FOLIOFRAME ยท INTERACTIVE OFFLINE REPORT

Folioframe Portfolio Analytics Demo

Returns, risk, drawdowns and benchmark comparison

261 return observations date range: 2025-01-03 โ€” 2026-01-29 input: returns periods / year: 252 risk-free rate: 2.00%
Strategies
Strategy A (Net)Strategy A (Gross)
Benchmarks
Market BenchmarkBroad Market Benchmark

Core comparison

SeriesTotal returnCompound annual growthMaximum drawdownAnnual volatilitySharpe ratio
Strategy A (Net)60.67%58.06%-18.42%23.75%1.965
Strategy A (Gross)69.94%Best in comparison66.86%Best in comparison-18.17%23.86%2.184Best in comparison
Market Benchmark24.43%23.50%-10.49%Best in comparison14.72%Best in comparison1.374
Broad Market Benchmark53.59%51.33%-13.80%19.87%2.088

Growth of 1.00

Every series is normalized to an initial value of 1.00

Drawdown comparison

Peak-to-trough decline for every input series

Period return comparison

Compound returns; the first or last period may be partial

Show exact values
QuarterlyStrategy A (Net)Strategy A (Gross)Market BenchmarkBroad Market Benchmark
2025Q19.58%10.93%1.75%5.62%
2025Q218.82%20.39%1.25%0.98%
2025Q37.20%8.82%17.90%25.31%
2025Q47.39%8.96%-0.23%0.72%
2026Q17.19%7.31%2.68%14.10%

Rolling annualized volatility

Available when periods_per_year is provided

Detailed metric comparison

Performance

SeriesTotal returnCompound annual growthArithmetic annual returnMean period returnBest periodWorst period
Strategy A (Net)60.67%58.06%48.64%0.19%5.29%-8.59%
Strategy A (Gross)69.94%66.86%54.10%0.21%5.29%-8.52%
Market Benchmark24.43%23.50%22.21%0.09%2.63%-7.05%
Broad Market Benchmark53.59%51.33%43.46%0.17%3.54%-9.55%

Risk & drawdown

SeriesMaximum drawdownAverage drawdownLongest drawdownAnnual volatilityDownside volatilityUlcer index
Strategy A (Net)-18.42%-3.88%5023.75%15.91%4.57%
Strategy A (Gross)-18.17%-3.65%4723.86%15.79%4.35%
Market Benchmark-10.49%-2.46%7614.72%10.66%2.81%
Broad Market Benchmark-13.80%-4.07%8319.87%14.23%4.44%

Risk-adjusted performance

SeriesSharpe ratioSortino ratioCalmar ratioRecovery factorOmega ratioGain-to-pain ratio
Strategy A (Net)1.9652.9343.1523.2941.4031.424
Strategy A (Gross)2.1843.3003.6793.8491.4561.476
Market Benchmark1.3741.8982.2402.3291.2851.317
Broad Market Benchmark2.0882.9163.7203.8841.4461.471

Return distribution

SeriesPositive period ratioNegative period ratioMedian period returnSkewnessExcess kurtosisLongest positive streakLongest negative streak
Strategy A (Net)55.94%43.68%0.20%-0.5344.73196
Strategy A (Gross)56.32%43.30%0.22%-0.5054.56796
Market Benchmark55.94%44.06%0.09%-1.64813.12275
Broad Market Benchmark58.24%41.76%0.19%-1.81513.39086

Tail risk

SeriesHistorical VaRHistorical CVaR
Strategy A (Net)-2.32%-3.15%
Strategy A (Gross)-2.32%-3.12%
Market Benchmark-1.20%-2.09%
Broad Market Benchmark-1.58%-2.73%

Data quality

SeriesEquity trend stability
Strategy A (Net)0.908
Strategy A (Gross)0.926
Market Benchmark0.842
Broad Market Benchmark0.818

Strategy versus benchmark

SeriesRelative total returnAnnual alphaBetaCorrelationR-squaredTracking errorInformation ratioUp captureDown captureActive win rateRelative maximum drawdown
Strategy A (Net)29.12%33.67%0.6420.3980.15822.42%1.1790.6170.54752.49%-12.67%
Strategy A (Gross)36.57%39.06%0.6460.3980.15922.50%1.4170.6740.51753.26%-12.26%

Model & signal diagnostics

Show exact values
date rangeicrank_ic
2025-01-030.16220.1755
2025-01-100.18930.2683
2025-01-170.0026-0.0119
2025-01-240.23200.1034
2025-01-270.19220.2273
2025-02-07-0.02890.0100
2025-02-14-0.08230.0135
2025-02-210.27820.2476
2025-02-280.02290.0187
2025-03-070.16630.2198
2025-03-140.21550.2475
2025-03-210.27930.0555
2025-03-280.19560.1878
2025-04-03-0.0676-0.1595
2025-04-110.15210.1650
2025-04-180.11910.2019
2025-04-250.30160.2434
2025-04-300.18130.3217
2025-05-09-0.10580.0533
2025-05-160.07220.0546
2025-05-230.12160.1303
2025-05-300.17860.2306
2025-06-060.0314-0.0100
2025-06-130.1707-0.0160
2025-06-200.07640.2778
2025-06-270.10310.0811
2025-07-040.05260.1097
2025-07-110.16910.0931
2025-07-180.13290.1488
2025-07-25-0.06820.1429
2025-08-010.09270.1656
2025-08-08-0.1616-0.1669
2025-08-150.14210.0705
2025-08-22-0.1230-0.1961
2025-08-290.23820.2995
2025-09-05-0.05010.0244
2025-09-12-0.0085-0.0469
2025-09-190.11480.0473
2025-09-26-0.1200-0.0488
2025-09-300.21980.1381
2025-10-100.07030.2049
2025-10-170.19960.2619
2025-10-240.05390.0385
2025-10-31-0.00810.2230
2025-11-070.02110.2592
2025-11-140.22250.0421
2025-11-210.16320.2615
2025-11-28-0.0880-0.0222
2025-12-05-0.1021-0.2031
2025-12-120.12900.2211
2025-12-19-0.0655-0.0412
2025-12-260.02460.0092
2025-12-31-0.1734-0.0880

Sample summary

Selected features 32
Seriesreturn observationsRowsUsable labelsLabel coverage
Train151445,072442,87899.5%
Validation50153,126150,72098.4%
Test53161,053159,92399.3%

Trading diagnostics

Recorded cost

Total 5.65%Mean 0.022%Maximum 0.14%
Show exact values
date rangecost
2025-01-030.0000%
2025-01-060.0442%
2025-01-070.0000%
2025-01-080.0000%
2025-01-090.0000%
2025-01-100.0000%
2025-01-130.1008%
2025-01-140.0000%
2025-01-150.0000%
2025-01-160.0000%
2025-01-170.0000%
2025-01-200.1119%
2025-01-210.0000%
2025-01-220.0000%
2025-01-230.0000%
2025-01-240.0000%
2025-01-270.0747%
2025-02-050.1074%
2025-02-060.0000%
2025-02-070.0000%
2025-02-100.1303%
2025-02-110.0000%
2025-02-120.0000%
2025-02-130.0000%
2025-02-140.0000%
2025-02-170.0755%
2025-02-180.0000%
2025-02-190.0000%
2025-02-200.0000%
2025-02-210.0000%
2025-02-240.0826%
2025-02-250.0000%
2025-02-260.0000%
2025-02-270.0000%
2025-02-280.0000%
2025-03-030.1010%
2025-03-040.0000%
2025-03-050.0000%
2025-03-060.0000%
2025-03-070.0000%
2025-03-100.1012%
2025-03-110.0000%
2025-03-120.0000%
2025-03-130.0000%
2025-03-140.0000%
2025-03-170.0803%
2025-03-180.0000%
2025-03-190.0000%
2025-03-200.0000%
2025-03-210.0000%
2025-03-240.1035%
2025-03-250.0000%
2025-03-260.0000%
2025-03-270.0000%
2025-03-280.0000%
2025-03-310.1217%
2025-04-010.0000%
2025-04-020.0000%
2025-04-030.0000%
2025-04-070.0661%
2025-04-080.0000%
2025-04-090.0000%
2025-04-100.0000%
2025-04-110.0000%
2025-04-140.0688%
2025-04-150.0000%
2025-04-160.0000%
2025-04-170.0000%
2025-04-180.0000%
2025-04-210.0608%
2025-04-220.0000%
2025-04-230.0000%
2025-04-240.0000%
2025-04-250.0000%
2025-04-280.1092%
2025-04-290.0000%
2025-04-300.0000%
2025-05-060.0759%
2025-05-070.0000%
2025-05-080.0000%
2025-05-090.0000%
2025-05-120.1219%
2025-05-130.0000%
2025-05-140.0000%
2025-05-150.0000%
2025-05-160.0000%
2025-05-190.0993%
2025-05-200.0000%
2025-05-210.0000%
2025-05-220.0000%
2025-05-230.0000%
2025-05-260.1259%
2025-05-270.0000%
2025-05-280.0000%
2025-05-290.0000%
2025-05-300.0000%
2025-06-030.1267%
2025-06-040.0000%
2025-06-050.0000%
2025-06-060.0000%
2025-06-090.0947%
2025-06-100.0000%
2025-06-110.0000%
2025-06-120.0000%
2025-06-130.0000%
2025-06-160.1182%
2025-06-170.0000%
2025-06-180.0000%
2025-06-190.0000%
2025-06-200.0000%
2025-06-230.1273%
2025-06-240.0000%
2025-06-250.0000%
2025-06-260.0000%
2025-06-270.0000%
2025-06-300.1294%
2025-07-010.0000%
2025-07-020.0000%
2025-07-030.0000%
2025-07-040.0000%
2025-07-070.1395%
2025-07-080.0000%
2025-07-090.0000%
2025-07-100.0000%
2025-07-110.0000%
2025-07-140.1142%
2025-07-150.0000%
2025-07-160.0000%
2025-07-170.0000%
2025-07-180.0000%
2025-07-210.1083%
2025-07-220.0000%
2025-07-230.0000%
2025-07-240.0000%
2025-07-250.0000%
2025-07-280.1210%
2025-07-290.0000%
2025-07-300.0000%
2025-07-310.0000%
2025-08-010.0000%
2025-08-040.1021%
2025-08-050.0000%
2025-08-060.0000%
2025-08-070.0000%
2025-08-080.0000%
2025-08-110.0858%
2025-08-120.0000%
2025-08-130.0000%
2025-08-140.0000%
2025-08-150.0000%
2025-08-180.1231%
2025-08-190.0000%
2025-08-200.0000%
2025-08-210.0000%
2025-08-220.0000%
2025-08-250.1146%
2025-08-260.0000%
2025-08-270.0000%
2025-08-280.0000%
2025-08-290.0000%
2025-09-010.1144%
2025-09-020.0000%
2025-09-030.0000%
2025-09-040.0000%
2025-09-050.0000%
2025-09-080.1212%
2025-09-090.0000%
2025-09-100.0000%
2025-09-110.0000%
2025-09-120.0000%
2025-09-150.1352%
2025-09-160.0000%
2025-09-170.0000%
2025-09-180.0000%
2025-09-190.0000%
2025-09-220.1139%
2025-09-230.0000%
2025-09-240.0000%
2025-09-250.0000%
2025-09-260.0000%
2025-09-290.1180%
2025-09-300.0000%
2025-10-090.0789%
2025-10-100.0000%
2025-10-130.0982%
2025-10-140.0000%
2025-10-150.0000%
2025-10-160.0000%
2025-10-170.0000%
2025-10-200.1391%
2025-10-210.0000%
2025-10-220.0000%
2025-10-230.0000%
2025-10-240.0000%
2025-10-270.1074%
2025-10-280.0000%
2025-10-290.0000%
2025-10-300.0000%
2025-10-310.0000%
2025-11-030.1147%
2025-11-040.0000%
2025-11-050.0000%
2025-11-060.0000%
2025-11-070.0000%
2025-11-100.1144%
2025-11-110.0000%
2025-11-120.0000%
2025-11-130.0000%
2025-11-140.0000%
2025-11-170.1080%
2025-11-180.0000%
2025-11-190.0000%
2025-11-200.0000%
2025-11-210.0000%
2025-11-240.1352%
2025-11-250.0000%
2025-11-260.0000%
2025-11-270.0000%
2025-11-280.0000%
2025-12-010.1358%
2025-12-020.0000%
2025-12-030.0000%
2025-12-040.0000%
2025-12-050.0000%
2025-12-080.1223%
2025-12-090.0000%
2025-12-100.0000%
2025-12-110.0000%
2025-12-120.0000%
2025-12-150.1074%
2025-12-160.0000%
2025-12-170.0000%
2025-12-180.0000%
2025-12-190.0000%
2025-12-220.1016%
2025-12-230.0000%
2025-12-240.0000%
2025-12-250.0000%
2025-12-260.0000%
2025-12-290.0943%
2025-12-300.0000%
2025-12-310.0000%
2026-01-050.1186%
2026-01-060.0000%
2026-01-070.0000%
2026-01-080.0000%
2026-01-090.0000%
2026-01-120.0000%
2026-01-130.0000%
2026-01-140.0000%
2026-01-150.0000%
2026-01-160.0000%
2026-01-190.0000%
2026-01-200.0000%
2026-01-210.0000%
2026-01-220.0000%
2026-01-230.0000%
2026-01-260.0000%
2026-01-270.0000%
2026-01-280.0000%
2026-01-290.0000%

Turnover

Total 7494.64%Mean 28.715%Maximum 184.33%
Show exact values
date rangeturnover
2025-01-030.00%
2025-01-0688.48%
2025-01-070.00%
2025-01-080.00%
2025-01-090.00%
2025-01-100.00%
2025-01-13134.36%
2025-01-140.00%
2025-01-150.00%
2025-01-160.00%
2025-01-170.00%
2025-01-20146.32%
2025-01-210.00%
2025-01-220.00%
2025-01-230.00%
2025-01-240.00%
2025-01-2796.50%
2025-02-05147.64%
2025-02-060.00%
2025-02-070.00%
2025-02-10172.90%
2025-02-110.00%
2025-02-120.00%
2025-02-130.00%
2025-02-140.00%
2025-02-1796.88%
2025-02-180.00%
2025-02-190.00%
2025-02-200.00%
2025-02-210.00%
2025-02-24109.74%
2025-02-250.00%
2025-02-260.00%
2025-02-270.00%
2025-02-280.00%
2025-03-03130.70%
2025-03-040.00%
2025-03-050.00%
2025-03-060.00%
2025-03-070.00%
2025-03-10130.25%
2025-03-110.00%
2025-03-120.00%
2025-03-130.00%
2025-03-140.00%
2025-03-17104.69%
2025-03-180.00%
2025-03-190.00%
2025-03-200.00%
2025-03-210.00%
2025-03-24139.94%
2025-03-250.00%
2025-03-260.00%
2025-03-270.00%
2025-03-280.00%
2025-03-31160.45%
2025-04-010.00%
2025-04-020.00%
2025-04-030.00%
2025-04-0781.25%
2025-04-080.00%
2025-04-090.00%
2025-04-100.00%
2025-04-110.00%
2025-04-1487.99%
2025-04-150.00%
2025-04-160.00%
2025-04-170.00%
2025-04-180.00%
2025-04-2183.06%
2025-04-220.00%
2025-04-230.00%
2025-04-240.00%
2025-04-250.00%
2025-04-28139.49%
2025-04-290.00%
2025-04-300.00%
2025-05-06105.48%
2025-05-070.00%
2025-05-080.00%
2025-05-090.00%
2025-05-12161.00%
2025-05-130.00%
2025-05-140.00%
2025-05-150.00%
2025-05-160.00%
2025-05-19130.97%
2025-05-200.00%
2025-05-210.00%
2025-05-220.00%
2025-05-230.00%
2025-05-26165.50%
2025-05-270.00%
2025-05-280.00%
2025-05-290.00%
2025-05-300.00%
2025-06-03168.36%
2025-06-040.00%
2025-06-050.00%
2025-06-060.00%
2025-06-09127.09%
2025-06-100.00%
2025-06-110.00%
2025-06-120.00%
2025-06-130.00%
2025-06-16155.06%
2025-06-170.00%
2025-06-180.00%
2025-06-190.00%
2025-06-200.00%
2025-06-23168.46%
2025-06-240.00%
2025-06-250.00%
2025-06-260.00%
2025-06-270.00%
2025-06-30173.87%
2025-07-010.00%
2025-07-020.00%
2025-07-030.00%
2025-07-040.00%
2025-07-07183.78%
2025-07-080.00%
2025-07-090.00%
2025-07-100.00%
2025-07-110.00%
2025-07-14151.52%
2025-07-150.00%
2025-07-160.00%
2025-07-170.00%
2025-07-180.00%
2025-07-21142.50%
2025-07-220.00%
2025-07-230.00%
2025-07-240.00%
2025-07-250.00%
2025-07-28160.96%
2025-07-290.00%
2025-07-300.00%
2025-07-310.00%
2025-08-010.00%
2025-08-04136.80%
2025-08-050.00%
2025-08-060.00%
2025-08-070.00%
2025-08-080.00%
2025-08-11111.55%
2025-08-120.00%
2025-08-130.00%
2025-08-140.00%
2025-08-150.00%
2025-08-18162.78%
2025-08-190.00%
2025-08-200.00%
2025-08-210.00%
2025-08-220.00%
2025-08-25151.92%
2025-08-260.00%
2025-08-270.00%
2025-08-280.00%
2025-08-290.00%
2025-09-01151.53%
2025-09-020.00%
2025-09-030.00%
2025-09-040.00%
2025-09-050.00%
2025-09-08160.62%
2025-09-090.00%
2025-09-100.00%
2025-09-110.00%
2025-09-120.00%
2025-09-15179.63%
2025-09-160.00%
2025-09-170.00%
2025-09-180.00%
2025-09-190.00%
2025-09-22151.52%
2025-09-230.00%
2025-09-240.00%
2025-09-250.00%
2025-09-260.00%
2025-09-29157.80%
2025-09-300.00%
2025-10-09103.69%
2025-10-100.00%
2025-10-13129.49%
2025-10-140.00%
2025-10-150.00%
2025-10-160.00%
2025-10-170.00%
2025-10-20184.33%
2025-10-210.00%
2025-10-220.00%
2025-10-230.00%
2025-10-240.00%
2025-10-27142.28%
2025-10-280.00%
2025-10-290.00%
2025-10-300.00%
2025-10-310.00%
2025-11-03152.18%
2025-11-040.00%
2025-11-050.00%
2025-11-060.00%
2025-11-070.00%
2025-11-10151.38%
2025-11-110.00%
2025-11-120.00%
2025-11-130.00%
2025-11-140.00%
2025-11-17142.58%
2025-11-180.00%
2025-11-190.00%
2025-11-200.00%
2025-11-210.00%
2025-11-24180.01%
2025-11-250.00%
2025-11-260.00%
2025-11-270.00%
2025-11-280.00%
2025-12-01180.89%
2025-12-020.00%
2025-12-030.00%
2025-12-040.00%
2025-12-050.00%
2025-12-08161.99%
2025-12-090.00%
2025-12-100.00%
2025-12-110.00%
2025-12-120.00%
2025-12-15142.75%
2025-12-160.00%
2025-12-170.00%
2025-12-180.00%
2025-12-190.00%
2025-12-22133.75%
2025-12-230.00%
2025-12-240.00%
2025-12-250.00%
2025-12-260.00%
2025-12-29123.95%
2025-12-300.00%
2025-12-310.00%
2026-01-05156.01%
2026-01-060.00%
2026-01-070.00%
2026-01-080.00%
2026-01-090.00%
2026-01-120.00%
2026-01-130.00%
2026-01-140.00%
2026-01-150.00%
2026-01-160.00%
2026-01-190.00%
2026-01-200.00%
2026-01-210.00%
2026-01-220.00%
2026-01-230.00%
2026-01-260.00%
2026-01-270.00%
2026-01-280.00%
2026-01-290.00%