Sample Long Portfolio
Quant ANZ Long Portfolio B is a real example of an equity long only portfolio containing mid- to large-cap stocks of public companies listed on the Australian stock exchange. When constructing the portfolio, we employed (a) the non-linear Omega optimization with factor exposure constraints, and (b) the Macroeconomic Scenario Screening™ routines. The portfolio has been rebalanced every 3 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
2006 -0.749 0.995 5.177 0.158 1.077 6.297 -1.740 5.743 2.957 4.818 4.258 5.564 40.012 -1.740 -3.300 -1.631 0.000
2007 5.003 3.271 3.035 0.572 0.118 2.279 1.816 0.828 2.364 2.386 -1.245 1.917 24.603 -1.245 -2.260 -1.095 1.245
2008 -9.275 1.489 0.270 8.766 1.412 -4.908 -2.935 2.044 -0.718 -0.937 -1.878 3.202 -4.472 -9.275 -12.450 -8.794 9.275
2009 -2.931 -1.252 1.627 4.072 -1.515 3.281 -0.451 5.565 4.827 -2.948 -0.757 2.501 12.151 -2.948 -4.606 -2.946 4.146
2010 -3.972 2.553 3.656 -0.304 -4.554 0.911 1.547 0.132 5.920 0.569 -0.131 4.803 11.122 -4.554 -6.837 -4.490 4.844
2011 -0.060 1.128 -0.167 -0.678 -1.574 2.234 -3.797 2.392 -1.119 2.481 2.542 3.036 6.351 -3.797 -4.907 -3.552 4.012
2012 0.414 7.721 9.037 0.361 2.487 4.186 6.649 1.999 2.934 0.477 1.525 5.290 52.003 0.361 -0.892 0.367 0.000
2013 3.794 4.920 0.688 9.650 0.688 -2.704 0.751 0.000

Peer Group Profile & Stress Tests

Notes.
  • The Relative Rank Peer Group chart shows current portfolio risk-return positions against 700+ long only hedge fund managers. For example, the Mean value of 90.11 means that 90.11% 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 the known devastating scenarios of the past.

Risk & Return Statistics

ANZ Long Portfolio B S&P/ASX 200 AUD MSCI in $ Barclay Hedge Fund Index Barclay Equity Long Bias Index
Risk/return statistics
Monthly mean return 1.56% 0.50% 0.46% 0.43% 0.46%
Annualized 20.37% 6.16% 5.61% 5.27% 5.69%
Compound return 268.16% 43.48% 31.91% 42.01% 42.26%
Best month 9.04% 7.98% 10.91% 5.57% 6.65%
Worst month -9.27% -12.61% -19.05% -8.41% -11.80%
%Positive months 71.26% 60.67% 55.17% 67.82% 64.37%
Max drawdown -10.08% -47.18% -55.37% -24.09% -34.38%
Sortino ratio 2.95 0.18 0.07 0.33 0.23
TUW 14 67 65 34 37
Calmar ratio 2.02 0.13 0.10 0.22 0.17
Ω (r=0) 3.68 1.33 1.26 1.66 1.43
Κ (r=0) 0.64 0.12 0.08 0.18 0.13
VaR statistics
VaR ratio -2.27 -14.29 -19.63 -7.58 -11.39
VaR 95% -3.54% -7.13% -8.95% -3.25% -5.26%
VaR 99% -5.52% -11.06% -13.05% -7.19% -9.25%
CVaR 95% -5.30% -9.65% -12.10% -5.33% -7.68%
CVaR 99% -9.28% -12.61% -19.05% -8.41% -11.80%
MVaR 95% -3.75% -7.38% -9.05% -3.80% -5.71%
MVaR 99% -7.04% -11.30% -15.62% -7.13% -9.75%
Distribution properties
Skew -0.29 -0.77 -0.87 -1.17 -0.91
Kurtosis 1.02 0.34 1.77 2.93 1.56
Beta statistics
β 0.29 0.62 1.00 0.36 0.63
β+ -0.07 0.32 0.99 0.25 0.46
β- 0.32 0.69 0.99 0.37 0.59
Treynor ratio 0.59 0.05 0.03 0.06 0.04
Alpha statistics
α 0.0143 0.0088 0.0056 0.0083 0.0085
α annualized 0.1851 0.1113 0.0688 0.1038 0.1071
α Jensen 0.1662 0.0792 0.0388 0.0712 0.0791

Strategy Details

  • Concentrated portfolio of 17 long only stocks.
  • Omega portfolio optimization with factor exposure constraints.
  • Macroeconomic Scenario Screening™ and Trend Segmentation™ routines when selecting stocks.
  • Portfolio re-balancing period: 3 months.