Sample Long/Short Portfolio
Quant L/S Portfolio A is a real example of an equity long-short portfolio containing small- to mid-cap stocks of U.S. public companies. When constructing the portfolio, we employed (a) non-linear CVaR optimization with factor exposure constraints, and (b) the Macroeconomic Scenario Screening™ routines. The portfolio has been rebalanced every 6 months. The process of asset allocations and portfolio re-balancing is fully automated, no manual allocation adjustment applied.

Comparative Return Profile

main charts

Monthly Strategy Performance, %

Monthly Performance, % Annual, %
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Return CVaR MVaR VaR MaxDD
2005 0.13 -2.61 -2.61 -2.61 5.46 -2.46 -0.10 -2.53 -2.61 7.63
2006 2.16 2.3 2.13 -1.76 2.48 -2.61 2.98 1.38 0.38 5.38 3.64 1.08 21.06 -2.61 -4.41 -2.52 2.61
2007 2 -2.61 1.59 1.24 -0.82 -2.61 1.31 4.13 0.1 2.86 2.02 8.69 18.87 -2.61 -4.00 -2.61 3.41
2008 -1.43 9.35 4.1 -0.76 1.04 2.8 0.84 -0.43 -1.01 -2.31 -2.61 6.57 16.56 -2.61 -2.97 -2.58 6.23
2009 -2.61 0.59 8.1 -2.61 -2.61 4.44 2.27 0.11 -0.07 -3.93 2.78 2.43 8.54 -3.93 -5.37 -3.79 5.15
2010 1.69 -2.81 2.64 1.36 -1.42 1.23 4.75 1.97 5.69 3.97 4.88 1.64 28.36 -2.81 -4.46 -2.66 2.81
2011 9.78 0.12 4.26 0.07 2.69 0.59 2.19 4.72 0.34 1.63 2.6 -1.18 31.07 -1.18 -0.67 -1.04 1.18
2012 -1.05 -3.27 1.87 0.4 -2.24 2.83 0.48 -0.18 2.47 -1.02 0.77 2.33 3.23 -3.27 -4.36 -3.16 4.30
2013 1.04 2.1 1.19 2.65 7.16 1.04 0.84 1.04 0.00

Peer Group Profile & Stress Tests

Notes.
  • The Relative Rank Peer Group chart shows current portfolio risk-return positions against 690 long/short and equity market neutral managers. For example, the Mean value of 92.3 means that 92.3% of peer group managers have lower average monthly returns than the selected portfolio.
  • The Extreme Event Stress chart shows the expected performance of the portfolio and related indices under known devastating scenarios of the past.

Risk & Return Statistics

L/S Portfolio A S&P500 MSCI North America Barclay Hedge Fund Index Barclay Equity Long/Short Index
Risk/return statistics
Monthly mean return 1.33% 0.55% 0.37% 0.47% 0.40%
Annualized 17.22% 6.85% 4.56% 5.76% 4.85%
Compound return 230.48% 51.34% 27.67% 50.90% 42.51%
Best month 9.78% 10.91% 10.78% 5.57% 3.80%
Worst month -3.93% -16.52% -17.25% -8.41% -4.92%
%Positive months 70.97% 62.37% 60.22% 68.82% 65.59%
Max drawdown -7.63% -50.79% -52.22% -24.09% -14.25%
Sortino ratio 3.08 0.21 0.02 0.43 0.39
TUW 12 52 65 34 28
Calmar ratio 2.26 0.13 0.09 0.24 0.34
Ω (r=0) 3.39 1.37 1.24 1.75 1.78
Κ (r=0) 0.87 0.12 0.08 0.20 0.25
VaR statistics
VaR ratio -1.96 -14.54 -22.22 -6.94 -7.27
VaR 95% -2.61% -8.05% -8.27% -3.24% -2.88%
VaR 99% -3.33% -11.21% -11.12% -7.10% -3.86%
CVaR 95% -2.78% -10.65% -10.75% -5.33% -3.69%
CVaR 99% -3.93% -16.52% -17.25% -8.41% -4.92%
MVaR 95% -2.81% -7.79% -8.08% -3.69% -2.69%
MVaR 99% -4.06% -13.47% -13.95% -7.02% -4.32%
Distribution properties
Skew 0.61 -0.76 -0.81 -1.20 -0.73
Kurtosis 0.63 1.57 1.73 3.11 0.53
Beta statistics
β 0.13 0.92 0.93 0.36 0.33
β+ 0.05 0.83 0.84 0.25 0.20
β- 0.24 0.93 0.95 0.37 0.26
Treynor ratio 1.12 0.04 0.02 0.08 0.06
Alpha statistics
α 0.0137 0.0078 0.0070 0.0085 0.0083
α annualized 0.1770 0.0973 0.0875 0.1073 0.1046
α Jensen 0.1445 0.0698 0.0556 0.0727 0.0746

Strategy Details

  • Concentrated portfolio of 15 stocks.
  • CVaR portfolio optimization with factor exposure constraints.
  • Macroeconomic Scenario Screening™ when selecting stocks.
  • Portfolio re-balancing period: 6 months.