67% of retail CFD accounts lose money
67% of retail CFD accounts lose money
67% of retail CFD accounts lose money
67% of retail CFD accounts lose money
67% of retail CFD accounts lose money
67% of retail CFD accounts lose money
67% of retail CFD accounts lose money
67% of retail CFD accounts lose money
67% of retail CFD accounts lose money
67% of retail CFD accounts lose money
Metrics |
Copy Trading index |
SPX500 |
Total Return, % | --2.19 | 1.64 |
Sharpe | -0.15 | 0.16 |
Sortino | -0.25 | 0.25 |
Calmar | -0.19 | 0.20 |
Beta | 0.65 | 1.00 |
Max DD, % | -18.37 | -12.88 |
Volatility, % | 22.65 | 16.51 |
CAGR, % | -3.42 | 2.60 |
Corr to SnP | 0.47 | 1.00 |
Index structure
Popular traders portfolios that are components of the TOP 10 ranking list of Bestcopytrade.com on the first month of each quarter
Revising period
Quarterly (on the fifth working day of the first month of each Quarter)
Principles of capital allocation
Index calculated on equal weight basis with rebalancing on each date of revising period
Frequency of computation
Daily on each working date of US stock marker
Market | Invested | P/L(%) | Value |
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Traders | Portfolio reports | Etoro link | RScore RScore - is integral indicator for measuring the effectiveness of a trading strategy. The formula to calculate of the indicator was defined empirically and represents the following combination of metrics: (Sharp + Sortino + Calmar + Alpha x 5) x 100 + 1000. The higher the rating score, the more attractive the strategy is in terms of its efficiency.
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Median Return M Return - is one of the most important indicators of a trader's success. It is computed based on the calculation of the median average for the sample of trader's portfolio trading data, gathered on the monthly basis. The measured number of the median average for the portfolio is multiplied by 12 to obtain its annual value. Thus, Median Return = Median average * 12.
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Sharpe Sharp - ratio is an indicator of the effectiveness of an investment strategy, which is calculated as the ratio of the average portfolio return (Ann. Return) adjusted for the risk-free rate to the standard deviation of the portfolio.
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Sortino Sortino - is an indicator of the effectiveness of an investment strategy, which is calculated as the ratio of the average portfolio return (Ann. Return) adjusted for the risk-free rate to the standard deviation of the portfolio, excluding positive deviations in the fluctuations in the value of the investment portfolio.
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Calmar Calmar - is an indicator of the effectiveness of an investment strategy, which is calculated as the average value of the return on an investment strategy (Ann. Return) to the value of its maximum drawdown.
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Alpha Alpha - Jensen's alpha (or Jensen's Performance Index, ex-post alpha) is used to determine the abnormal return of a security or portfolio of securities over the theoretical expected return. The Jensen's alpha aims to do this and is calculated using a simple formula: Jensen's alpha = Portfolio return - [Risk Free Rate + Portfolio Beta * (Market Return - Risk Free Rate)]
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Beta Beta -
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Max DD Max DD - a maximum drawdown (MDD) is the maximum observed loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period.
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Volatility Volatility - It is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time.
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CAGR CAGR - compound annual growth rate (CAGR) is the rate of return that would be required for an investment to grow from its beginning balance to its ending balance, assuming the profits were reinvested at the end of each year of the investment's lifespan.
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corr to SnP Corr to SnP - a correlation is a statistical measurement of the relationship between two variables (for our case SP500 index and traders portfolio). Possible correlations range from +1 to –1. A correlation of +1 indicates a perfect positive correlation, meaning that both variables move in the same direction together.
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Age (years) Age (years) - Shows a duration in years how long traders portfolio introduced on a platform. Then longer period is then more trust in trading strategy can be expressed. In the common cases, we do not consider a portfolio with a track record of fewer than 3 years. An exception exists only in respect to back-tested trading strategies.
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Copiers Copiers - shows how many copiers have a trader on the Etoro platform on a specific date
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