The Green Alpha

Today’s result: -0.60%

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

 

Today’s result: +0.03%

For Monday we’re short on the S&P500.

 

Monday?

 

Sorry, for tomorrow

 

Today’s result: -0.04%

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

 

What was your position yesterday, was the S&P up or down, were you up or down?

I have the impression you were down on Monday as well, but I am not sure.

 

I think it is you who is missing the point. Given your STD, I could just leverage the SPY (1.4) to get same STD as yours, BUT the return would be 1.4 performance of SPY. 1.4 SPY was around 45% this year.

The results should be normalized. It is the ratio of return divided by STD that matters. Anyone could beat the SPY if variance were not an issue.

 

Today’s result: -0.23%

For Monday we’re short on the S&P500.

 

Here's a performance update:

(there was a slight change on the sharpe ratio calculation that is now based on annualized performance instead of cumulative performance)

<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">YTD </td><td class="google-visualization-table-td google-visualization-table-td-number">-1,45%</td><td class="google-visualization-table-td google-visualization-table-td-number">-0,32%</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">Cum Perf</td><td class="google-visualization-table-td google-visualization-table-td-number">13,16%</td><td class="google-visualization-table-td google-visualization-table-td-number">18,99%</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">15,12%</td><td class="google-visualization-table-td google-visualization-table-td-number">11,28%</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">1,34</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">0,06%</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">0,67%</td><td class="google-visualization-table-td google-visualization-table-td-number">0,56%</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">-0,65%</td><td class="google-visualization-table-td google-visualization-table-td-number">-0,54%</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">111</td><td class="google-visualization-table-td google-visualization-table-td-number">117</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">95</td><td class="google-visualization-table-td google-visualization-table-td-number">89</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">-5,29%</td><td class="google-visualization-table-td google-visualization-table-td-number">-0,32%</td></tr></tbody></table>

 

Today’s result: +1.26%

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