Sample Long/Short Portfolio II
Out-of-sample 2008 data.
Quant L/S Portfolio C 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 the maximum drawdown constraints, and (b) the FlexiRank™ 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 4.449 4.805 5.920 2.610 4.837 24.730 -0.100 0.645 2.684 0.000
2004 0.734 0.734 1.582 0.734 3.150 1.447 0.734 2.973 0.734 5.794 2.569 6.066 30.675 0.734 0.406 0.734 0.000
2005 0.734 0.734 0.734 0.734 2.266 4.964 1.316 0.734 0.994 0.734 0.734 0.734 16.459 0.734 2.272 0.734 0.000
2006 2.046 0.734 0.734 2.912 0.734 2.034 0.734 0.504 -0.227 0.512 -1.180 2.997 13.188 -1.180 -1.624 -1.075 1.180
2007 -0.418 4.621 1.744 0.502 1.542 -2.093 -6.013 0.334 2.863 2.567 4.117 -3.508 5.862 -6.013 -8.054 -5.738 7.981
2008 1.115 -1.872 -0.575 7.920 1.087 -7.834 -5.466 3.737 3.098 -4.790 -0.115 2.630 -2.119 -7.834 -10.661 -7.574 12.872
2009 4.311 -7.758 12.493 0.613 -7.897 8.765 2.223 -6.152 2.713 -3.640 1.930 5.045 10.910 -7.897 -12.578 -7.882 7.897
2010 -0.501 5.308 0.376 2.455 -6.395 4.104 7.050 -2.348 8.385 2.783 7.463 9.085 43.348 -6.395 -9.092 -5.950 6.395
2011 5.905 -2.120 5.003 1.680 0.809 2.076 -1.619 2.871 0.401 -0.612 -4.595 2.181 12.122 -4.595 -6.193 -4.323 5.179
2012 -4.983 1.514 -5.225 3.636 0.330 5.835 1.456 -5.511 -1.302 2.848 5.934 5.308 9.206 -5.511 -8.928 -5.479 8.585
2013 2.774 5.341 8.902 5.480 24.360 2.774 -0.020 2.851 0.000

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 97.25 means that 97.25% 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/Short Portfolio C S&P500 MSCI North America Barclay Hedge Fund Index Barclay Equity Long Bias Index
Risk/return statistics
Montly mean return 1.52% 0.67% 0.49% 0.55% 0.47%
Annualized 19.83% 8.28% 6.07% 6.78% 5.81%
Compound return 438.96% 95.23% 59.40% 85.04% 70.81%
Best month 12.49% 10.91% 10.78% 5.57% 3.80%
Worst month -7.90% -16.52% -17.25% -8.41% -4.92%
%Positive months 76.92% 64.10% 62.39% 70.94% 67.52%
Max drawdown -12.87% -50.79% -52.22% -24.09% -14.25%
Sortino ratio 2.10 0.38 0.17 0.68 0.67
TUW 13 52 65 34 28
Calmar ratio 1.54 0.16 0.12 0.28 0.41
Ω (r=0) 2.88 1.51 1.36 2.02 2.05
Κ (r=0) 0.51 0.15 0.11 0.25 0.32
VaR statistics
VaR ratio -3.69 -10.76 -16.43 -5.61 -5.90
VaR 95% -5.61% -7.16% -8.09% -3.08% -2.78%
VaR 99% -7.82% -10.54% -10.38% -6.56% -3.71%
CVaR 95% -7.01% -10.20% -10.34% -4.98% -3.54%
CVaR 99% -7.87% -13.63% -13.91% -7.70% -4.34%
MVaR 95% -4.84% -7.05% -7.31% -3.31% -2.46%
MVaR 99% -8.43% -12.85% -13.32% -6.67% -4.08%
Distribution properties
Skew -0.26 -0.82 -0.88 -1.30 -0.78
Kurtosis 0.68 2.12 2.30 3.83 0.74
Beta statistics
β 0.27 0.92 0.93 0.36 0.33
β+ 0.14 0.83 0.84 0.25 0.20
β- 0.34 0.93 0.95 0.37 0.26
Treynor ratio 0.63 0.06 0.03 0.10 0.09
Alpha statistics
α 0.0141 0.0078 0.0067 0.0085 0.0079
α annualized 0.1834 0.0973 0.0832 0.1073 0.0990
α Jensen 0.1599 0.0698 0.0532 0.0727 0.0720

Strategy Details

  • Concentrated portfolio of 26 stocks.
  • Strategy objective: a high return portfolio with a limited max drawdown and moderate volatility.
  • CVaR portfolio optimization with the max drawdown constraints.
  • Rolling optimization over a fixed frame, out-of-sample.
  • FlexiRank™ routine when selecting stocks.
  • Portfolio re-balancing period: 9 months.