Full Portfolio Performance
Executive Summary
Performance
Growth of 1.0 since inception; use the range buttons to zoom.
Long / Short Attribution
How the long and short books split the total result, side by side.
The short book detracted this period (-128.6% of the net result), so the long book is more than 100% of it (228.6%); the two shares sum to 100% of the net result.
Per-book comparison
| Metric | Long | Short | Total |
|---|---|---|---|
| Cumulative (ITD) | 65.23% | -23.06% | 21.95% |
| Annualized (CAGR) | 10.87% | -5.24% | 4.16% |
| Volatility | 18.15% | 18.89% | 2.51% |
| Sharpe | 0.60 | -0.28 | 1.66 |
| Sortino | 0.84 | -0.40 | 2.46 |
| Max drawdown | -27.18% | -47.05% | -2.07% |
| Hit rate (batting avg) | 53.47% | 49.37% | 54.57% |
| Slugging ratio | 1.12 | 0.97 | 1.30 |
| Skew | -0.34 | 0.13 | -0.32 |
Each book's return on its own start-of-day capital; the two books do not sum to the total.
Daily agreement of the two books
On most days one book gains while the other gives back (directional offset); both books gain on stock-selection days.
Exposures
Gross and net book size over time. Net = long minus absolute short.
Gross and net book size: average, latest, and range over the period.
Risk
Dispersion, risk-adjusted ratios, and tail statistics of daily returns.
| Downside deviation | 1.69% |
| VaR 95% (hist) | -0.24% |
| CVaR 95% (hist) | -0.35% |
| VaR 99% (hist) | -0.40% |
| CVaR 99% (hist) | -0.54% |
| Skewness | -0.32 |
| Excess kurtosis | 1.57 |
Drawdown
Underwater plot and recovery profile: distance below the prior peak.
Monthly Heatmap
Monthly compounded returns; green is gain, red is loss.
Win / Loss
Hit rate and the size of up days versus down days.
Longest run of up days: 11; down days: 8.
Best and worst single period at each horizon.
| Horizon | Best | When | Worst | When |
|---|---|---|---|---|
| Day | 0.55% | 2023-06-21 | -0.75% | 2022-03-09 |
| Month | 1.59% | 2022-04-30 | -1.49% | 2026-03-31 |
| Quarter | 3.21% | 2022-12-31 | -0.35% | 2024-06-30 |
| Year | 7.94% | 2022-12-31 | 0.69% | 2026-12-31 |
Distribution of daily returns; green bars are gains, red are losses.
Glossary
Definitions for the figures used across this report.
| Total return | Official Daily Returns (book-of-record). |
| CAGR | Compounded annual growth over calendar time. |
| Volatility | sd(daily) x sqrt(252). |
| Downside deviation | RMS of negative returns, MAR=0, annualized. |
| Sharpe / Sortino | Sharpe = annualized return / volatility; Sortino uses downside deviation. |
| Attribution | daily_return x side_pnl / gross_pnl; sums to total. |
| Exposures | Uses |short|. Net = long - |short|. |