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P Calendar Based Trading RUT
P Calendar Based Trading RUT
live (public) 1.88% August 23
Delayed
Holdings (As of 06/30/2021)
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Asset | Fund in this portfolio | Price change* | Percentage |
---|---|---|---|
us asset | ^RUT (RUSSELL 2000 INDEX) | 0.07% | 100.00% |
* Day change on 06/30/2021.
Performance (As of 08/23/2021)
Since 09/15/1987
Name | YTD* Return |
1Yr AR** |
3Yr AR** |
5Yr AR** |
10Yr AR** |
15Yr AR** |
---|---|---|---|---|---|---|
P Calendar Based Trading RUT | 13.6% | 46.0% | 20.6% | 11.9% | 8.7% | 3.9% |
VFINX (Vanguard (S&P 500) Index) | 5.6% | 22.1% | 7.5% | 13.0% | 12.3% | 14.4% |
VBINX (Vanguard Balance (60% stocks/40% bonds) | 1.8% | 12.7% | 2.1% | 7.4% | 7.6% | 9.5% |
* YTD: Year to Date
** AR: Annualized Return
Last 1 Week* | 1 Yr | 3 Yr | 5 Yr | 10 Yr | 15 Yr | 20 Yr | Since 09/15/1987 |
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | 1997 | 1996 | 1995 | 1994 | 1993 | 1992 | 1991 | 1990 | 1989 | 1988 | 1987 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Annualized Return(%) | -0.1 | 46.0 | 20.6 | 11.9 | 8.7 | 3.9 | 5.3 | 10.4 | 13.6 | 41.2 | 11.6 | 2.4 | -7.9 | 5.8 | -0.1 | 4.4 | 18.6 | 6.8 | -8.0 | 2.9 | -0.3 | -26.2 | 5.5 | 9.7 | 16.0 | 8.4 | 30.8 | -19.2 | 5.1 | 51.4 | 17.1 | 3.7 | 34.7 | 11.5 | 17.5 | 7.2 | 8.0 | 15.3 | 31.2 | 5.7 | 25.4 | 32.2 | 8.9 |
Sharpe Ratio | NA | 2.28 | 1.27 | 0.84 | 0.65 | NA | NA | 0.66 | 0.66 | 2.5 | 0.95 | 0.09 | -1.11 | 0.49 | -0.01 | 0.44 | 2.07 | 0.65 | -0.42 | 0.17 | -0.02 | -1.0 | 0.2 | 0.6 | 1.36 | 0.71 | 2.77 | -1.33 | 0.18 | 2.54 | 1.71 | 0.03 | 4.34 | 1.48 | 2.77 | 0.62 | 0.99 | 2.1 | 3.89 | 0.06 | 4.64 | 4.05 | 0.42 |
Draw Down(%) | NA | 9.1 | 10.6 | 15.2 | 17.8 | NA | NA | 43.2 | 9.1 | 8.3 | 6.2 | 10.6 | 11.2 | 11.7 | 11.4 | 9.0 | 5.9 | 11.0 | 22.5 | 21.6 | 24.9 | 37.9 | 7.8 | 5.5 | 6.3 | 14.2 | 9.2 | 23.2 | 12.3 | 7.5 | 5.5 | 16.4 | 4.5 | 3.2 | 3.1 | 4.8 | 4.0 | 6.4 | 3.5 | 9.9 | 2.0 | 3.3 | 8.2 |
Standard Deviation(%) | NA | 20.2 | 15.7 | 13.3 | 12.7 | NA | NA | 12.7 | 20.5 | 16.4 | 10.8 | 12.1 | 7.7 | 11.5 | 10.8 | 10.0 | 9.0 | 10.3 | 19.0 | 16.8 | 23.0 | 27.2 | 12.3 | 10.7 | 10.2 | 10.5 | 10.9 | 15.3 | 15.0 | 18.7 | 8.1 | 13.8 | 7.2 | 5.4 | 4.9 | 6.8 | 6.0 | 6.1 | 7.1 | 7.3 | 4.2 | 6.8 | 18.4 |
Treynor Ratio | NA | 0.5 | 0.68 | 0.37 | 0.23 | NA | NA | 0.25 | 0.12 | 2.5 | 0.19 | 0.03 | -0.17 | 0.1 | 0.0 | 0.1 | 0.46 | 0.16 | -0.19 | 0.05 | -0.01 | -0.77 | 0.06 | 0.11 | 0.24 | 0.16 | 0.92 | -0.7 | 0.07 | 1.23 | 0.64 | 0.01 | 1.86 | 0.44 | 0.65 | 0.11 | 0.2 | 0.61 | 1.25 | 0.02 | 1.54 | 1.3 | 0.79 |
Alpha | NA | 0.05 | 0.06 | 0.03 | 0.01 | NA | NA | 0.02 | -0.04 | 0.13 | -0.01 | 0.02 | -0.07 | 0.0 | 0.0 | 0.0 | 0.03 | 0.01 | -0.03 | -0.02 | -0.04 | -0.05 | 0.01 | 0.0 | 0.05 | 0.01 | 0.07 | -0.06 | 0.04 | 0.17 | 0.04 | -0.03 | 0.09 | 0.02 | 0.03 | 0.02 | 0.02 | 0.05 | 0.08 | 0.01 | 0.06 | 0.09 | 0.13 |
Beta | NA | 0.92 | 0.29 | 0.31 | 0.36 | NA | NA | 0.33 | 1.1 | 0.16 | 0.54 | 0.43 | 0.5 | 0.54 | 0.38 | 0.43 | 0.41 | 0.42 | 0.43 | 0.6 | 0.51 | 0.35 | 0.42 | 0.61 | 0.58 | 0.47 | 0.33 | 0.29 | 0.37 | 0.38 | 0.22 | 0.39 | 0.17 | 0.18 | 0.21 | 0.37 | 0.3 | 0.21 | 0.22 | 0.2 | 0.13 | 0.21 | 0.1 |
RSquared | NA | 0.46 | 0.18 | 0.19 | 0.23 | NA | NA | 0.24 | 0.47 | 0.12 | 0.39 | 0.37 | 0.19 | 0.38 | 0.3 | 0.25 | 0.25 | 0.27 | 0.27 | 0.42 | 0.37 | 0.29 | 0.3 | 0.32 | 0.34 | 0.25 | 0.26 | 0.24 | 0.28 | 0.21 | 0.24 | 0.33 | 0.18 | 0.16 | 0.11 | 0.29 | 0.19 | 0.11 | 0.2 | 0.2 | 0.15 | 0.29 | 0.08 |
Sortino Ratio | NA | 3.64 | 1.95 | 1.27 | 0.96 | NA | NA | 0.94 | 1.01 | 4.07 | 1.42 | 0.12 | -1.47 | 0.7 | -0.02 | 0.6 | 3.23 | 0.99 | -0.57 | 0.23 | -0.02 | -1.23 | 0.26 | 0.89 | 2.05 | 0.96 | 5.2 | -1.69 | 0.27 | 4.33 | 2.76 | 0.04 | 8.18 | 2.13 | 4.44 | 0.86 | 1.21 | 3.22 | 8.38 | 0.07 | 8.31 | 6.79 | 0.78 |
Yield(%) | N/A | 0.01 | 0.45 | 0.46 | 0.25 | N/A | N/A | 1.38 | 0.0 | 0.11 | 0.93 | 0.85 | 0.35 | 0.13 | 0.02 | 0.01 | 0.02 | 0.03 | 0.02 | 0.06 | 0.05 | 0.45 | 1.92 | 2.02 | 1.43 | 0.65 | 0.45 | 0.62 | 1.42 | 3.12 | 2.23 | 2.05 | 2.54 | 2.29 | 2.48 | 1.91 | 1.42 | 1.57 | 2.75 | 3.44 | 3.92 | 3.38 | 0.83 |
Dividend Growth(%) | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
*: NOT annualized;YTD: Year to Date
**Inception: starting from 09/15/1987
Strategies
Asset Strategy | Calendar Based Trading |