Performance Benchmark Instruments?

[kmiklas]

Brethren:

What instruments do you use as a performance benchmark?

In my case, I'm working with a small portfolio of U.S. listed pharma instruments, but the question can be expanded to other portfolio arrangements.

Some ideas I had:

- U.S. Equity Indices: NYSE$SPY (the classic benchmark), NYSE:$DIA, ISLAND$QQQ
- Foreign indices, like the FTSE
- Foreign currency, like EUR/USD
- Fixed income ETF, like $GOVT
- Volatility/VIX, $VXX

Thanks,
Keith

 

[longandshort]

Match a benchmark to your strategy or underlying systematic factor. For example if you are buying momentum stocks, track your performance against a momentum index.

 

[SPX Options Trader]

Brethren:

What instruments do you use as a performance benchmark?

A performance benchmark is kind of hard to quantify or compare. All the variables have to be basically lined up, matched up, to your exact style of trading.
Is a hooker a good parent to her kids...Compared to whom...a teacher parent...professional athlete parents....a homeless parent....firefighter parents...judge parents...fast food worker parents...pet store parents,...rich parents, poor parents, parents with associate degrees, parents who are 50, parents who have a net worth of $9,016, parents who listen to country music,

I day trade the S&P, specifically with options,...What's my benchmark, to whom...do I Compare my exact performance with to know if I'm awesome or shitty, average, above average?
I wouldn't compare my benchmark performance stats...with the annual average of the Nasdaq, or someone who trades futures, or has a mutual fund,

 

[deaddog]

I use SPY; Apparently a good percentage of professionals (Hedge fund & Mutual fund managers) have trouble beating a buy and hold SPY strategy.

If I can't outperform that benchmark, I'd be better off just investing in the ETF.

 

[jharmon]

$SPXTR (S&P 500 Total Return Index)
$RUATR (Russell 3000 Total Return Index)

Don't use the price return versions unless you want to overstate your excess returns.

 

[newwurldmn]

I use SPY; Apparently a good percentage of professionals (Hedge fund & Mutual fund managers) have trouble beating a buy and hold SPY strategy.

If I can't outperform that benchmark, I'd be better off just investing in the ETF.

aren’t you a day trader? Your benchmark should be some risk free rate or absolute return.

 

[deaddog]

aren’t you a day trader? Your benchmark should be some risk free rate or absolute return.

Swing Trader.. I use SPY because most traders, whether day or swing, don't seem to be able to outperform a simple buy and hold strategy.

Does it matter what type of trader you are? If you can't outperform a simple buy and hold, maybe that's where you should have you money.

 

[newwurldmn]

Swing Trader.. I use SPY because most traders, whether day or swing, don't seem to be able to outperform a simple buy and hold strategy.

Does it matter what type of trader you are? If you can't outperform a simple buy and hold, maybe that's where you should have you money.

It matters because a lot of your outperformance will come from the index doing whatever.
An extreme example: a portfolio of cash being compared to the spy makes no sense. It will outperform the market on a sell off and underperform on a rally.

 

[deaddog]

It matters because a lot of your outperformance will come from the index doing whatever.
An extreme example: a portfolio of cash being compared to the spy makes no sense. It will outperform the market on a sell off and underperform on a rally.

What would you suggest as a benchmark for a swing trader who trades the Canadian market?

I suppose I could just pick a percentage, not that it matters because the only one who really cares is me, but to compare myself to other traders I felt that SPY was a reasonable choice.

 

[newwurldmn]

What would you suggest as a benchmark for a swing trader who trades the Canadian market?

I suppose I could just pick a percentage, not that it matters because the only one who really cares is me, but to compare myself to other traders I felt that SPY was a reasonable choice.

tsx perhaps?
Are you also going short? If so then a basket of long/short hedge funds normalized for leverage.

@longandshort would be the best at making suggestions. He spends a lot of time understanding the true value of alpha.