Академический Документы
Профессиональный Документы
Культура Документы
Jozef Rudy
CONTENTS
o BACKTESTS
o o o GTAA VIX strategy EQUITY SEASONALITY strategy
o o
GTAA
GTAA since January 2001
GTAA
Period 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 Past 12 months Year to date Cumulative return Annualised return Annualised volatility max Drawdown avg. Drawdown Sharpe ratio Calmar ratio Trade every N days Performance 7.62% 10.92% 19.21% 10.47% 11.13% 10.18% 6.60% 4.99% 12.30% 8.99% 5.18% 7.31% 4.15% 0.26% 111.08% 8.08% 4.73% -6.13% -0.93% 1.71 1.32 38.22
320
Barclays Aggregate Bond Index TR Eurostoxx50 Index TR
160
80
40
Global Tactical Asset Allocation model has 2 main features: 1. Each asset has a trend following model applied to it. 2. Weights of each asset are inversely related to its actual volatility. The higher the volatility of the asset, the lower its percentage in the portfolio at any moment. The list of the potential assets in the portfolio: DJ Euro Stoxx 50 Index, S&P 500 Index, MSCI Emerging Market Index, Investment Grade Corporate Bond Index, German Bund, DB Commodity Index, Gold, US REIT Index, Euro Overnight
VIX strategy
VIX Strategy since January 2005
480
VIX strategy
Period 2005 2006 2007 2008 2009 2010 2011 2012 Past 12 months Year to date Cumulative return Annualised return Annualised volatility max Drawdown avg. Drawdown Sharpe ratio Calmar ratio Trade every N days Performance 8.47% 19.41% 16.15% 36.80% 1.54% 23.20% 6.74% 17.66% 12.80% -1.77% 119.02% 15.04% 8.35% -10.06% -1.77% 1.80 1.49 4.62
Cassiopeia Fund
240
Barclay Systematic Trader Index
120
60
It employs a volatility arbitrage to deliver absolute return. The aim is to remain market neutral, i.e. close to zero correlation with equity markets. The strategy takes into account the term structure and mean reverting nature of the VIX futures.
At any moment, it can hold VIX futures and/or S&P 500 futures. The statistics presented are achieved trading 50% of the account. 4
320
Barclays Aggregate Bond Index TR Eurostoxx50 Index TR
160
80
40
Cumulative return Annualised return Annualised volatility max Drawdown avg. Drawdown Sharpe ratio Calmar ratio Trade every N days
The Calendar Days Strategy is a purely quantitative strategy which invests in Dow Jones Industrial Average Index during seasonally strong periods in coordination with trend-following filters. The statistics presented are achieved trading 100% of the account.
RISK MANAGEMENT
o Each system trades such % of portfolio, that its contribution to the maximum drawdown of the portfolio is 5%. o Whenever maximum historical drawdown of any system traded is breached, the system is not traded any more. It is stopped and reassessed.