ED - Real Trading Performance

ED is a long/short, quantitative trading strategy for US equities. More about the strategy can be found on the ED Strategy page.

It was trading with real funds from July 2009 to July 2011.Since the program cannot trade efficiently when account equity is below $2,500,000, program stopped trading real money at end of July 2011. If assets rise above the tradable minimum, real trading will resume.

Hypothetical performance report from strategy back testing is available on the ED - Back Testing page (from August 1987 to June 2009 and after July 2011).

I. PERFORMANCE SUMMARY

ACTUAL TRADING RESULTS

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE RISK OF LOSS IN TRADING EQUITIES CAN BE SUBSTANTIAL. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION AND INVESTMENT OBJECTIVES.

Monthly Rates of Return (ROR), Before/After Performance Fees (Real Trading Results)

    

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

YTD

VAMI

2009

See Backtesting results before start of trading 1.99% 0.47% 1.16% 0.44%* 0.36% 1.40% 0.27% (0.13%)* 5.77% 4.60%* 1,057.7 1,046.0*

2010

(0.35%) 0.40% 0.80% 0.63%* (0.19%) (0.08%) 1.56% 1.30%* 2.47% (1.41%) 0.08% (0.14%)* 1.02% (1.77%) 0.27% 2.75% 2.10%* 1,086.8 1,068.0*

2011

0.84% 0.25% 0.63% 0.39%* 3.06% 0.29% 0.92% 0.09%* (0.61%)           5.47% 4.35%* 1,146.3 1,114.4*

* - Net of 20% quarterly performance fee

The above table shows actual trading results, before and after performance fees. Rates of return (ROR), net of 20% performance fee, are marked by asterisk (*). ROR figures have been calculated according to CFTC Regulation 4.25(a)(7)(i)(F), by dividing the monthly net performance (gain or loss) by the previous month net asset value, or notional trading size.

On August 1, 2011 real trading was replaced with simulated trading. Simulated trading results are shown in the table below.

The charts below show monthly rates of return (ROR) and the growth of $1,000 (the Value Added Monthly Index - VAMI), before and after 20% performance/incentive fee deduction. Compounding by monthly profit reinvesting is used.

II. Performance Analytics (Based on Actual Trading Results, Net of 20% Performance Fee)

Strategy Returns

Reporting period

Jul/09 -Jul/11  (25 months)

Total return since strategy inception

11.44%

S&P 500 Index return since strategy inception

40.57%

Compound average annual rate of return (ROR)

5.34%

Growth of $1,000 since strategy inception (VAMI)

$1,114.4

# Positive months / average positive mon. ROR

17 / 0.92%

# Negative months / average negative mon ROR

8 / (0.58%)
Kurtosis & skewness of monthly RORs 1.15 / 0.46

% Positive months

68.0%
Ratio avg. positive / avg. negative monthly ROR (Gain to loss ratio) 1.58
Maximum / minimum monthly ROR 3.06% / (1.77%)
Profit to loss ratio (Profit factor); Ratio sum positive mon. returns sum negative returns 3.35

Risk Measures

Annualized standard deviation of monthly RORs

3.68%

Annualized downside deviation of monthly RORs (below the RF rate of return of 1% per annum)

1.77%

Sharpe ratio, annualized (RF rate of return 1.0%)

1.18

Sortino ratio, annualized (below the RF rate of 1% per annum)

2.45

Calmar Ratio, on end-of-month basis

2.32

Alpha relative to the S&P 500 Index, annualized

3.39%

Strategy Beta & Correlation coefficient, relative to the S&P 500 Index

0.11 / 0.44

Jensen's alpha relative to the S&P 500 Index, annualized

2.54%

Active premium, relative to the S&P 500 Index, annualized

(12.42%)

Tracking error, relative to the S&P 500 Index, annualized

13.88%

Information ratio, relative to the S&P 500 Index

(0.88)

Worst drawdown depth / duration (on end-of-month basis)

(2.30%)

Longest recovery period

8 months

 

Value at Risk (VaR) and Drawdown Analysis, based on strategy back testing, can be found on the ED Back Testing page.

Risk Disclaimer

THE RISK OF LOSS IN EQUITY TRADING CAN BE SUBSTANTIAL. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION AND INVESTMENT OBJECTIVES. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY BE LOWER OR HIGHER. EQUITY TRADING IS SPECULATIVE AND MAY INVOLVE THE LOSS OF PRINCIPAL; THEREFORE, FUNDS PLACED UNDER MANAGEMENT SHOULD BE RISK CAPITAL FUNDS THAT IF LOST WILL NOT SIGNIFICANTLY AFFECT ONE'S PERSONAL WELL BEING. THIS IS NOT A SOLICITATION TO INVEST AND YOU SHOULD CAREFULLY CONSIDER YOUR FINANCIAL SITUATION PRIOR TO MAKING ANY INVESTMENT OR ENTERING INTO ANY TRANSACTION.