Vol-Quant > Performance
First, we would like to make one thing clear: making money with trading is not easy. Some facts: According to the Newedge CTA Index, the compounded annualized return of the 20 professional trading programs comprising the index is 4.71%; Warren Buffet made his fortune from 1968 to 2014 by reinvesting profits at 19.7% compounded annualized return; 70% of all mutual funds under perform the S&P 500 Index year after year. If you believe someone is capable to achieve a 100% return each and every year, before a deadly drawdown of the same, 100% magnitude hits, then you should not consider our trading program. However, if you have more realistic view on the trading business and you are looking for an investment program with solid risk-adjusted returns, we might have solution for you.
Second, when selecting a trading program for investment, please do not be lured by the high annual returns, but rather look for the return-to-risk (drawdown) ratio. Double and even triple digit annual returns are usually obtained by use of excessive leverage, and large drawdowns are the cost that must be paid for such stellar returns - for those who can bear it. We do not believe in such irresponsible, high-adrenaline trading. The objective of our currency trading programs is to seek superior risk adjusted returns (with high Sharpe and Sortino ratio), weakly correlated to traditional equity and hedge fund investments.
By clicking on the links below you can see real trading performance as well as back testing performance of our currently used trading programs (as extrapolation into the past, before the start of real trading).
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V1 |
V2 (discontinued) |
V4 (replaced by V3) |
FX/VIX/SPX Multi Strategy (MS) | SP Quant Trading Program | FX Quant Trading Programs |
| Real Trading |
From the web site |
From the web site |
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| Back Testing | |||||
| See SP Quant | Back Testing (V3) | - |
Performance calculations notes:
1.) Real trading returns are calculated from account statements, by trading nominally leveraged accounts (1X program). We do offer our account statements and performance calculations to potential investors for inspection. On the other hand, back testing results are obtained as output of our back testing software. Due to the proprietary nature of our trading algorithms, we do not offer the software itself to other parties. If back testing results (software output) is not sufficient to you, then please disregard back testing results and consider real trading results only.
2.) Rates of returns are achieved by trading position sizes that, in our opinion, are reasonably sized in proportion to account size. This is what we call a "nominally leveraged" or "1X" trading program, which is rather conservative. A client with higher tolerance for risk, looking for higher returns, can assign (in the Monthly Allocation Order) a Nominal Account Size (or "Designated Trading Size") in excess of his account balance. Such notionally funded accounts (1.5X, 2X etc.) would have all return and risk characteristics increased by a factor of 1.5, 2.0 etc. Simply said, a 2X program would grow twice as fast as the 1X program, but also the 2X program drawdowns would be twice as large as the 1X program drawdown. Remember: any target return can be achieved by use of leverage; think of target risk (drawdown) when selecting it.
News
V1 - Volatility Trading Program is now a constituent of the CBOE Eurekahedge Short Volatility Index (Bloomberg Ticker: EHFI450).