Wikifolio Analyse
14
CǎnjǍLjdž ALJƺDžǒnjǂnj DƺƼǁ TNjƺƽǂLJǀ ILJǏƾnjǍ Christopher Helm Helm & Nagel GmbH Ponkratzstr. 11 80995 Munich [email protected] © Helm & Nagel GmbH 1/14
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Transcript of Wikifolio Analyse
C A
D T I
Christopher Helm
Helm & Nagel GmbH
Ponkratzstr. 11
80995 Munich
© Helm & Nagel GmbH 1/14
E S
Alpha Generation StrategyPlease provide us your return strategy.
TradingPlease provide us your trading methodology.
Asset UniversePlease provide us your asset universe description.
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D T I - DS
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T P
Performance in active trading period 15.02.2013 - 01.08.2016
2013−03−01 2014−03−01 2015−03−01 2016−03−01Time
0.0
0.2
0.4
0.6
0.8
Wikifolio.CloseGDAXI.CloseGSPC.CloseSTOXX50E.Close
Per
form
ance
sin
ce W
ikifo
lio la
unch
Drawdowns
Summary
• Suggestion:
• Please provide two to three bullet points to summarize
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D T I
Performance for Active Trading Period 15.02.2013 - 01.08.2016
2013−03−01 2013−09−01 2014−03−01 2014−09−01 2015−03−01 2015−09−01 2016−03−01
Time
−0.
30−
0.20
−0.
100.
00
Wikifolio.CloseGDAXI.CloseGSPC.CloseSTOXX50E.Close
Red
uctio
n of
val
ue c
ompa
red
to la
st p
eak
Drawdowns
Summary
• Suggestion:
• Please provide two to three bullet points to summarize
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P S
Visual Summary
2013−03−01 2013−09−01 2014−03−01 2014−09−01 2015−03−01 2015−09−01 2016−03−01 2016−08−01
−0.
08−
0.06
−0.
04−
0.02
0.00
0.02
0.04
Wikifolio.CloseGDAXI.CloseGSPC.CloseSTOXX50E.Close
Val
ue
Trading Returns per Day
Summary
• Suggestion:
• Please provide two to three bullet points to summarize
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D T R
Retrurn Distribution
Return Distribution Comparison
Return
STOXX50E.Close
GDAXI.Close
GSPC.Close
Wikifolio.Close
−0.08 −0.06 −0.04 −0.02 0.00 0.02 0.04
Summary
• Suggestion:
• Please provide two to three bullet points to summarize
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C M
Correlation with German DAX
−0.06 −0.04 −0.02 0.00 0.02 0.04
−0.
03−
0.02
−0.
010.
000.
010.
020.
03
Scatter Plot of Trading Returns of Dax (x) vs. Wikifolio (y)
x
y
Summary
• Suggestion:
• Please provide two to three bullet points to summarize
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C M
Correlation Analysis
x
Den
sity
Wikifolio.Close
−0.06 −0.04 −0.02 0.00 0.02 0.04
0.52*** 0.46***−0.08 −0.04 0.00 0.02 0.04
−0.
03−
0.01
0.01
0.03
0.50***
−0.
06−
0.02
0.02
x
Den
sity
GDAXI.Close
0.55*** 0.93***
x
Den
sity
GSPC.Close
−0.
020.
02
0.56***
−0.03 −0.02 −0.01 0.00 0.01 0.02 0.03
−0.
08−
0.02
0.04
−0.02 0.00 0.02 0.04
x
Den
sity
STOXX50E.Close
Summary
• Suggestion:
• Please provide two to three bullet points to summarize
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P S
Tabulated Summary
Wikifolio.Close GDAXI.Close GSPC.Close STOXX50E.Close
Observations 1206 1206 1206 1206NAs 0 0 0 0
Minimum -0.03 -0.07 -0.04 -0.09Quartile 1 0 0 0 0Median 0 0 0 0
Arithmetic Mean 0 0 0 0Geometric Mean 0 0 0 0
Quartile 3 0 0 0 0Maximum 0.03 0.05 0.04 0.05SE Mean 0 0 0 0
LCL Mean (0.95) 0 0 0 0UCL Mean (0.95) 0 0 0 0
Variance 0 0 0 0Stdev 0 0.01 0.01 0.01
Skewness 0.11 -0.38 -0.24 -0.57Kurtosis 8.77 4.01 4 7.37
Summary
• Suggestion:
• Please provide two to three bullet points to summarize
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R M
Tabulated
Table 2: We can provide up to 50 Measures. Please contact us to customize this report.
Wikifolio.Close GDAXI.Close GSPC.Close STOXX50E.Close
Active Premium/Return NA 0.07989 0.05669 0.1163Appraisal ratio NA 2.15 1.898 2.264
Average Drawdown 0.007571 0.02807 0.01564 0.02682Average Length 12.23 34.27 18.93 28.29Information Ratio NA 0.5862 0.5968 0.8455Jensen’s alpha NA 0.1185 0.1087 0.1263Calmar Ratio 1.579 0.1583 0.4809 0.03942VaR 0.95 -0.005252 -0.01688 -0.0113 -0.01606
SkewnessKurtosisRatio 0.009084 -0.0543 -0.03374 -0.05501Adjusted Sharpe ratio (Risk free = 0) -0.5909 0.3629 0.6345 0.1537
Sortino Ratio (MAR = 0%) 0.1896 0.03346 0.06419 0.01377
Summary
• Suggestion:
• Please provide two to three bullet points to summarize
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INFO
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H & N G H
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INFO
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