Portfolio

Having reached its target age of 13 weeks, the long-short portfolio in the right hand sidebar was closed down on Friday. A bit of post-game analysis:

1). It outperformed the Ibex 35 (small consolation that it may be) 1.43% to 0.20%;

2). Of the 63 days it was in play, 36 were spent ahead of the index;

3). The portfolio outperformed the index by a maximum of 3.80% and underperformed by, at worst, 3.03%;

4). The standard deviation of daily returns ended the period at 0.27%, compared to 0.76% for the index;

5). The maximum gain was 3.03%, at the beginning of November;

6). As a consequence, leverage of 1.6x could have been applied without the portfolio having been more volatile than the index. If that were acceptable, it would have returned more or less 2.3% - 9.2% annualized (expenses not included). On the other hand, the portfolio never went negative...;

7). The profits were, in the main, attributable to the short trades - 6 of the 7 being winners compared to 2 for the longs.

More info on this can be found poking around the 'portfolio' category of this blog.

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