Sample Long Portfolio II
Out-of-sample 2008 data.
Quant Long Portfolio B is a real example of an equity long onlyportfolio containing small--cap stocks of U.S. public companies. When constructing the portfolio, we employed (a) non-linear CVaR optimization with factor exposure constraints, and (b) theFlexiRankg™ routines. The portfolio has been rebalanced every 9 months. The process of asset allocations and portfolio re-balancing is fully automated, no manual allocation adjustment applied.
The out-of-sample fixed rolling frame optimization ensures a real-life scenario, since we never know asset performance for the next term.

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
2003 1.799 2.591 4.304 3.691 0.779 13.831 -0.100 -0.357 0.819 0.000
2004 0.831 2.519 2.383 -0.522 -0.115 2.883 -0.522 2.314 0.995 3.114 3.786 3.163 22.783 -0.522 -1.706 -0.522 0.636
2005 -0.522 0.590 -0.522 -0.522 1.904 4.015 2.609 -0.136 1.032 -0.522 0.429 0.123 8.691 -0.522 -0.725 -0.522 1.041
2006 3.144 1.026 0.218 2.256 -0.522 0.803 1.470 1.922 0.241 0.236 2.548 1.287 15.576 -0.522 -0.944 -0.441 0.522
2007 0.046 2.526 2.144 1.313 1.405 -1.819 -4.579 2.517 1.742 3.316 0.799 -2.204 7.122 -4.579 -6.059 -4.317 6.314
2008 0.824 -2.728 0.429 3.863 1.550 -6.187 0.143 5.630 3.871 -8.267 -3.725 -1.811 -7.141 -8.267 -10.811 -8.038 13.284
2009 -1.394 -4.271 10.527 3.867 -2.135 6.266 5.684 -1.553 2.500 -0.087 3.010 3.405 27.910 -4.271 -6.122 -4.036 5.605
2010 0.664 4.903 1.015 2.598 -3.341 0.659 6.731 -1.417 7.735 3.316 1.799 5.027 33.334 -3.341 -4.899 -3.130 3.341
2011 10.826 0.128 2.454 0.211 -0.802 -2.692 1.857 1.354 0.502 2.660 0.579 1.258 19.298 -2.692 0.154 -2.484 3.472
2012 0.325 -1.455 2.224 -0.480 -0.762 3.292 0.798 -0.270 2.155 -1.861 2.601 4.151 11.032 -1.861 -2.748 -1.816 1.861
2013 1.979 1.635 4.043 1.220 9.153 1.220 1.238 1.232 0.000

Peer Group Profile & Stress Tests

Notes.
  • The Relative Rank Peer Group chart shows current portfolio risk-return positions against 670 long-bias and long only managers. For example, the Mean value of 83.05 means that 83.05% 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

Long Portfolio B S&P500 MSCI North America Barclay Hedge Fund Index Barclay Equity Long Bias Index
Risk/return statistics
Montly mean return 1.29% 0.67% 0.49% 0.55% 0.66%
Annualized 16.68% 8.28% 6.07% 6.78% 8.20%
Compound return 330.65% 95.23% 59.40% 85.04% 104.03%
Best month 10.83% 10.91% 10.78% 5.57% 6.65%
Worst month -8.27% -16.52% -17.25% -8.41% -11.80%
%Positive months 73.50% 64.10% 62.39% 70.94% 66.67%
Max drawdown -18.14% -50.79% -52.22% -24.09% -34.38%
Sortino ratio 2.61 0.38 0.17 0.68 0.60
TUW 9 52 65 34 37
Calmar ratio 0.92 0.16 0.12 0.28 0.24
Ω (r=0) 3.62 1.51 1.36 2.02 1.72
Κ (r=0) 0.60 0.15 0.11 0.25 0.21
VaR statistics
VaR ratio -2.20 -10.76 -16.43 -5.61 -7.69
VaR 95% -2.85% -7.16% -8.09% -3.08% -5.07%
VaR 99% -5.93% -10.54% -10.38% -6.56% -8.49%
CVaR 95% -5.06% -10.20% -10.34% -4.98% -7.25%
CVaR 99% -7.23% -13.63% -13.91% -7.70% -10.32%
MVaR 95% -2.99% -7.05% -7.31% -3.31% -5.05%
MVaR 99% -6.50% -12.85% -13.32% -6.67% -9.09%
Distribution properties
Skew 0.15 -0.82 -0.88 -1.30 -1.01
Kurtosis 2.52 2.12 2.30 3.83 2.08
Beta statistics
β 0.33 0.92 0.93 0.36 0.63
β+ 0.25 0.83 0.84 0.25 0.47
β- 0.34 0.93 0.95 0.37 0.59
Treynor ratio 0.42 0.06 0.03 0.10 0.08
Alpha statistics
α 0.0117 0.0078 0.0067 0.0085 0.0090
α annualized 0.1502 0.0973 0.0832 0.1073 0.1135
α Jensen 0.1271 0.0698 0.0532 0.0727 0.0814

Strategy Details

  • Concentrated portfolio of 26 stocks.
  • Low correlation to major market factors.
  • CVaR portfolio optimization with factor exposure constraints.
  • Rolling optimization over a fixed frame, out-of-sample.
  • FlexiRank™ routine when selecting stocks.
  • Portfolio re-balancing period: 9 months.