Backtest Summary: CAGR, Volatility, Sharpe & Max Drawdown
This lesson is part of the course
In this lesson
You summarise a 36-month factor backtest with the four numbers every fact sheet shows and chart the growth of $1 against the benchmark.
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Lessons in this course
- Factor Scores: P/B Value Rank, 12-1 Momentum & ROE Quality Locked
- Z-Scores & a Weighted Multi-Factor Composite Locked
- Quintile Portfolios: Rank → Bucket → Average Return Locked
- Long-Short Factor Return: Q1 minus Q5, Hit Rate & t-Stat Locked
- CAPM Beta & Alpha with SLOPE and INTERCEPT Locked
- Multi-Factor Regression with LINEST (Fama-French Style) Locked
- Rebalancing Turnover & Trading-Cost Drag Locked
- Backtest Summary: CAGR, Volatility, Sharpe & Max Drawdown Locked