Loro Market Model (LMM)
Last Update: 05.01.2024
(all Date Formats: DD.MM.YYYY)
Copyright 
LMM on 14.3.2023:
Summary Statistics:
| Start Date | End Date | Rotation | Exposure | CAGR | Max DD | RRR | Trades | PF | Win | SR | UI |
|---|---|---|---|---|---|---|---|---|---|---|---|
|
31.03.2003
|
31.12.2023 |
daily |
77.79% |
11.56% |
-15.39% |
0.85 |
6 p.a. |
4.51 |
59.26% |
1.11 |
4.51 |
Portfolio Equity Curve (Log Scale):
Annual Statistics:
Sample:
| Symbol | ETF | Inception |
|---|---|---|
|
SPY |
SPDR S&P 500 ETF Trust
|
22.01.1993
|
|
QQQ |
Invesco QQQ Trust |
10.03.1999
|
|
IEF |
iShares 7-10 Year Treasury Bond |
22.07.2002 |
