Portfolio Metrics

Chuck Krug

Chuck Krug

What can you deduct from these portfolio metrics?

Account Size (NAS)180
Strategy
SyDiFuTe
Assets traded
FXFUEQOP
Annualized Return 436.06%
Annualized Volatility 348.36%
Sharpe Ratio 1.25
Cumulative Return 299.84%
Maximum Drawdown 31.47%
Sortino Ratio 211.43
FS Score 42.76
Daily GPR 4.18
Monthly GPR 9.23

MAR 13.86
CALMAR 13.86
Expected Shortfall -4.01%
VaR -2.47%
Skewness 13.74
Daily Mean Return 1.54%
Kurtosis 191.16
Daily Standard Deviation 21.94%
 
Chuck Krug said:
What can you deduct from these portfolio metrics?

Account Size (NAS)180
Strategy
SyDiFuTe
Assets traded
FXFUEQOP
Annualized Return 436.06%
Annualized Volatility 348.36%
Sharpe Ratio 1.25
Cumulative Return 299.84%
Maximum Drawdown 31.47%
Sortino Ratio 211.43
FS Score 42.76
Daily GPR 4.18
Monthly GPR 9.23

MAR 13.86
CALMAR 13.86
Expected Shortfall -4.01%
VaR -2.47%
Skewness 13.74
Daily Mean Return 1.54%
Kurtosis 191.16
Daily Standard Deviation 21.94%
More...

They look completely made up to me. Various numbers aren't consistent with each other. Can you post a .csv of the daily returns?

GAT
 
Lol, I hope they aren't made up. It is my account. I connected it to fundseeder today, but I'm not sure what all the metrics mean.
 
Seems like you've got less than a year of history trading something pretty risky and/or with lots of leverage, and that you usually make a little money and sometimes have a big upside surprise at least so far in the sample. Sound about right?
 
Chuck
Thanks for the .csv. You have two massive returns in the middle of the sample which are distorting all the statistics (49% and 312% over two days). Without those you'd be slightly down. You also have a lot of days when you haven't got any returns at all. Under these circumstances there will be all kinds of crazy return stats.

By the way I can't reproduce all the figures you quote (i.e. the max drawdown I see as 0.4%).

GAT
 
Moreleverage: If you must know, these are the statistics for my secondary account, in which I only trade options on spy (long calls or puts) or am in cash. I really try to go for the jugular when I see an opportunity. So not much of a suprise (at least te me) But sometimnes it works, and sometimes it doesnt, and when it doesnt I try to lose small.
I was really wondering if you knew more details about these statistics.
 
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Rob,
Thanks for analysis.
That is correct. As I mentioned above, this is my secondary swing trading account. Where I am only long calls and puts on spy or in cash. As you know, due to the nature of options, it is to be expected to be down small when not much is happening and the timevalue erodes. Luckily the other periods make up for this. Maybe you can compare this strategy a bit to Universa Investments'.
This aside, can you give me more details about those statistics as there are some that I never came across before (mind you, statistics never was my forte)
Thanks.
 
Chuck Krug said:
Rob,
Thanks for analysis.
That is correct. As I mentioned above, this is my secondary swing trading account. Where I am only long calls and puts on spy or in cash. As you know, due to the nature of options, it is to be expected to be down small when not much is happening and the timevalue erodes. Luckily the other periods make up for this. Maybe you can compare this strategy a bit to Universa Investments'.
This aside, can you give me more details about those statistics as there are some that I never came across before (mind you, statistics never was my forte)
Thanks.
More...

Which figures do you need help with? To be honest a couple of them I don't recognise eithier

GAT
 
I'll do some more research, hope I can find out more by myself
Thanks,

PS: I'll post some of my findings here, maybe it can be of use to someone else.
 
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