- My US small-cap account achieved 45.57% return (50% share). With filter MedianDailyTot > 20,000 USD, turnover 250%, Sharpe 1.36, volatility 21%, MaxDD 10.89%. I also have another account in IB (20% share) for trading volatility and commodities.
- My Polish small-cap account achieved (in PLN) 6.5% vs 5% WIG - broad index (30% share). Factset data does not help here with many stocks having delayed or missing financials.
US equities - I used a typical p123 all-weather(factors) type model based on ranking system, equally weighted portfolio. I can trade less liquid stocks. I often realized gains (short-term mean reversion) when stocks gained a lot in a short period. This year I hope to finish my ML system and then I will divide my capital.
Bad year for Polish equities in general. As long as Poland is a frontline country, Polish assets will be, ceteris paribus, relatively cheaper than comparable assets from other emerging markets, and cheaper than the pre-2022 averages. Interestingly, If I used the same model with universe of Swedish equities the performance could be somewhere at +25%. Therefore it is crucial to select European country right. Next year I will diversify my European portfolio.
My top (investable) European countries in 2025 with allocation share :
- Spain (30%) and Greece (20%) - Highest forecasted GDP growth at ~2.3% (OECD/Eurostat) out of countries from southern Europe.
- Poland (25%) - highest forecasted GDP growth out of 6 largest EU economies 3.4-3.6% (OECD/Eurostat). Huge EU-funded public investments are anticipated. Upside risk related to equity valuations if the war ends (hopefully this year).
- Sweden (25%) - my top north European pick. Many socioeconomical problems here, but good long-term pick - new government and forecasted accelerating gpd growth. The one of the largest investable European universe with many high-tech start-ups.