Price History — Real Price
Cumulative Returns vs Benchmark
Cumulative Returns — Volatility Matched
Monte Carlo Analysis
EOY Returns vs Benchmark
Distribution of Monthly Returns
Daily Active Returns
Rolling Beta to Benchmark
Rolling Volatility (6M)
Rolling Sharpe (6M)
Worst 5 Drawdown Periods
CAGR
19,88%
Ann. Growth
Sharpe
0,750
Risk-Adj.
Max DD
-46,62%
Peak Loss
Sortino
0,910
Downside
Key Performance Metrics
| Metric | FTSE MIB | PST.MI |
|---|---|---|
| Risk-Free Rate | 2,56% | 2,56% |
| Time in Market | 99,8% | 98,2% |
| Cumulative Return | 163,88% | 520,46% |
| CAGR % | 10,12% | 19,88% |
| Sharpe | 0,45 | 0,75 |
| Prob. Sharpe Ratio | 100,00% | 100,00% |
| Smart Sharpe | 0,46 | 0,79 |
| Sortino | 0,53 | 0,91 |
| Smart Sortino | 0,55 | 0,96 |
| Sortino/√2 | 0,37 | 0,64 |
| Smart Sortino/√2 | 0,39 | 0,68 |
| Omega | 1,09 | 1,15 |
| Max Drawdown | -41,54% | -46,62% |
| Max DD Date | 12-03-2020 | 12-03-2020 |
| Max DD Period Start | 19-02-2020 | 19-02-2020 |
| Max DD Period End | 04-06-2021 | 01-04-2021 |
| Longest DD Days | 22 | 22 |
| Volatility (ann.) | 20,58% | 25,13% |
| R² | 0,57 | 0,57 |
| Information Ratio | -0,5779 | 0,5779 |
| Calmar | 0,24 | 0,43 |
| Skew | -1,59 | -1,39 |
| Kurtosis | 19,65 | 19,90 |
| Expected Daily | 0,0468% | 0,0847% |
| Expected Monthly | 0,99% | 1,79% |
| Expected Yearly | 12,51% | 23,79% |
| Kelly Criterion | 5,34% | 6,02% |
| Risk of Ruin | 0,0% | 0,0% |
| Daily VaR | -1,89% | -2,21% |
| Expected Shortfall (cVaR) | -3,11% | -3,74% |
| Max Consecutive Wins | 9 | 18 |
| Max Consecutive Losses | 9 | 6 |
| Gain/Pain Ratio | 0,53 | 0,54 |
| Gain/Pain (1M) | 0,62 | 0,67 |
| Payoff Ratio | 0,91 | 0,98 |
| Profit Factor | 1,11 | 1,17 |
| Common Sense Ratio | 1,12 | 1,27 |
| CPC Index | 0,55 | 0,61 |
| Tail Ratio | 1,01 | 1,09 |
| Outlier Win Ratio | 5,29 | 5,71 |
| Outlier Loss Ratio | 7,33 | 7,85 |
| MTD | 8,72% | 9,68% |
| 3M | 5,82% | 0,18% |
| 6M | 14,25% | 10,02% |
| YTD | 7,19% | 2,84% |
| 1Y | 41,58% | 48,87% |
| 3Y (ann.) | 20,31% | 41,98% |
| 5Y (ann.) | 14,24% | 22,59% |
| 10Y (ann.) | 10,12% | 19,88% |
| Best Day | 8,93% | 9,77% |
| Worst Day | -16,93% | -22,03% |
| Best Month | 22,95% | 24,36% |
| Worst Month | -22,44% | -19,70% |
| Best Year | 31,47% | 67,45% |
| Worst Year | -16,15% | -15,34% |
| Avg. Drawdown | -9,01% | -10,31% |
| Avg. Drawdown Days | 29 | 20 |
| Recovery Factor | 3,94 | 11,16 |
| Ulcer Index | 0,1176 | 0,1360 |
| Serenity Index | 0,04 | 0,06 |
| Avg. Up Month | 4,30% | 5,00% |
| Avg. Down Month | -3,79% | -5,43% |
| Win Days | 55,03% | 53,45% |
| Win Month | 58,68% | 68,60% |
| Win Quarter | 68,29% | 73,17% |
| Win Year | 72,73% | 81,82% |
| Beta | — | 0,92 |
| Alpha | — | 10,27 |
| Correlation | — | 75,56 |
| Treynor Ratio | — | 20,4 |
EOY Returns vs Benchmark
| Year | FTSE MIB | PST.MI | Multiplier | Won |
|---|---|---|---|---|
| 2016 | 5,36% | 2,41% | 0,45x | - |
| 2017 | 13,61% | 5,90% | 0,43x | - |
| 2018 | -16,15% | 17,78% | 1,10x | + |
| 2019 | 28,28% | 54,07% | 1,91x | + |
| 2020 | -5,42% | -12,97% | -2,39x | - |
| 2021 | 23,00% | 44,88% | 1,95x | + |
| 2022 | -13,31% | -15,34% | -1,15x | - |
| 2023 | 28,03% | 20,54% | 0,73x | - |
| 2024 | 12,63% | 42,28% | 3,35x | + |
| 2025 | 31,47% | 67,45% | 2,14x | + |
| 2026 | 7,19% | 2,84% | 0,39x | - |
Worst 10 Drawdowns
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 20-02-2020 | 01-04-2021 | -46,62% | 406 |
| 27-10-2021 | 01-03-2024 | -35,75% | 856 |
| 01-08-2018 | 14-03-2019 | -24,71% | 225 |
| 21-06-2016 | 15-12-2017 | -17,62% | 542 |
| 10-02-2026 | Open | -15,54% | 63 |
| 16-05-2018 | 19-07-2018 | -14,65% | 64 |
| 03-04-2025 | 17-04-2025 | -10,59% | 14 |
| 10-06-2021 | 16-09-2021 | -10,56% | 98 |
| 19-11-2019 | 28-01-2020 | -9,82% | 70 |
| 23-04-2019 | 24-06-2019 | -9,14% | 62 |