The Green Alpha

Today’s result: -0.31%

For tomorrow we’re long on the S&P500.

 

Today’s result: +1.69%

For tomorrow we’re 2x leveraged short on the S&P500.

 

Today’s result: +0.12%

For tomorrow we’re short on the S&P500.

 

Today’s result: -0.54%

For Monday we’re short on the S&P500.

 

Today’s result: -0.54%

For tomorrow we’re short on the S&P500.

Updated results (since March):

<table class="google-visualization-table-table" cellspacing="0" style="width: 260px; "><tbody><tr class="google-visualization-table-tr-head"><td class="google-visualization-table-th google-visualization-table-sorthdr"><span class="google-visualization-table-sortind">&#8195;</span></td><td class="google-visualization-table-th google-visualization-table-sorthdr">TGA<span class="google-visualization-table-sortind">&#8195;</span></td><td class="google-visualization-table-th google-visualization-table-sorthdr">S&amp;P<span class="google-visualization-table-sortind">&#8195;</span></td></tr><tr class="google-visualization-table-tr-even"><td class="google-visualization-table-td">Cum Perf</td><td class="google-visualization-table-td google-visualization-table-td-number">17,09%</td><td class="google-visualization-table-td google-visualization-table-td-number">18,07%</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">StdDev</td><td class="google-visualization-table-td google-visualization-table-td-number">15,43%</td><td class="google-visualization-table-td google-visualization-table-td-number">11,52%</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">Sharpe R.</td><td class="google-visualization-table-td google-visualization-table-td-number">1,11</td><td class="google-visualization-table-td google-visualization-table-td-number">1,57</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">Avg Perf</td><td class="google-visualization-table-td google-visualization-table-td-number">0,09%</td><td class="google-visualization-table-td google-visualization-table-td-number">0,09%</td></tr><tr class="google-visualization-table-tr-even"><td class="google-visualization-table-td">Avg W</td><td class="google-visualization-table-td google-visualization-table-td-number">0,7%</td><td class="google-visualization-table-td google-visualization-table-td-number">0,57%</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">Avg L</td><td class="google-visualization-table-td google-visualization-table-td-number">-0,66%</td><td class="google-visualization-table-td google-visualization-table-td-number">-0,56%</td></tr><tr class="google-visualization-table-tr-even"><td class="google-visualization-table-td"># W</td><td class="google-visualization-table-td google-visualization-table-td-number">106</td><td class="google-visualization-table-td google-visualization-table-td-number">111</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td"># L</td><td class="google-visualization-table-td google-visualization-table-td-number">88</td><td class="google-visualization-table-td google-visualization-table-td-number">83</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">Max DD</td><td class="google-visualization-table-td google-visualization-table-td-number">-6,96%</td><td class="google-visualization-table-td google-visualization-table-td-number">-5,76%</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">Curr DD</td><td class="google-visualization-table-td google-visualization-table-td-number">-2,01%</td><td class="google-visualization-table-td google-visualization-table-td-number">0%</td></tr></tbody></table>

 

Hope you can outperform the SP

 

Does he have to outperform 40% more than the SPY, because his STDV is 40% more than the SP?

 

Today’s result: -0.29%

For Thursday we’re 2x leveraged short on the S&P500.

Merry Christmas!

 

http://blogs.marketwatch.com/thetel...he-year-to-be-in-the-market-bespoke/?mod=sfmw

 

ahahah

We like to defy the odds (or apparently so)



YTD we're still outperforming the S&P, just not since March. As we've said a number of times, the S&P is just a proxy in a sense that we want to be at least as good as the S&P on the best years, but much much better during the worst

Please bear in mind that this is a long/short and sometimes leveraged strategy, on our trades (published here) we were 1/3 of the time short during one hell of bull year, so I'm pretty glad with our performance (even if at the cost of a higher volatility).

Merry Christmas and we'll see what happens on Thursday