S&P 500: fact sheet
Every number of the InvestWealth System for S&P 500 next to simply buying and holding SPDR S&P 500 ETF (SPY): Jan 1993 to Jul 2026, 33.5 years, trading costs included.
From 1993 to 2026 the InvestWealth System for S&P 500 grew 12.1% a year against 10.8% for buy & hold, with a worst fall of 29.5% against 55.2%. Its biggest lead over buy & hold came in 2008 (+42 points, a year when buy & hold lost 37%).
Hypothetical backtest · full sample · data to 31 Jul 2026 (3-month delay, so no current position can be read off this page) · about S&P 500
CAGR
12.1%
Buy & hold 10.8%
Sharpe ratio
0.73
Buy & hold 0.51
Max drawdown
-29.5%
Buy & hold -55.2%
Calmar ratio
0.41
Buy & hold 0.20
Volatility
13.5%
Buy & hold 18.6%
Longest time under water
2.4 years
Buy & hold 6.6 years
Positive years
84%
Buy & hold 81%
Time invested
81%
Buy & hold 100%
Growth of 100
InvestWealth System vs buy & hold · log scaleDrawdownfall from the previous high · time under water
Key statistics
Green = better than buy & hold. Hover or tap a name for what it means.
| Statistic | InvestWealth System | Buy & hold |
|---|---|---|
| Return | ||
| CAGR | 12.08% | 10.79% |
| Total return | 4,463% | 2,998% |
| Best year | 34.0% | 38.0% |
| Worst year | -22.4% | -36.8% |
| Risk | ||
| Volatility | 13.5% | 18.6% |
| Max drawdown | -29.5% | -55.2% |
| Average drawdown | -1.7% | -1.9% |
| Longest time under water | 2.4 years | 6.6 years |
| Time below a previous high | 88% | 90% |
| Falls of 20 % or more | 3 | 4 |
| Ulcer index | 6.42% | 14.45% |
| Return per unit of risk | ||
| Sharpe ratio | 0.73 | 0.51 |
| Sortino ratio | 1.02 | 0.72 |
| Calmar ratio | 0.41 | 0.20 |
| Consistency | ||
| Positive years | 84% | 81% |
| Positive months | 69% | 65% |
| Worst month | -10.7% | -16.5% |
| Skew (monthly) | -0.17 | -0.55 |
| How the strategy behaves | ||
| Time invested | 81% | 100% |
| Switches per year | 0.7 | – |
| Trading costs per year | 0.33% | – |
All statistics (46 numbers)
| Statistic | InvestWealth System | Buy & hold |
|---|---|---|
| Return | ||
| CAGR | 12.08% | 10.79% |
| Total return | 4,463% | 2,998% |
| Best year | 34.0% | 38.0% |
| Worst year | -22.4% | -36.8% |
| Best month | 13.5% | 12.7% |
| Worst month | -10.7% | -16.5% |
| Best day | 7.46% | 14.52% |
| Worst day | -7.00% | -10.94% |
| Average up month | 2.74% | 3.37% |
| Average down month | -2.83% | -3.57% |
| Risk and drawdowns | ||
| Volatility | 13.5% | 18.6% |
| Max drawdown | -29.5% | -55.2% |
| Average drawdown | -1.7% | -1.9% |
| Longest time under water | 2.4 years | 6.6 years |
| Average time under water | 22 days | 26 days |
| Time below a previous high | 88% | 90% |
| Falls of 10 % or more | 13 | 12 |
| Falls of 20 % or more | 3 | 4 |
| Ulcer index | 6.42% | 14.45% |
| Value at risk (95 %, 1 day) | -1.39% | -1.80% |
| Expected shortfall (95 %, 1 day) | -2.03% | -2.78% |
| Return per unit of risk | ||
| Sharpe ratio | 0.73 | 0.51 |
| Sortino ratio | 1.02 | 0.72 |
| Calmar ratio | 0.41 | 0.20 |
| Omega ratio | 1.18 | 1.13 |
| Gain/pain ratio | 1.15 | 0.76 |
| Profit factor (monthly) | 2.15 | 1.76 |
| Tail ratio | 0.98 | 0.94 |
| Recovery factor | 151.5 | 54.3 |
| Distribution | ||
| Skew (monthly) | -0.17 | -0.55 |
| Kurtosis (monthly, excess) | 0.72 | 0.98 |
| Skew (daily) | -0.40 | -0.01 |
| Kurtosis (daily, excess) | 4.93 | 11.83 |
| Consistency | ||
| Positive years | 84% | 81% |
| Positive months | 69% | 65% |
| Positive days | 57.4% | 54.5% |
| Longest winning streak | 23 | 15 |
| Longest losing streak | 7 | 5 |
| Compared with buy & hold | ||
| Beta to buy & hold | 0.46 | – |
| Correlation with buy & hold | 0.63 | – |
| Up-month capture | 77% | – |
| Down-month capture | 55% | – |
| How the strategy behaves | ||
| Time invested | 81% | 100% |
| Average exposure | 78% | 100% |
| Switches per year | 0.7 | – |
| Trading costs per year | 0.33% | – |
Every calendar year
InvestWealth SystemBuy & hold
Table: every year, strategy vs buy & hold
| Year | InvestWealth System | Buy & hold | Difference |
|---|---|---|---|
| 2026 (part) | +10.1% | +10.1% | 0.0 pts |
| 2025 | +14.6% | +17.7% | -3.1 pts |
| 2024 | +24.7% | +24.9% | -0.2 pts |
| 2023 | +26.2% | +26.2% | +0.0 pts |
| 2022 | -22.4% | -18.2% | -4.2 pts |
| 2021 | +28.6% | +28.7% | -0.2 pts |
| 2020 | +16.5% | +18.3% | -1.9 pts |
| 2019 | +19.5% | +31.2% | -11.7 pts |
| 2018 | +7.6% | -4.6% | +12.1 pts |
| 2017 | +21.7% | +21.7% | 0.0 pts |
| 2016 | +26.2% | +12.0% | +14.2 pts |
| 2015 | -4.0% | +1.2% | -5.3 pts |
| 2014 | +13.5% | +13.5% | 0.0 pts |
| 2013 | +32.3% | +32.3% | 0.0 pts |
| 2012 | +16.8% | +16.0% | +0.8 pts |
| 2011 | -10.0% | +1.9% | -11.9 pts |
| 2010 | +18.5% | +15.1% | +3.4 pts |
| 2009 | +4.5% | +26.4% | -21.9 pts |
| 2008 | +5.1% | -36.8% | +41.9 pts |
| 2007 | +4.2% | +5.1% | -0.9 pts |
| 2006 | +15.8% | +15.8% | 0.0 pts |
| 2005 | +4.8% | +4.8% | 0.0 pts |
| 2004 | +10.7% | +10.7% | 0.0 pts |
| 2003 | +21.2% | +28.2% | -7.0 pts |
| 2002 | +6.9% | -21.6% | +28.5 pts |
| 2001 | +3.5% | -11.8% | +15.2 pts |
| 2000 | -4.1% | -9.7% | +5.7 pts |
| 1999 | +17.0% | +20.4% | -3.4 pts |
| 1998 | +19.1% | +28.7% | -9.6 pts |
| 1997 | +20.2% | +33.5% | -13.3 pts |
| 1996 | +20.0% | +22.5% | -2.5 pts |
| 1995 | +34.0% | +38.0% | -4.1 pts |
| 1994 | -3.4% | +0.4% | -3.8 pts |
| 1993 (part) | +8.7% | +8.7% | 0.0 pts |
(part) = the first and last year are not complete calendar years. Best and worst year in the statistics count full years only.
Every month
Monthly returns of the InvestWealth System. The last two columns: the whole year, strategy and buy & hold.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year | B&H |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.5 | -0.9 | -4.9 | 10.5 | 5.3 | -1.0 | 0.0 | 10.1 | 10.1 | |||||
| 2025 | 2.7 | -1.3 | -5.4 | -1.7 | 4.2 | 5.1 | 2.3 | 2.1 | 3.6 | 2.4 | 0.2 | 0.1 | 14.6 | 17.7 |
| 2024 | 1.6 | 5.2 | 3.3 | -4.0 | 5.1 | 3.5 | 1.2 | 2.2 | 2.1 | -0.9 | 6.0 | -2.4 | 24.7 | 24.9 |
| 2023 | 6.7 | -5.1 | 6.2 | 1.6 | 0.5 | 6.5 | 3.3 | -1.6 | -4.7 | -2.2 | 9.1 | 4.6 | 26.2 | 26.2 |
| 2022 | -5.3 | -2.4 | 2.0 | -8.9 | -2.8 | -1.4 | -0.1 | -3.7 | -5.6 | -3.9 | 7.8 | 0.2 | -22.4 | -18.2 |
| 2021 | -1.0 | 2.8 | 4.5 | 5.3 | 0.7 | 2.2 | 2.4 | 3.0 | -4.7 | 7.0 | -0.8 | 4.5 | 28.6 | 28.7 |
| 2020 | 0.0 | -8.0 | -3.8 | 4.1 | 4.5 | 1.0 | 5.2 | 7.0 | -4.1 | -2.6 | 9.8 | 3.7 | 16.5 | 18.3 |
| 2019 | 1.4 | 3.2 | 1.8 | 4.1 | -6.6 | 4.3 | 1.5 | -1.9 | 1.8 | 2.2 | 3.6 | 2.9 | 19.5 | 31.2 |
| 2018 | 5.6 | -4.6 | -3.0 | 0.0 | 2.4 | 0.6 | 3.7 | 3.2 | 0.6 | -7.2 | 1.3 | 5.4 | 7.6 | -4.6 |
| 2017 | 1.8 | 3.9 | 0.1 | 1.0 | 1.4 | 0.6 | 2.1 | 0.3 | 2.0 | 2.4 | 3.1 | 1.2 | 21.7 | 21.7 |
| 2016 | 5.5 | 7.0 | -0.5 | 2.0 | 1.7 | 0.3 | 3.6 | 0.1 | 0.0 | -1.7 | 3.7 | 2.0 | 26.2 | 12.0 |
| 2015 | -3.0 | 5.6 | -1.6 | 1.0 | 1.3 | -2.0 | 2.3 | -6.5 | 0.1 | 0.7 | 0.4 | -1.9 | -4.0 | 1.2 |
| 2014 | -3.5 | 4.6 | 0.8 | 0.7 | 2.3 | 2.1 | -1.3 | 3.9 | -1.4 | 2.4 | 2.7 | -0.3 | 13.5 | 13.5 |
| 2013 | 5.1 | 1.3 | 3.8 | 1.9 | 2.4 | -1.3 | 5.2 | -3.0 | 3.2 | 4.6 | 3.0 | 2.6 | 32.3 | 32.3 |
| 2012 | 5.3 | 4.3 | 3.2 | -0.7 | -6.0 | 4.1 | 1.2 | 2.5 | 2.5 | -1.8 | 0.6 | 0.9 | 16.8 | 16.0 |
| 2011 | 2.3 | 3.5 | 0.0 | 2.9 | -1.1 | -1.7 | -2.0 | -7.0 | -4.0 | 0.9 | -0.1 | -3.6 | -10.0 | 1.9 |
| 2010 | -3.6 | 3.1 | 6.1 | 1.5 | -6.4 | -3.5 | 6.3 | -4.5 | 9.0 | 3.8 | 0.0 | 6.7 | 18.5 | 15.1 |
| 2009 | -3.8 | 0.0 | 0.8 | -5.1 | 3.3 | -2.2 | 1.5 | 0.9 | 3.5 | -1.9 | 6.2 | 1.9 | 4.5 | 26.4 |
| 2008 | -6.4 | 2.4 | -1.9 | -3.3 | -0.9 | 3.6 | -0.9 | -3.3 | 2.8 | -9.0 | 13.5 | 10.7 | 5.1 | -36.8 |
| 2007 | 1.5 | -2.0 | 1.1 | 4.4 | 3.4 | -1.5 | -3.1 | 1.1 | 4.1 | 1.4 | -4.7 | -1.2 | 4.2 | 5.1 |
| 2006 | 2.4 | 0.6 | 1.7 | 1.3 | -3.0 | 0.3 | 0.4 | 2.2 | 2.7 | 3.2 | 2.0 | 1.3 | 15.8 | 15.8 |
| 2005 | -2.2 | 2.1 | -1.8 | -1.9 | 3.2 | 0.2 | 3.8 | -0.9 | 0.8 | -2.4 | 4.4 | -0.2 | 4.8 | 4.8 |
| 2004 | 2.0 | 1.4 | -1.3 | -1.9 | 1.7 | 1.9 | -3.2 | 0.2 | 1.0 | 1.3 | 4.5 | 3.0 | 10.7 | 10.7 |
| 2003 | -0.2 | 1.6 | -0.6 | 0.6 | 3.0 | 1.1 | 1.8 | 2.1 | -1.1 | 5.4 | 1.1 | 5.0 | 21.2 | 28.2 |
| 2002 | 0.1 | 0.1 | 0.1 | 0.2 | 0.1 | 0.1 | 0.8 | 2.8 | 2.2 | -1.8 | -0.4 | 2.3 | 6.9 | -21.6 |
| 2001 | 0.5 | 0.4 | 0.4 | 0.3 | 0.3 | 0.3 | 0.3 | 0.3 | 0.2 | 0.2 | 0.2 | 0.1 | 3.5 | -11.8 |
| 2000 | -3.5 | -1.5 | 7.3 | -4.7 | -0.8 | 1.2 | -1.6 | 6.5 | -5.5 | -1.7 | 0.5 | 0.5 | -4.1 | -9.7 |
| 1999 | 2.9 | -2.3 | 3.4 | 2.8 | -2.6 | 5.5 | -3.1 | -0.5 | -2.1 | 5.2 | 1.4 | 5.7 | 17.0 | 20.4 |
| 1998 | 0.0 | 6.3 | 4.9 | 1.3 | -2.1 | 3.3 | -1.8 | -10.7 | 3.0 | 5.2 | 4.8 | 4.5 | 19.1 | 28.7 |
| 1997 | 5.6 | 1.0 | -4.4 | 4.2 | 4.5 | 4.3 | 6.7 | -4.9 | 3.5 | -4.6 | 1.9 | 1.6 | 20.2 | 33.5 |
| 1996 | 3.5 | 0.3 | 1.3 | 1.1 | 2.3 | 0.9 | -4.9 | 0.7 | 5.6 | 3.2 | 7.3 | -2.3 | 20.0 | 22.5 |
| 1995 | 0.3 | 4.1 | 2.8 | 3.0 | 4.0 | 2.0 | 3.2 | 0.4 | 4.2 | -0.3 | 4.4 | 1.6 | 34.0 | 38.0 |
| 1994 | 3.5 | -2.9 | -4.2 | 1.1 | 1.6 | -2.5 | 0.1 | 3.8 | -2.5 | 2.8 | -4.3 | 0.5 | -3.4 | 0.4 |
| 1993 | 1.1 | 2.2 | -2.6 | 2.7 | 0.4 | -0.5 | 3.8 | -0.7 | 2.0 | -1.1 | 1.2 | 8.7 | 8.7 |
Buy & hold, every month
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.5 | -0.9 | -4.9 | 10.5 | 5.3 | -1.0 | 0.0 | 10.1 | |||||
| 2025 | 2.7 | -1.3 | -5.6 | -0.9 | 6.3 | 5.1 | 2.3 | 2.1 | 3.6 | 2.4 | 0.2 | 0.1 | 17.7 |
| 2024 | 1.6 | 5.2 | 3.3 | -4.0 | 5.1 | 3.5 | 1.2 | 2.3 | 2.1 | -0.9 | 6.0 | -2.4 | 24.9 |
| 2023 | 6.3 | -2.5 | 3.7 | 1.6 | 0.5 | 6.5 | 3.3 | -1.6 | -4.7 | -2.2 | 9.1 | 4.6 | 26.2 |
| 2022 | -5.3 | -3.0 | 3.8 | -8.8 | 0.2 | -8.2 | 9.2 | -4.1 | -9.2 | 8.1 | 5.6 | -5.8 | -18.2 |
| 2021 | -1.0 | 2.8 | 4.5 | 5.3 | 0.7 | 2.2 | 2.4 | 3.0 | -4.7 | 7.0 | -0.8 | 4.6 | 28.7 |
| 2020 | 0.0 | -7.9 | -12.5 | 12.7 | 4.8 | 1.8 | 5.9 | 7.0 | -3.7 | -2.5 | 10.9 | 3.7 | 18.3 |
| 2019 | 8.0 | 3.2 | 1.8 | 4.1 | -6.4 | 7.0 | 1.5 | -1.7 | 1.9 | 2.2 | 3.6 | 2.9 | 31.2 |
| 2018 | 5.6 | -3.6 | -2.7 | 0.5 | 2.4 | 0.6 | 3.7 | 3.2 | 0.6 | -6.9 | 1.9 | -8.8 | -4.6 |
| 2017 | 1.8 | 3.9 | 0.1 | 1.0 | 1.4 | 0.6 | 2.1 | 0.3 | 2.0 | 2.4 | 3.1 | 1.2 | 21.7 |
| 2016 | -5.0 | -0.1 | 6.7 | 0.4 | 1.7 | 0.3 | 3.6 | 0.1 | 0.0 | -1.7 | 3.7 | 2.0 | 12.0 |
| 2015 | -3.0 | 5.6 | -1.6 | 1.0 | 1.3 | -2.0 | 2.3 | -6.1 | -2.6 | 8.5 | 0.4 | -1.7 | 1.2 |
| 2014 | -3.5 | 4.6 | 0.8 | 0.7 | 2.3 | 2.1 | -1.3 | 3.9 | -1.4 | 2.4 | 2.7 | -0.3 | 13.5 |
| 2013 | 5.1 | 1.3 | 3.8 | 1.9 | 2.4 | -1.3 | 5.2 | -3.0 | 3.2 | 4.6 | 3.0 | 2.6 | 32.3 |
| 2012 | 4.6 | 4.3 | 3.2 | -0.7 | -6.0 | 4.1 | 1.2 | 2.5 | 2.5 | -1.8 | 0.6 | 0.9 | 16.0 |
| 2011 | 2.3 | 3.5 | 0.0 | 2.9 | -1.1 | -1.7 | -2.0 | -5.5 | -6.9 | 10.9 | -0.4 | 1.0 | 1.9 |
| 2010 | -3.6 | 3.1 | 6.1 | 1.5 | -7.9 | -5.2 | 6.8 | -4.5 | 9.0 | 3.8 | 0.0 | 6.7 | 15.1 |
| 2009 | -8.2 | -10.7 | 8.3 | 9.9 | 5.8 | -0.1 | 7.5 | 3.7 | 3.5 | -1.9 | 6.2 | 1.9 | 26.4 |
| 2008 | -6.0 | -2.6 | -0.9 | 4.8 | 1.5 | -8.4 | -0.9 | 1.5 | -9.4 | -16.5 | -7.0 | 1.0 | -36.8 |
| 2007 | 1.5 | -2.0 | 1.2 | 4.4 | 3.4 | -1.5 | -3.1 | 1.3 | 3.9 | 1.4 | -3.9 | -1.1 | 5.1 |
| 2006 | 2.4 | 0.6 | 1.7 | 1.3 | -3.0 | 0.3 | 0.4 | 2.2 | 2.7 | 3.2 | 2.0 | 1.3 | 15.8 |
| 2005 | -2.2 | 2.1 | -1.8 | -1.9 | 3.2 | 0.2 | 3.8 | -0.9 | 0.8 | -2.4 | 4.4 | -0.2 | 4.8 |
| 2004 | 2.0 | 1.4 | -1.3 | -1.9 | 1.7 | 1.9 | -3.2 | 0.2 | 1.0 | 1.3 | 4.5 | 3.0 | 10.7 |
| 2003 | -2.5 | -1.3 | 0.2 | 8.5 | 5.5 | 1.1 | 1.8 | 2.1 | -1.1 | 5.4 | 1.1 | 5.0 | 28.2 |
| 2002 | -1.0 | -1.8 | 3.3 | -5.8 | -0.6 | -7.4 | -7.9 | 0.7 | -10.5 | 8.2 | 6.2 | -5.7 | -21.6 |
| 2001 | 4.4 | -9.5 | -5.6 | 8.5 | -0.6 | -2.4 | -1.0 | -5.9 | -8.2 | 1.3 | 7.8 | 0.6 | -11.8 |
| 2000 | -5.0 | -1.5 | 9.7 | -3.5 | -1.6 | 2.0 | -1.6 | 6.5 | -5.5 | -0.5 | -7.5 | -0.5 | -9.7 |
| 1999 | 3.5 | -3.2 | 4.1 | 3.8 | -2.3 | 5.5 | -3.1 | -0.5 | -2.2 | 6.4 | 1.7 | 5.7 | 20.4 |
| 1998 | 1.3 | 6.9 | 4.9 | 1.3 | -2.1 | 4.3 | -1.4 | -14.1 | 6.4 | 8.1 | 5.6 | 6.5 | 28.7 |
| 1997 | 6.2 | 1.0 | -4.4 | 6.3 | 6.3 | 4.1 | 7.9 | -5.2 | 4.8 | -2.5 | 3.9 | 1.9 | 33.5 |
| 1996 | 3.6 | 0.3 | 1.7 | 1.1 | 2.3 | 0.9 | -4.5 | 1.9 | 5.6 | 3.2 | 7.3 | -2.4 | 22.5 |
| 1995 | 3.4 | 4.1 | 2.8 | 3.0 | 4.0 | 2.0 | 3.2 | 0.4 | 4.2 | -0.3 | 4.4 | 1.6 | 38.0 |
| 1994 | 3.5 | -2.9 | -4.2 | 1.1 | 1.6 | -2.3 | 3.2 | 3.8 | -2.5 | 2.8 | -4.0 | 0.7 | 0.4 |
| 1993 | 1.1 | 2.2 | -2.6 | 2.7 | 0.4 | -0.5 | 3.8 | -0.7 | 2.0 | -1.1 | 1.2 | 8.7 |
The 5 worst drawdowns
Each fall from a high: how deep, how long to the low, and how long until the old high was back.
InvestWealth System
| # | Fall | High | Low | High regained | Down | Back up |
|---|---|---|---|---|---|---|
| 1 | -29.5% | Jan 2022 | Oct 2022 | Jan 2024 | 10 months | 1.3 years |
| 2 | -23.0% | Feb 2020 | Mar 2020 | Aug 2020 | 28 days | 5 months |
| 3 | -22.2% | Oct 2007 | Nov 2008 | Oct 2009 | 1.1 years | 11 months |
| 4 | -19.2% | Apr 2011 | Nov 2011 | Jan 2013 | 7 months | 1.1 years |
| 5 | -18.2% | Feb 2025 | Apr 2025 | Jul 2025 | 48 days | 3 months |
Buy & hold
| # | Fall | High | Low | High regained | Down | Back up |
|---|---|---|---|---|---|---|
| 1 | -55.2% | Oct 2007 | Mar 2009 | Aug 2012 | 1.4 years | 3.4 years |
| 2 | -47.5% | Mar 2000 | Oct 2002 | Oct 2006 | 2.5 years | 4.0 years |
| 3 | -33.7% | Feb 2020 | Mar 2020 | Aug 2020 | 33 days | 5 months |
| 4 | -24.5% | Jan 2022 | Oct 2022 | Dec 2023 | 9 months | 1.2 years |
| 5 | -19.4% | Sep 2018 | Dec 2018 | Apr 2019 | 3 months | 4 months |
Rolling 12-month return
The return over the previous 12 months, at every month-end.
Monthly returns: how often
Number of months in each 2-point band: the 0% bar counts months between −1% and +1%, the +2% bar months between +1% and +3%, and so on. Fewer months far left = fewer painful months.
Live tracking
The rules were fixed on 16 October 2026 and every month-end decision since then is recorded once and never changed. Live results appear here with the same 3-month delay, from early 2027.
How these numbers are made
- Tested before it was fixed. The rules were chosen with split-sample tests (rules picked on one part of the history, checked on the rest) and fixed on 16 October 2026. All results on this page cover the full sample, Jan 1993 to Jul 2026.
- Month-end decisions, traded at that day’s close; when the strategy is out of the market the money sits in a defensive cash leg (in T-bills for the years before the funds of the cash leg existed). Estimated trading costs are deducted.
- Daily data. CAGR by calendar time; Sharpe and Sortino on daily returns above 3-month T-bills, scaled to a year with √252; drawdowns from daily closes, from a high until that high is regained; value at risk and expected shortfall historical, daily, 95 %.
- Checked independently. Every number is recalculated with QuantStats, a widely used open-source performance library, on the same daily returns each time the code changes; the check fails if any figure differs.
InvestWealth.com (including H2 Intel Ltd and Dr. Harry Hamann) is not a registered investment advisor or broker/dealer. All content is for informational and educational purposes only and is not investment advice. Backtested results are hypothetical (including estimated trading costs), do not reflect actual trading and do not guarantee future results. Investing involves risk, including loss of capital. Full disclaimer.