Portfolio Performance Evaluation on 91-day (holdout)
1.989Annualized Sharpe RatioAgora
Evaluation results
| Method | Links | ||||
|---|---|---|---|---|---|
| AgoraStatistical Method=Newey-West HAC, Kernel Lag=5, Portfolio Type=long/short cumulative NAV2026.06 | 1.989 | -2.124 | 6.102 | — | |
| B2Statistical Method=Newey-West HAC, Kernel Lag=5, Portfolio Type=long/short cumulative NAV2026.06 | 1.202 | -1.966 | 4.37 | 0.4238 | |
| B3Statistical Method=Newey-West HAC, Kernel Lag=5, Portfolio Type=long/short cumulative NAV2026.06 | 0.527 | -2.944 | 3.998 | 0.3816 | |
| B6Statistical Method=Newey-West HAC, Kernel Lag=5, Portfolio Type=long/short cumulative NAV2026.06 | -0.31 | -4.272 | 3.653 | 0.0875 | |
| B4Statistical Method=Newey-West HAC, Kernel Lag=5, Portfolio Type=long/short cumulative NAV2026.06 | -0.367 | -3.923 | 3.189 | 0.0509 | |
| B7Statistical Method=Newey-West HAC, Kernel Lag=5, Portfolio Type=long/short cumulative NAV2026.06 | -0.524 | -4.078 | 3.029 | 0.0449 | |
| B5Statistical Method=Newey-West HAC, Kernel Lag=5, Portfolio Type=long/short cumulative NAV2026.06 | -0.699 | -3.704 | 2.306 | 0.106 | |
| B1Statistical Method=Newey-West HAC, Kernel Lag=5, Portfolio Type=long/short cumulative NAV2026.06 | -1.592 | -5.271 | 2.088 | 0.005 |