 | -0.02 | 0.36 | 0.41 | 0.19 | NA |
| RSquare | 0.54 | 0.34 | 0.08 | 0.13 | 0.09 | 0.57 | 0.26 | 0.58 | 0.0 | 0.01 | 0.51 | 0.65 | 0.06 | 0.25 | 0.36 | 0.9 | 0.0 | 0.01 | 0.5 | 0.03 | 0.1 | 0.55 | 0.42 | 0.54 | 0.65 | 0.01 | 0.0 | 0.32 | 0.47 | 0.1 | NA |
| Standard Deviation(%) | 10.6 | 10.9 | 11.0 | 9.6 | 10.1 | 10.4 | 8.6 | 13.5 | 13.3 | 8.5 | 8.4 | 7.1 | 7.8 | 7.5 | 8.7 | 10.2 | 7.9 | 13.8 | 12.8 | 12.9 | 10.2 | 11.8 | 14.0 | 9.5 | 9.9 | 8.2 | 7.7 | 8.0 | 8.4 | 6.5 | NA |
| Treynor Ratio(%) | -6.9 | 3.2 | 17.5 | 10.4 | 25.4 | -6.8 | -37.4 | 16.3 | -597.8 | -42.4 | -12.4 | 7.6 | 20.9 | -11.8 | 10.2 | 15.1 | 27.8 | 11.7 | 11.0 | 57.6 | -36.0 | 5.2 | 16.7 | 6.9 | 19.4 | 240.1 | -878.1 | 11.8 | 10.1 | -28.4 | NA |
| Draw Down(%) | 11.9 | 12.9 | 15.5 | 15.5 | 15.5 | 11.9 | 11.0 | 7.5 | 15.5 | 6.1 | 12.4 | 2.9 | 6.7 | 10.5 | 5.4 | 7.3 | 7.4 | 7.4 | 13.0 | 7.3 | 10.7 | 9.4 | 15.5 | 6.1 | 10.3 | 8.2 | 4.6 | 5.7 | 4.8 | 7.0 | 0.0 |
| Sortino Ratio(%) | -64.6 | 22.6 | 50.2 | 47.4 | 92.3 | -76.0 | -154.4 | 214.1 | 129.0 | 100.4 | -108.9 | 221.0 | 88.9 | -88.4 | 125.8 | 299.3 | 24.6 | -10.0 | 102.7 | 91.7 | 69.3 | 55.0 | 231.3 | 114.0 | 317.4 | 409.3 | 330.3 | 76.1 | 72.0 | -108.1 | NA |