EQ-100 > Actual Performance

Beginning July 2009 on this page we will be tracking the actual performance of the EQ-100 equity trading program. To see extrapolation into the past of the currently traded strategy, see the hypothetical performance report from strategy back testing on the Backtesting page (from August 1987 to June 2009).

I. PERFORMANCE SUMMARY

ACTUAL TRADING RESULTS

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE RISK OF LOSS IN TRADING EQUITIES CAN BE SUBSTANTIAL. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION AND INVESTMENT OBJECTIVES.

1. Daily Rates of Return (ROR), Before Performance Fees - click here to download

 

2. Weekly Rates of Return (ROR), Before Performance Fees

    

Week I

Week II

Week III

Week IV

Week V

Jul 09

 - 0.409% 1.195% (0.299%) 0.446%

Aug 09

 (1.346%) 0.897% 0.752% 0.176% -

Sep 09

 1.230% 0.868% 0.135% (0.779%) (0.475%)

Oct 09

 0.856% 0.105% 0.075% (0.674%) -

Nov 09

 1.226% 0.866% (0.193%) (0.347%) -

Dec 09

 0.110% 0.577% (0.054%) (0.415%) 0.152%

Jan 10

 0.330% 0.252% (0.620%) (0.501%) -

Feb 10

 0.861% (0.519%) 0.441% (0.256%) -

Mar 10

 0.308%        

 

3. Monthly Rates of Return (ROR), Before/After Performance Fees

    

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

YTD

VAMI

2009

 See Backtesting results before start of trading 1.76% 0.54% 1.09% 0.42%* 0.16% 1.49% 0.43% 0.02%* 5.58% 4.46%* 1,055.8 1,044.6*

2010

 (0.50%) 0.52%                     0.02% 0.02%* 1,056.0 1,044.7*

* - Net of 20% quarterly performance fee

The above table shows actual trading results, before and after performance fees. Rates of return (ROR), net of 20% performance fee, are marked by asterisk (*). ROR figures have been calculated according to CFTC Regulation 4.25(a)(7)(i)(F), by dividing the monthly net performance (gain or loss) by the previous month net asset value. To see the calculations, open this Excel table. See also this performance fee calculation example in Excel.

The charts below show monthly rates of return (ROR) and the growth of $1,000 (the Value Added Monthly Index - VAMI), before and after 20% performance/incentive fee deduction. Compounding by monthly profit reinvesting is used.

II. Performance Analytics (Based on Actual Trading Results, Net of 20% Performance Fee)

Strategy Returns

Reporting period

 Jul/09 - Feb/10  (8 months)

Total return since strategy inception

 4.47%
S&P 500 Index return since strategy inception 20.14%

Compound average annual rate of return (ROR)

 6.79%

Growth of $1,000 since strategy inception (VAMI)

 1,044.7

# Positive months / average positive mon. ROR

 7 / 0.70%

# Negative months / average negative mon ROR

 1 / (0.50%)
Kurtosis & skewness of monthly RORs (0.23) / 0.55

% Positive months

 87.5%
Ratio avg. positive / avg. negative monthly ROR (Gain to loss ratio) 1.40
Maximum / minimum monthly ROR 1.76% / (0.50%)
Profit to loss ratio (Profit factor); Ratio sum positive mon. returns ÷ sum negative returns 9.80

Risk Measures
Annualized standard deviation of monthly RORs 2.58%
Annualized downside deviation of monthly RORs (below the RF rate of return of 1% per annum) 0.72%

Sharpe ratio, annualized (RF rate of return 1.0%)

 2.24
Sortino ratio, annualized (below the RF rate of 1% per annum) 8.04

Calmar Ratio, on end-of-month basis

 13.55
Alpha relative to the S&P 500 Index, annualized 1.39%
Strategy Beta & Correlation coefficient, relative to the S&P 500 Index 0.18 / 0.91
Jensen's alpha relative to the S&P 500 Index, annualized 0.17%
Active premium, relative to the S&P 500 Index, annualized (24.9%)
Tracking error, rel. to the S&P 500 Index, annualized 10.51%
Information ratio, relative to the S&P 500 Index (2.09)

Worst drawdown depth / duration (on end-of-month basis)

 (0.50%)

Longest recovery period

 1 month

Value at Risk (VaR) and Drawdown Analysis, based on strategy back testing, can be found on the EQ-100 Backtesting page.

Compounding is an efficient method for increasing your account equity exponentially, by reinvesting the profit (see the VAMI chart above). Since FX Quant 11 trades in small increments, it is one of the few trading programs suitable for monthly compounding. You can see these formulas for ROR calculations and compounding. By reinvesting profits and compounding yearly, a $20,000 principal (without yearly additions, at 25% annual ROR, after fees) can grow into $1,000,000 in 18 years - try this Financial Calculator.

Risk Disclaimer

THE RISK OF LOSS IN EQUITY TRADING CAN BE SUBSTANTIAL. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION AND INVESTMENT OBJECTIVES. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY BE LOWER OR HIGHER. EQUITY TRADING IS SPECULATIVE AND MAY INVOLVE THE LOSS OF PRINCIPAL; THEREFORE, FUNDS PLACED UNDER MANAGEMENT SHOULD BE RISK CAPITAL FUNDS THAT IF LOST WILL NOT SIGNIFICANTLY AFFECT ONE'S PERSONAL WELL BEING. THIS IS NOT A SOLICITATION TO INVEST AND YOU SHOULD CAREFULLY CONSIDER YOUR FINANCIAL SITUATION PRIOR TO MAKING ANY INVESTMENT OR ENTERING INTO ANY TRANSACTION.