Comparing 2 models side-by-side
Each axis shows a model's percentile rank within the leaderboard (outer edge = best). Customize the metrics using the dropdowns below.
| Metric |
XGBoost Rank + PCA-20 Shrunk Markowitz
#30
|
Benchmark: Markowitz-ML
#34
|
|---|---|---|
| Primary Rankings | ||
| Sharpe Ratio Sharpe Ratio Risk-adjusted return: annualized return divided by annualized volatility. | 2.7843 (best) | 2.5212 |
| Rank Rank Position on the leaderboard, ordered by Sharpe ratio. | #30 | #34 |
| Returns | ||
| Annualized Return Annualized Return Average yearly return, after scaling the portfolio to the 10% volatility target. | 27.84% (best) | 25.21% |
| Risk | ||
| Max Drawdown Max Drawdown Largest peak-to-trough decline during the test period. | -10.56% (best) | -16.63% |
| Downside Deviation Downside Deviation Standard deviation of negative monthly returns only. | 1.159% (best) | 1.450% |
| Annualized Downside Dev Annualized Downside Deviation Downside deviation in annual terms. | 4.01% (best) | 5.02% |
| Risk-Adjusted Performance | ||
| Sortino Ratio Sortino Ratio Return per unit of downside risk: like Sharpe, but only negative volatility counts. | 6.9365 (best) | 5.0195 |
| Calmar Ratio Calmar Ratio Annualized return divided by the maximum drawdown. | 2.6374 (best) | 1.5157 |
| Win Rate Win Rate Share of months with a positive return. | 77.2% (best) | 77.0% |
| Distribution | ||
| Skewness Skewness Asymmetry of returns. Positive skew means more large gains than large losses. | 0.355 | 0.136 |
| Kurtosis Kurtosis Tail thickness. Higher values mean more extreme months, in either direction. | 0.455 | 0.530 |
| Volatility Targeting | ||
| Raw Volatility Raw Volatility Volatility of the portfolio before it was scaled to the 10% target. | 24.99% | 14.65% |
| Scaling Factor Scaling Factor Multiplier applied to the portfolio to reach the 10% volatility target. | 0.400 | 0.683 |
| Observations Observations Number of monthly returns used for the evaluation. | 408 mo | 408 mo |
| Market Exposure (CAPM) | ||
| Beta Beta Sensitivity to market movements. 1.0 moves one-for-one with the market. | 0.12 | 0.03 |
| Alpha (ann.) Alpha (ann.) Average yearly return not explained by market exposure (the monthly regression alpha × 12). | 27.45% (best) | 25.03% |
| Information Ratio Information Ratio Annualized alpha per unit of residual risk: alpha ÷ std(residuals) × √12. | 2.7489 (best) | 2.5016 |
| R² R² Share of the return variance explained by market movements. | 0.5% | 0.1% |
| Alpha t-stat Alpha t-stat Statistical significance of the alpha estimate. A |t| above about 2 suggests it is not chance. | 15.83 | 14.41 |
| Metadata | ||
| Language | Python | R |
| Competition Year | 2024 | 2024 |
| Entry Type | User | Benchmark |