A colleague of mine recently ran some analysis on my LIVE Portfolio Trading results, against his macro portfolio and the S&P, for Q1 of 2018. He comes from the hedge fund and portfolio management side and I have never worked in either. Here are his results and findings which I share for those interested.

 

Assumptions:

  1.       Swing, Chase returns are based on closed trades, and does not reflect mark-to-market of outstanding positions.
  2.       Swing and Chase returns are based on fixed allocations (i.e. $1K = 1 unit).
  3.       Returns do not account for commissions/fees.
  4.       S&P 500 returns are unadjusted price-based.

Notes:

  1.       Sharpe ratio = Return/Std dev (annualized)
  2.       Kurtosis measures how fat the tails are/how often you get big positive/negative returns. A kurtosis of 0 means that a strategy is normally distributed. The higher the kurtosis, the fatter the tails. A kurtosis > 4 indicates a very high likelihood of outsized fat tails.

Analysis:

  1.       On the surface, the numbers look very good for your systems. Sharpe ratios are very high. Guys like Warren Buffett, Julian Robertson, and George Soros have long-term Sharpe ratios in the 0.7 to 1.0 range.
  2.       Analytical period is very short. I will update each quarter.
  3.       Not a surprise that Swing and Chase are 0.76 correlated. Steve;s Quant portfolio has a low correlation with the other two.
  4.       Your strategies are highly diversifying.
  5.       Despite the vastly better returns, Chase looks like it has better risk-adjusted returns, which imply that someone could lever up the account (or use a more aggressive allocation of more than 1%=1 unit).

Samantha here with a Big Thank You to my colleague for running these numbers. They are interesting, even if I don’t think of trading in these terms.  I believe if I take care of the process, the results will take care of themselves. With that, my process is an amalgamation of Macro, Intermarket, Technical, Sentiment and Value Investing.  That may seem complex to some but for me it is my version of counting cards: if 3 or 4 out of 5 ‘conditions’ align, then I have a higher probability for success. Then just today I saw this tweet and realized my returns, and my ‘balanced’ approach, may be new and unusual in this regard?

https://twitter.com/HayekAndKeynes/status/979775155647008768

This guy runs a billion dollar hedge fund and comes from Bridgewater so I assume he’s tested a few approaches in addition to his stated observation. Again, I have worked for no one (ahem, all good and bad habits are purely mine), so I have created a ‘system’ that feels comfortable for me, and I am just very happy that I can make it available for others to follow along and hopefully learn and profit from.

Back in November of last year, I gained a new client in my LIVE Trading Room – poor thing had to live through a very rough product launch of my LIVE Portfolio Trade Alerts. I wondered why he stuck around through that distraction. Recently I found out and I am more than humbled and grateful.

I want more clients like this one! Seriously, I had no idea who might be interested, let alone pay, for my style of market insight, trading set ups, mentorship when I opened up shop last summer. Somehow, retail and professional, momentum and swing traders have found me, and I am just grateful to serve these most savvy retail and sophisticated small institutional clients. With that, perhaps you will consider joining me and together we can navigate these markets together.

With sincere thanks,

Samantha

 



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At LaDucTrading, I analyze price patterns and intermarket relationships across stocks, commodities, currencies and interest rates. I develop macro investment themes to identify tactical trading opportunities and employ strategic technical analysis to deliver high conviction stock, sector and market calls. Through LIVE portfolio-tracking, across multiple time-frames, my real-time Trade Alerts via SMS/email frame my Thesis, Triggers, Time Frames, Trade Set-ups and Option Tactics. I selectively use Unusual Option Activity (UOA) and Deal Flow but no proprietary indicators – just solid chart pattern recognition, volatility insight and some big-picture perspective thrown in. Twitter:  @SamanthaLaDuc