Your own series
Analyze your own returns
Upload monthly returns for a fund, an ETF or a strategy. They go through the same steps as every signal on this site: hedged against the market month by month, compounded to calendar quarters, de-levered where the hedged series exceeds 40% annualized volatility, then run through the same Bayesian model, sampled on your own CPU in this tab.
Predicted alphareturn · posterior mean, % per year, averaged over the window
Next quarter
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95% interval —
Next year
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95% interval —
Next five years
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95% interval —
Market hedge
Prior beliefs Default
Half life of shocks to the edge
How long an edge lasts once it appears. The model treats the edge -- the
expected alpha under a market hedge, the expected return without one -- as a
mean-reverting state; this is the prior on its half-life. A short half-life
pulls the forecast back toward the long-run mean quickly, so recent performance
counts for less.
Short U(0, 5 years)Default U(0, 10 years)Long U(0, 20 years)
Long-run performance
How much long-run edge the model is willing to believe in before the data
insists on it. The prior on the portfolio's annualized risk-adjusted return (its
information ratio under a hedge, Sharpe ratio without one) is centred on zero;
this is its width. A narrow prior takes more evidence to move,
so every forecast is pulled harder toward zero.
Skeptical N(0, 0.2²)Default N(0, 0.4²)Permissive N(0, 0.6²)
Time variation in risk-adjusted returns
How far an edge swings around its long-run level. The previous row sets how
large that long-run level may be; this one sets how much the portfolio's
risk-adjusted return wanders above and below it from quarter to quarter. Allow
more, and a good or bad run reads as news about the edge rather than as noise.
Conservative U(0, 0.25)Default U(0, 0.5)Aggressive U(0, 0.75)
Cumulative market-hedged returnreturn, unhedged
Past performance, annualized
| Window | AlphaReturn | Vol. | Info. ratioSharpe ratio | t |
|---|---|---|---|---|
| — | — | — | — | — |
| — | — | — | — | — |
| — | — | — | — | — |
Forecast information ratioSharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| — | — | — | — |
| — | — | — | — |
| — | — | — | — |
| Prior changed from site default. | |||