Collective2 Collective2
Featured Strategy Easiest to Follow +58.5% Annual Return (Compounded) since Mar 27, 2023 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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REITs Rider
(133060426)

Created by: Collective2-il Collective2-il
Started: 12/2020
Stocks
Last trade: 121 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. You can subscribe to this system for free.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

5.6%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(35.2%)
Max Drawdown
34
Num Trades
70.6%
Win Trades
2.2 : 1
Profit Factor
51.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                                             (0.7%)(0.7%)
2021+13.0%+4.0%+0.7%+10.0%+1.0%+3.7%(0.8%)+1.7%(1.6%)+4.1%(0.9%)+2.9%+43.6%
2022(4.4%)(1.2%)+1.8%(6.2%)+0.7%(15.5%)+12.1%(4.9%)(9.4%)+10.1%+8.6%(8.4%)(18.8%)
2023+11.1%(6.9%)(7%)+1.7%(2.6%)+9.6%+4.7%(6.8%)(9.7%)(2.1%)+9.3%+9.5%+7.9%
2024(7.1%)+2.5%+3.6%(4.4%)+6.4%(1.2%)+0.4%(0.3%)(0.3%)(0.3%)            (1.4%)

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 125 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 120 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/16/24 12:30 DEA EASTERLY GOVERNMENT PROPERTIES LONG 100 12.16 6/25 9:43 12.21 0.67%
Trade id #148186296
Max drawdown($81)
Time5/29/24 0:00
Quant open100
Worst price11.35
Drawdown as % of equity-0.67%
 $3
Includes Typical Broker Commissions trade costs of $2.00
7/19/23 11:41 XLRE SELECT SECTOR SPDR REAL ESTATE FUND LONG 30 38.50 6/25/24 9:42 38.15 1.91%
Trade id #145262926
Max drawdown($195)
Time10/30/23 0:00
Quant open30
Worst price31.99
Drawdown as % of equity-1.91%
 ($11)
Includes Typical Broker Commissions trade costs of $0.60
12/2/22 9:30 GMRE GLOBAL MEDICAL REIT INC COMMO LONG 120 9.76 6/25/24 9:42 8.84 1.81%
Trade id #142747314
Max drawdown($213)
Time4/16/24 0:00
Quant open120
Worst price7.98
Drawdown as % of equity-1.81%
 ($112)
Includes Typical Broker Commissions trade costs of $2.40
1/25/22 14:47 SPG SIMON PROPERTY GROUP LONG 12 139.71 6/25/24 9:42 145.68 5.98%
Trade id #139097241
Max drawdown($644)
Time9/26/22 0:00
Quant open12
Worst price86.02
Drawdown as % of equity-5.98%
 $72
Includes Typical Broker Commissions trade costs of $0.24
12/30/21 9:53 OHI OMEGA HEALTHCARE LONG 40 29.74 6/25/24 9:42 33.58 1.53%
Trade id #138754170
Max drawdown($197)
Time5/2/22 0:00
Quant open40
Worst price24.81
Drawdown as % of equity-1.53%
 $153
Includes Typical Broker Commissions trade costs of $0.80
12/30/21 9:52 ONL ORION OFFICE REIT INC LONG 150 11.77 6/25/24 9:42 3.37 11.03%
Trade id #138754146
Max drawdown($1,283)
Time4/17/24 0:00
Quant open110
Worst price3.01
Drawdown as % of equity-11.03%
 ($1,263)
Includes Typical Broker Commissions trade costs of $3.00
11/29/21 13:42 BN BROOKFIELD CORP LONG 30 50.95 6/25/24 9:42 40.85 4.59%
Trade id #138380553
Max drawdown($502)
Time3/16/23 0:00
Quant open19
Worst price28.25
Drawdown as % of equity-4.59%
 ($304)
Includes Typical Broker Commissions trade costs of $0.60
12/29/20 10:18 IRT INDEPENDENCE REALTY TRUST INC LONG 150 15.19 6/25/24 9:42 18.71 2.62%
Trade id #133069262
Max drawdown($268)
Time10/31/23 0:00
Quant open75
Worst price11.61
Drawdown as % of equity-2.62%
 $526
Includes Typical Broker Commissions trade costs of $3.00
12/29/20 10:17 MPW MEDICAL PROPERTIES TRUST LONG 447 9.27 6/25/24 9:42 6.61 21.14%
Trade id #133069244
Max drawdown($2,442)
Time2/7/24 0:00
Quant open400
Worst price3.16
Drawdown as % of equity-21.14%
 ($1,195)
Includes Typical Broker Commissions trade costs of $8.94
12/29/20 10:14 EPR EPR PROPERTIES LONG 46 32.75 6/25/24 9:42 45.47 0.12%
Trade id #133069108
Max drawdown($11)
Time12/29/20 14:28
Quant open31
Worst price30.79
Drawdown as % of equity-0.12%
 $584
Includes Typical Broker Commissions trade costs of $0.92
12/29/20 10:06 REG REGENCY CENTERS LONG 21 46.44 6/25/24 9:42 63.19 0.61%
Trade id #133068659
Max drawdown($61)
Time1/11/21 0:00
Quant open21
Worst price43.49
Drawdown as % of equity-0.61%
 $352
Includes Typical Broker Commissions trade costs of $0.42
5/3/24 9:30 IYR ISHARES DOW JONES US REAL ESTA SHORT 25 85.47 5/16 12:31 88.59 0.69%
Trade id #148082791
Max drawdown($81)
Time5/15/24 0:00
Quant open25
Worst price88.73
Drawdown as % of equity-0.69%
 ($79)
Includes Typical Broker Commissions trade costs of $0.50
12/29/20 10:18 MAC MACERICH LONG 255 12.29 4/24/24 15:20 14.96 5.67%
Trade id #133069301
Max drawdown($586)
Time9/26/22 0:00
Quant open105
Worst price7.40
Drawdown as % of equity-5.67%
 $674
Includes Typical Broker Commissions trade costs of $5.10
4/5/24 10:58 IYR ISHARES DOW JONES US REAL ESTA SHORT 25 87.00 4/12 10:49 85.06 0.52%
Trade id #147820438
Max drawdown($57)
Time4/9/24 0:00
Quant open25
Worst price89.29
Drawdown as % of equity-0.52%
 $49
Includes Typical Broker Commissions trade costs of $0.50
3/16/23 11:31 IYR ISHARES DOW JONES US REAL ESTA LONG 16 84.09 12/7 12:43 85.73 1.88%
Trade id #143928907
Max drawdown($179)
Time10/30/23 0:00
Quant open16
Worst price72.88
Drawdown as % of equity-1.88%
 $26
Includes Typical Broker Commissions trade costs of $0.32
12/29/20 10:20 SKT TANGER INC. LONG 100 10.31 7/19/23 11:39 20.68 0.7%
Trade id #133069331
Max drawdown($69)
Time1/4/21 0:00
Quant open100
Worst price9.62
Drawdown as % of equity-0.70%
 $1,035
Includes Typical Broker Commissions trade costs of $2.00
1/31/23 9:50 EQIX EQUINIX INC. COMMON STOCK REI SHORT 2 727.83 2/23 13:05 701.57 0.56%
Trade id #143398516
Max drawdown($69)
Time2/2/23 0:00
Quant open2
Worst price762.51
Drawdown as % of equity-0.56%
 $53
Includes Typical Broker Commissions trade costs of $0.04
2/2/23 13:50 IYR ISHARES DOW JONES US REAL ESTA SHORT 11 95.32 2/3 9:31 93.55 0.02%
Trade id #143435268
Max drawdown($2)
Time2/2/23 14:01
Quant open11
Worst price95.59
Drawdown as % of equity-0.02%
 $20
Includes Typical Broker Commissions trade costs of $0.22
11/30/21 9:30 EQIX EQUINIX INC. COMMON STOCK REI LONG 1 817.29 1/12/23 11:29 713.71 3.17%
Trade id #138391161
Max drawdown($322)
Time10/13/22 0:00
Quant open1
Worst price494.89
Drawdown as % of equity-3.17%
 ($104)
Includes Typical Broker Commissions trade costs of $0.02
5/31/22 10:23 ABNB AIRBNB INC. CLASS A COMMON STOCK LONG 9 120.37 9/15 9:43 129.00 2.82%
Trade id #140635783
Max drawdown($302)
Time6/30/22 0:00
Quant open9
Worst price86.71
Drawdown as % of equity-2.82%
 $78
Includes Typical Broker Commissions trade costs of $0.18
8/1/22 14:11 IYR ISHARES DOW JONES US REAL ESTA SHORT 20 99.23 8/29 9:30 96.30 0.67%
Trade id #141257855
Max drawdown($82)
Time8/16/22 0:00
Quant open20
Worst price103.36
Drawdown as % of equity-0.67%
 $59
Includes Typical Broker Commissions trade costs of $0.40
8/11/22 11:11 IWR ISHARES RUSSELL MIDCAP INDEX SHORT 10 73.82 8/22 9:30 71.98 0.11%
Trade id #141386663
Max drawdown($13)
Time8/16/22 0:00
Quant open10
Worst price75.16
Drawdown as % of equity-0.11%
 $18
Includes Typical Broker Commissions trade costs of $0.20
5/31/22 10:21 IYR ISHARES DOW JONES US REAL ESTA LONG 15 99.47 7/20 14:22 94.15 1.79%
Trade id #140635741
Max drawdown($193)
Time6/16/22 0:00
Quant open15
Worst price86.57
Drawdown as % of equity-1.79%
 ($80)
Includes Typical Broker Commissions trade costs of $0.30
3/28/22 13:40 IYR ISHARES DOW JONES US REAL ESTA SHORT 35 108.02 5/6 9:44 99.81 1.36%
Trade id #139944573
Max drawdown($178)
Time4/21/22 0:00
Quant open35
Worst price113.13
Drawdown as % of equity-1.36%
 $286
Includes Typical Broker Commissions trade costs of $0.70
7/19/21 9:55 BXP BXP INC LONG 6 112.00 5/3/22 15:05 120.07 0.3%
Trade id #136555565
Max drawdown($40)
Time12/1/21 0:00
Quant open6
Worst price105.18
Drawdown as % of equity-0.30%
 $48
Includes Typical Broker Commissions trade costs of $0.12
12/29/20 10:19 SRC SPIRIT REALTY CAPITAL LONG 25 40.48 2/1/22 9:30 48.15 0.89%
Trade id #133069310
Max drawdown($89)
Time1/13/21 0:00
Quant open25
Worst price36.89
Drawdown as % of equity-0.89%
 $192
Includes Typical Broker Commissions trade costs of $0.50
10/14/21 13:30 UBA URSTADT BIDDLE PROPERTIES CL A LONG 50 19.86 1/4/22 15:46 21.32 0.46%
Trade id #137812122
Max drawdown($65)
Time11/26/21 0:00
Quant open50
Worst price18.54
Drawdown as % of equity-0.46%
 $72
Includes Typical Broker Commissions trade costs of $1.00
12/6/21 15:14 IYR ISHARES DOW JONES US REAL ESTA SHORT 50 110.11 12/21 11:39 111.28 0.91%
Trade id #138480798
Max drawdown($126)
Time12/8/21 0:00
Quant open50
Worst price112.65
Drawdown as % of equity-0.91%
 ($59)
Includes Typical Broker Commissions trade costs of $1.00
9/3/21 10:27 CLPR CLIPPER REALTY INC LONG 250 8.81 12/6 15:29 8.97 0.75%
Trade id #137241441
Max drawdown($100)
Time12/2/21 0:00
Quant open150
Worst price8.14
Drawdown as % of equity-0.75%
 $37
Includes Typical Broker Commissions trade costs of $5.00
5/4/21 9:30 ABNB AIRBNB INC. CLASS A COMMON STOCK LONG 9 160.54 9/1 15:42 157.00 2.05%
Trade id #135438143
Max drawdown($272)
Time7/19/21 0:00
Quant open9
Worst price130.31
Drawdown as % of equity-2.05%
 ($32)
Includes Typical Broker Commissions trade costs of $0.18
Next

Statistics

  • Strategy began
    12/29/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1394.72
  • Age
    47 months ago
  • What it trades
    Stocks
  • # Trades
    34
  • # Profitable
    24
  • % Profitable
    70.60%
  • Avg trade duration
    417.7 days
  • Max peak-to-valley drawdown
    35.2%
  • drawdown period
    Nov 06, 2021 - Oct 12, 2023
  • Annual Return (Compounded)
    5.6%
  • Avg win
    $217.62
  • Avg loss
    $322.10
  • Model Account Values (Raw)
  • Cash
    $13,909
  • Margin Used
    $0
  • Buying Power
    $13,909
  • Ratios
  • W:L ratio
    2.21:1
  • Sharpe Ratio
    0.24
  • Sortino Ratio
    0.35
  • Calmar Ratio
    0.355
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -32.43%
  • Correlation to SP500
    0.46040
  • Return Percent SP500 (cumu) during strategy life
    55.55%
  • Return Statistics
  • Ann Return (w trading costs)
    5.6%
  • Slump
  • Current Slump as Pcnt Equity
    24.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.78%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.056%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    9.0%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    168
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $322
  • Avg Win
    $218
  • Sum Trade PL (losers)
    $3,221.000
  • Age
  • Num Months filled monthly returns table
    47
  • Win / Loss
  • Sum Trade PL (winners)
    $5,223.000
  • # Winners
    24
  • Num Months Winners
    24
  • Dividends
  • Dividends Received in Model Acct
    1909
  • AUM
  • AUM (AutoTrader live capital)
    29806
  • Win / Loss
  • # Losers
    10
  • % Winners
    70.6%
  • Frequency
  • Avg Position Time (mins)
    601556.00
  • Avg Position Time (hrs)
    10025.90
  • Avg Trade Length
    417.7 days
  • Last Trade Ago
    120
  • Leverage
  • Daily leverage (average)
    1.08
  • Daily leverage (max)
    1.84
  • Regression
  • Alpha
    -0.00
  • Beta
    0.52
  • Treynor Index
    0.03
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.19
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - All trades
    4.568
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.622
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.749
  • Hold-and-Hope Ratio
    0.219
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07768
  • SD
    0.18303
  • Sharpe ratio (Glass type estimate)
    0.42442
  • Sharpe ratio (Hedges UMVUE)
    0.41714
  • df
    44.00000
  • t
    0.82188
  • p
    0.20779
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.59392
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.43804
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.59873
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.43300
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.69120
  • Upside Potential Ratio
    2.46512
  • Upside part of mean
    0.27705
  • Downside part of mean
    -0.19937
  • Upside SD
    0.14362
  • Downside SD
    0.11239
  • N nonnegative terms
    24.00000
  • N negative terms
    21.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    45.00000
  • Mean of predictor
    0.10153
  • Mean of criterion
    0.07768
  • SD of predictor
    0.13589
  • SD of criterion
    0.18303
  • Covariance
    0.01592
  • r
    0.63997
  • b (slope, estimate of beta)
    0.86198
  • a (intercept, estimate of alpha)
    -0.00984
  • Mean Square Error
    0.02024
  • DF error
    43.00000
  • t(b)
    5.46136
  • p(b)
    0.00000
  • t(a)
    -0.13081
  • p(a)
    0.55173
  • Lowerbound of 95% confidence interval for beta
    0.54368
  • Upperbound of 95% confidence interval for beta
    1.18028
  • Lowerbound of 95% confidence interval for alpha
    -0.16148
  • Upperbound of 95% confidence interval for alpha
    0.14181
  • Treynor index (mean / b)
    0.09012
  • Jensen alpha (a)
    -0.00984
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06122
  • SD
    0.18097
  • Sharpe ratio (Glass type estimate)
    0.33830
  • Sharpe ratio (Hedges UMVUE)
    0.33250
  • df
    44.00000
  • t
    0.65512
  • p
    0.25790
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.67817
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.35097
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.68200
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.34700
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.52330
  • Upside Potential Ratio
    2.28026
  • Upside part of mean
    0.26678
  • Downside part of mean
    -0.20556
  • Upside SD
    0.13656
  • Downside SD
    0.11700
  • N nonnegative terms
    24.00000
  • N negative terms
    21.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    45.00000
  • Mean of predictor
    0.09197
  • Mean of criterion
    0.06122
  • SD of predictor
    0.13518
  • SD of criterion
    0.18097
  • Covariance
    0.01595
  • r
    0.65205
  • b (slope, estimate of beta)
    0.87291
  • a (intercept, estimate of alpha)
    -0.01906
  • Mean Square Error
    0.01926
  • DF error
    43.00000
  • t(b)
    5.63960
  • p(b)
    0.00000
  • t(a)
    -0.26080
  • p(a)
    0.60226
  • Lowerbound of 95% confidence interval for beta
    0.56076
  • Upperbound of 95% confidence interval for beta
    1.18506
  • Lowerbound of 95% confidence interval for alpha
    -0.16642
  • Upperbound of 95% confidence interval for alpha
    0.12831
  • Treynor index (mean / b)
    0.07014
  • Jensen alpha (a)
    -0.01906
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07765
  • Expected Shortfall on VaR
    0.09740
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03683
  • Expected Shortfall on VaR
    0.07095
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    45.00000
  • Minimum
    0.87715
  • Quartile 1
    0.97246
  • Median
    1.00419
  • Quartile 3
    1.03548
  • Maximum
    1.16475
  • Mean of quarter 1
    0.94531
  • Mean of quarter 2
    0.99684
  • Mean of quarter 3
    1.02404
  • Mean of quarter 4
    1.07479
  • Inter Quartile Range
    0.06302
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02222
  • Mean of outliers low
    0.87715
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.02222
  • Mean of outliers high
    1.16475
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.32046
  • VaR(95%) (moments method)
    0.05702
  • Expected Shortfall (moments method)
    0.06781
  • Extreme Value Index (regression method)
    -0.01978
  • VaR(95%) (regression method)
    0.06886
  • Expected Shortfall (regression method)
    0.09298
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00967
  • Quartile 1
    0.00969
  • Median
    0.01116
  • Quartile 3
    0.06078
  • Maximum
    0.20525
  • Mean of quarter 1
    0.00967
  • Mean of quarter 2
    0.00970
  • Mean of quarter 3
    0.01262
  • Mean of quarter 4
    0.20525
  • Inter Quartile Range
    0.05109
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    0.20525
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.10583
  • Compounded annual return (geometric extrapolation)
    0.09322
  • Calmar ratio (compounded annual return / max draw down)
    0.45419
  • Compounded annual return / average of 25% largest draw downs
    0.45419
  • Compounded annual return / Expected Shortfall lognormal
    0.95715
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07646
  • SD
    0.17741
  • Sharpe ratio (Glass type estimate)
    0.43096
  • Sharpe ratio (Hedges UMVUE)
    0.43063
  • df
    987.00000
  • t
    0.83689
  • p
    0.20143
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.57861
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.44034
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.57884
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.44011
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.62407
  • Upside Potential Ratio
    8.61446
  • Upside part of mean
    1.05541
  • Downside part of mean
    -0.97895
  • Upside SD
    0.12828
  • Downside SD
    0.12252
  • N nonnegative terms
    467.00000
  • N negative terms
    521.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    988.00000
  • Mean of predictor
    0.10331
  • Mean of criterion
    0.07646
  • SD of predictor
    0.16756
  • SD of criterion
    0.17741
  • Covariance
    0.01367
  • r
    0.46000
  • b (slope, estimate of beta)
    0.48704
  • a (intercept, estimate of alpha)
    0.02600
  • Mean Square Error
    0.02484
  • DF error
    986.00000
  • t(b)
    16.26760
  • p(b)
    0.00000
  • t(a)
    0.32184
  • p(a)
    0.37382
  • Lowerbound of 95% confidence interval for beta
    0.42829
  • Upperbound of 95% confidence interval for beta
    0.54579
  • Lowerbound of 95% confidence interval for alpha
    -0.13325
  • Upperbound of 95% confidence interval for alpha
    0.18552
  • Treynor index (mean / b)
    0.15699
  • Jensen alpha (a)
    0.02614
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06073
  • SD
    0.17736
  • Sharpe ratio (Glass type estimate)
    0.34239
  • Sharpe ratio (Hedges UMVUE)
    0.34213
  • df
    987.00000
  • t
    0.66488
  • p
    0.25314
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.66709
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.35174
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.66729
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.35154
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.48999
  • Upside Potential Ratio
    8.44935
  • Upside part of mean
    1.04719
  • Downside part of mean
    -0.98646
  • Upside SD
    0.12681
  • Downside SD
    0.12394
  • N nonnegative terms
    467.00000
  • N negative terms
    521.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    988.00000
  • Mean of predictor
    0.08925
  • Mean of criterion
    0.06073
  • SD of predictor
    0.16768
  • SD of criterion
    0.17736
  • Covariance
    0.01369
  • r
    0.46044
  • b (slope, estimate of beta)
    0.48703
  • a (intercept, estimate of alpha)
    0.01726
  • Mean Square Error
    0.02481
  • DF error
    986.00000
  • t(b)
    16.28720
  • p(b)
    0.00000
  • t(a)
    0.21266
  • p(a)
    0.41582
  • Lowerbound of 95% confidence interval for beta
    0.42835
  • Upperbound of 95% confidence interval for beta
    0.54571
  • Lowerbound of 95% confidence interval for alpha
    -0.14201
  • Upperbound of 95% confidence interval for alpha
    0.17653
  • Treynor index (mean / b)
    0.12469
  • Jensen alpha (a)
    0.01726
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01763
  • Expected Shortfall on VaR
    0.02211
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00891
  • Expected Shortfall on VaR
    0.01721
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    988.00000
  • Minimum
    0.94632
  • Quartile 1
    0.99478
  • Median
    1.00000
  • Quartile 3
    1.00630
  • Maximum
    1.05976
  • Mean of quarter 1
    0.98720
  • Mean of quarter 2
    0.99808
  • Mean of quarter 3
    1.00255
  • Mean of quarter 4
    1.01377
  • Inter Quartile Range
    0.01152
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.02024
  • Mean of outliers low
    0.96865
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.01721
  • Mean of outliers high
    1.03376
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.01049
  • VaR(95%) (moments method)
    0.01177
  • Expected Shortfall (moments method)
    0.01590
  • Extreme Value Index (regression method)
    0.11264
  • VaR(95%) (regression method)
    0.01187
  • Expected Shortfall (regression method)
    0.01693
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00126
  • Quartile 1
    0.00461
  • Median
    0.01789
  • Quartile 3
    0.04673
  • Maximum
    0.26124
  • Mean of quarter 1
    0.00211
  • Mean of quarter 2
    0.01093
  • Mean of quarter 3
    0.02920
  • Mean of quarter 4
    0.12076
  • Inter Quartile Range
    0.04212
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.06250
  • Mean of outliers high
    0.26124
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.39704
  • VaR(95%) (moments method)
    0.12762
  • Expected Shortfall (moments method)
    0.24879
  • Extreme Value Index (regression method)
    1.63404
  • VaR(95%) (regression method)
    0.18743
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.10525
  • Compounded annual return (geometric extrapolation)
    0.09268
  • Calmar ratio (compounded annual return / max draw down)
    0.35477
  • Compounded annual return / average of 25% largest draw downs
    0.76751
  • Compounded annual return / Expected Shortfall lognormal
    4.19101
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09948
  • SD
    0.07878
  • Sharpe ratio (Glass type estimate)
    1.26279
  • Sharpe ratio (Hedges UMVUE)
    1.25549
  • df
    130.00000
  • t
    0.89293
  • p
    0.46096
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.51568
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.03643
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.52052
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.03149
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.18269
  • Upside Potential Ratio
    7.90173
  • Upside part of mean
    0.36013
  • Downside part of mean
    -0.26065
  • Upside SD
    0.06418
  • Downside SD
    0.04558
  • N nonnegative terms
    30.00000
  • N negative terms
    101.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.29034
  • Mean of criterion
    0.09948
  • SD of predictor
    0.13425
  • SD of criterion
    0.07878
  • Covariance
    0.00194
  • r
    0.18309
  • b (slope, estimate of beta)
    0.10744
  • a (intercept, estimate of alpha)
    0.06828
  • Mean Square Error
    0.00604
  • DF error
    129.00000
  • t(b)
    2.11527
  • p(b)
    0.38410
  • t(a)
    0.61556
  • p(a)
    0.46557
  • Lowerbound of 95% confidence interval for beta
    0.00695
  • Upperbound of 95% confidence interval for beta
    0.20793
  • Lowerbound of 95% confidence interval for alpha
    -0.15120
  • Upperbound of 95% confidence interval for alpha
    0.28776
  • Treynor index (mean / b)
    0.92591
  • Jensen alpha (a)
    0.06828
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09638
  • SD
    0.07859
  • Sharpe ratio (Glass type estimate)
    1.22643
  • Sharpe ratio (Hedges UMVUE)
    1.21934
  • df
    130.00000
  • t
    0.86721
  • p
    0.46208
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.55168
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.99994
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.55643
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.99510
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.10302
  • Upside Potential Ratio
    7.81264
  • Upside part of mean
    0.35805
  • Downside part of mean
    -0.26167
  • Upside SD
    0.06375
  • Downside SD
    0.04583
  • N nonnegative terms
    30.00000
  • N negative terms
    101.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.28119
  • Mean of criterion
    0.09638
  • SD of predictor
    0.13441
  • SD of criterion
    0.07859
  • Covariance
    0.00193
  • r
    0.18280
  • b (slope, estimate of beta)
    0.10688
  • a (intercept, estimate of alpha)
    0.06633
  • Mean Square Error
    0.00602
  • DF error
    129.00000
  • t(b)
    2.11178
  • p(b)
    0.38428
  • t(a)
    0.59966
  • p(a)
    0.46645
  • VAR (95 Confidence Intrvl)
    0.01800
  • Lowerbound of 95% confidence interval for beta
    0.00674
  • Upperbound of 95% confidence interval for beta
    0.20701
  • Lowerbound of 95% confidence interval for alpha
    -0.15251
  • Upperbound of 95% confidence interval for alpha
    0.28516
  • Treynor index (mean / b)
    0.90177
  • Jensen alpha (a)
    0.06633
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00759
  • Expected Shortfall on VaR
    0.00960
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00296
  • Expected Shortfall on VaR
    0.00617
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98309
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.01942
  • Mean of quarter 1
    0.99638
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00555
  • Inter Quartile Range
    0.00000
  • Number outliers low
    24.00000
  • Percentage of outliers low
    0.18321
  • Mean of outliers low
    0.99502
  • Number of outliers high
    31.00000
  • Percentage of outliers high
    0.23664
  • Mean of outliers high
    1.00591
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.43334
  • VaR(95%) (moments method)
    0.00258
  • Expected Shortfall (moments method)
    0.00340
  • Extreme Value Index (regression method)
    0.04718
  • VaR(95%) (regression method)
    0.00433
  • Expected Shortfall (regression method)
    0.00750
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00440
  • Quartile 1
    0.00751
  • Median
    0.00861
  • Quartile 3
    0.01802
  • Maximum
    0.04606
  • Mean of quarter 1
    0.00440
  • Mean of quarter 2
    0.00855
  • Mean of quarter 3
    0.00867
  • Mean of quarter 4
    0.04606
  • Inter Quartile Range
    0.01050
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    0.04606
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -337915000
  • Max Equity Drawdown (num days)
    705
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.12823
  • Compounded annual return (geometric extrapolation)
    0.13234
  • Calmar ratio (compounded annual return / max draw down)
    2.87322
  • Compounded annual return / average of 25% largest draw downs
    2.87322
  • Compounded annual return / Expected Shortfall lognormal
    13.78730

Strategy Description

This strategy seeks the best global opportunities in the real estate market using REITs. The strategy is for long term investment and its recommended to join open position when you subscribe to the strategy.
Average stocks holding - 10 positions .
Most of our investments is in the US but we can hold different positions of 10 percent in other countries.
This trading strategy is managed by the investment managers of Interactive Israel Investment House
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2020-12-29
Suggested Minimum Capital
$15,000
# Trades
34
# Profitable
24
% Profitable
70.6%
Net Dividends
$1,909
Correlation S&P500
0.460
Sharpe Ratio
0.24
Sortino Ratio
0.35
Beta
0.52
Alpha
-0.00
Leverage
1.08 Average
1.84 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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