It was OK year for me. My own us portfolio went up by 30.25%, with SR 1.78, Max DD 7.67%. I have not used any margin and I hedged portfolio with with etfs on bonds the whole year. The performance was low beta, higher SR and lower standard deviation in comparison to IWM and VOO. I invested mostly in small stocks. So it was quite hard this year to beat SP500 but I was successful at the end.
The stocks that made me the most money were PFIE, VIRC, ALAR.
Most importantly it was a fourth in row year when I achieved higher return than iwm and voo etf.
I trade only once a month due trading restrictions imposed by my employer.
My return in 2023 was 13% (long-only in small cap stocks), a bit unsatisfying, but it was my first year of investing with Portfolio123, and I haven’t tried any similar tools before either, so I will call it a learning year. And it’s been quite exciting to learn and explore P123, by the way.
Happy New Year, Per.
Yes, it is very painful for me, since I love trading:(
I’m a data scientist in a big US bank in a credit risk analytics division (non-retail PD models).
Here are all of my stock ports with no survivorship bias meaning I did not start any other stock ports during this period (I do an ETF port that I have not included for diversity). I have been trading during the day. I added a port at the close for liquidity reasons as the close has the higherst trading volume of the day (generally) with little out-of-sample performance but included it to avoid any survivorship bias.
While generally consistent my port has been evolving (probably a better port now than when I started last year). The bench was the SP1500 Pure Value Index as my sim has a 0.78 correlation with this index:
No optimizer. All statistics and machine learning except sims were used to adjust the sell rule (i.e., RankPos > X) and to find the optimal number of stocks to hold (using time-series cross-validation).
My out of sample results are consistent with my walk-forward validation of this port (including a walk-forward validation of the feature selection). Suggesting this can be a useful way to select a port and get some idea of the expected out-of-sample performance. More out-of-sample data will be necessary to drawn any definite conclusions about this.
My median port (Tuesday) has the following level of statistical significance for excess returns relative to the benchmark:
I am for whatever works and I am happy for everyone’s success. Machine learning and statistics can work. I intend to fully support @Marco in his efforts to bring machine learning to this platform (see above for support of his plan).
I started with P123 in around May, but did not invest until June/July. So my results are only for about half the year. However, my total portfolio did about 26%. Here are the P123 parts and crypto since it has been mentioned by others:
P123 portfolio 1 (actual trading results, some leverage) since start of June 2023: 30%, DD -13%
P123 portfolio 2 (actual trading results) since mid June 2023: 18%, DD -13%
P123 portfolio 3 (very small, perf from live port) since mid July 2023: 9.9%, DD -6.3%
Crypto (a very small part of my port <2%): 120%*
Considering my P123 portfolios are only for the latter half of the year I am looking forward to what it can do for me going forward! I did also try options hedging, but with less than 2k, and after realizing my method was not working I set it aside until I can revisit.
*Note for the cypto: while these returns look great I am still below my principle investment…
Momentum is the most important factor investing in crypto and crypto-related assets. Never buy-and- hold crypto assets, most of them has a max drawdown of 80%+.
Pls see this screenshot from a research paper (that I sent to Jim before) comparing momentum trading between crypto and S&P 500 on different timeframes.
Thanks for starting the thread Yuval and for all to share.
I managed 26% across my main 4 strategies (2 US & 2 CAD). No leverage or hedging.
Certainly not bad, but I believe I could have done better (relative to previous years).
As I do not hedge, I did see a great deal of volatility (so Kudos to Yuval for only have 1 negative month).
US strategies performed notably better than Canadian strategies (35% return vs 15% US & CAD resp).
A headwind for me was Canadian exposure. I’m roughly 2/3 US, 1/3 CAD.
My Canadian strategies were/are overweight energy names, despite the general weakness in oil (and that the energy sector was the 2nd worst performing sector of 2023). I find this perplexing, as I have several momentum rules in place to avoid this, still working thru a post-mortem.
Canadian strategies also seemed lower turnover than previous years, another question I’m working thru as to the reason why.
Overall performance since 2020: 4 year CAGR of 37% which I will certainly not balk at, and have nearly 4X’d my initial capital since starting these live strategies in early 2020.
Thanks for starting this thread. My aggregate portfolio exclusive P123 returned ~13% in line with my expectations of ~15%. The P123 portfolio is constructed conservatively where at least 30% sits in cash as I sell out of the money puts for income (3% - 6% on overall portfolio).
Yuval - If you wouldn’t mind, can you please share your approach to using puts for hedging.
When you say put options were 15% of your portfolio, are you saying the 15% represents the value of the underlying in the options or the 15% is the value of the option premium you bought, and if they expired worthless, you would be risking 15% of your portfolio?
I’d like to see what the minimum liquidity requirements and average number of positions for each of these ports. Without that, the performance seems somewhat meaningless.
The portfolio is an IRA in withdrawal mode with a definite tilt towards limiting drawdowns. Universe is liquidity constrained NOOTC based with $200k daily median and a less than 1% spread. Policy has the cash position at 15%.
Return was 23.92% with a max drawdown of 9.07%. Sharpe is 1.13 and Sortino is 1.73. With IWM as the benchmark the beta is 0.66 and alpha is 13.02%.
Congrats to everyone who have posted and beat Millennium and both D.E Shaw funds. Still waiting for the largest multi-strategy fund Citadel Wellington to post results (should be around 15% full year) and then Medallion and Bluecrest Capital.
)