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Buy and Hold World Ex US Gov Bond — 2000 to 2021

Last Update: April 10, 2021 6:59 p.m. (6 days, 17 hours ago)
NOT AN INVESTMENT ADVICE. RESULTS ARE HYPOTHETICAL AND SIMULATED. READ OUR DISCLAIMER.

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Logarithmic Equity Curve with Drawdown

Linear Equity Curve with Drawdown

Underwater Equity Curve

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Yearly Percent Returns

Yearly Percent Returns Distribution

Yearly Performance Summary

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Monthly Percent Returns

Monthly Percent Returns Distribution

Percent Returns Heatmap

Monthly Performance Summary

Overall Summary
Model Benchmark
Start Date 2000-01-01
End Date 2021-04-09
Time Elapsed 21 years, 3 months
Starting Equity $100,000.00
Ending Equity $239,483.38
CAGR % 4.19%
Max % Drawdown (8.52%)
Standard Deviation 1.14%
Annualized Sharpe 0.31
MAR Ratio 0.49
Win Rate % 0.0%
Avg Win / Loss Ratio
Expectancy
Avg Win % 0.00%
Avg Loss % 0.00%
Longest Drawdown Duration 19.6 months
Avg Trades Per Year 0.00
Equity Breakdown
Model Benchmark
Starting Equity $100,000.00
Ending Equity $239,483.38
Open Equity $139,483.38
Gross Profit $0.00
Gross Loss $0.00
Net Profit $0.00
Net Long Profit $0.00
Net Short Profit $0.00
Net Long Profit as % of Net Profit
Net Short Profit as % of Net Profit
Earned Dividends $0.00
Earned Interest $0.00
Margin Interest $0.00
Total Slippage $0.00
Total Forex Carry $0.00
Total Commissions $0.00
Expenses
Model Benchmark
Margin Interest $0.00
Total Commissions $0.00
Round Turns 0.0
Commissions Per Round Turn $0.00
Slippage Per Round Turn $0.00
Risk / Reward
Model Benchmark
MAR Ratio 0.49
Calmar Ratio 0.54
Modified Sharpe Ratio 1.06
Robust Sharpe Ratio 1.09
R-Squared 0.9780
Profit Expectation
Model Benchmark
CAGR % 4.19%
RAR 4.32%
Profit Factor 0.00
Percent Profit Factor 0.00
Expectancy
Percentage Expectancy 0.00
Total Equity Drawdowns
Model Benchmark
Max % Drawdown (8.52%)
Longest Drawdown Duration 19.6 months
Max Monthly % Drawdown (7.70%)
Avg of Top-5 Max % Drawdowns (6.30%)
Avg Duration of Top-5 Longest Drawdowns 14.8 months
Avg of All % Drawdowns (0.55%)
Std Dev of All % Drawdowns 1.01%
Closed Equity Drawdowns
Model Benchmark
Closed-Equity Max % Drawdown 0.00%
Closed-Equity Max Monthly % Drawdown 0.00%
Closed-Equity Avg of All % Drawdown 0.00%
Closed-Equity Std Dev of All % Drawdown 0.00%
Trades
Model Benchmark
Win Rate % 0.0%
Lose Rate % 0.0%
Winning Trades 0
Losing Trades 0
Total Trades 0
Max Consecutive Wins 0
Max Consecutive Losses 0
Avg Trade Duration 0.0 days
Avg Winning Trade Duration 0.0 days
Avg Losing Trade Duration 0.0 days
Largest Winning Trade $0.00
Largest Losing Trade $0.00
Largest Win as % of Net Profit
Avg Win $0.00
Avg Loss $0.00
Avg Win / Loss Ratio
Avg Trade $0.00
Avg Win % 0.00%
Avg Loss % 0.00%
Avg Trade % 0.00%
Avg Risk % 0.00%
Avg Trades Per Year 0.00
Avg Trades Per Month 0.00
Avg Trades Per Day 0.00
Monthly Win / Loss Profile
Model Benchmark
Winning Months % 67.2%
Losing Months % 32.8%
Winning Months 172
Losing Months 84
Total Months 256
Max Consecutive Winning Months 15
Max Consecutive Losing Months 7
Yearly Win / Loss Profile
Model Benchmark
Winning Years % 86.4%
Losing Years % 13.6%
Winning Years 19
Losing Years 3
Total Years 22
Max Consecutive Winning Years 13
Max Consecutive Losing Years 1
Rolling Periods
Model Benchmark
Rolling 3-Month Win Rate 75.6%
Rolling 6-Month Win Rate 80.9%
Rolling 12-Month Win Rate 88.2%
Rolling 3-Year Win Rate 100.0%
Rolling 5-Year Win Rate 100.0%
Rolling 10-Year Win Rate 100.0%
Rolling 3-Month Periods 254
Rolling 6-Month Periods 251
Rolling 12-Month Periods 245
Rolling 3-Year Periods 20
Rolling 5-Year Periods 18
Rolling 10-Year Periods 13
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Trade By Trade Chart
Instrument


Profit % Distribution

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Last Available Instrument Data

Current Open Positions

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New Open Orders

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