• Like
Argie bond quant track record
Upcoming SlideShare
Loading in...5
×

Argie bond quant track record

  • 127 views
Uploaded on

Argie Bond Quant is an ARS denominated sovereign fixed income portfolio that is always on the cheap side of the market.

Argie Bond Quant is an ARS denominated sovereign fixed income portfolio that is always on the cheap side of the market.

  • Full Name Full Name Comment goes here.
    Are you sure you want to
    Your message goes here
    Be the first to comment
    Be the first to like this
No Downloads

Views

Total Views
127
On Slideshare
0
From Embeds
0
Number of Embeds
1

Actions

Shares
Downloads
0
Comments
0
Likes
0

Embeds 0

No embeds

Report content

Flagged as inappropriate Flag as inappropriate
Flag as inappropriate

Select your reason for flagging this presentation as inappropriate.

Cancel
    No notes for slide

Transcript

  • 1. Argie Bond Quant track record ABQ1/ Return Since inception 12/07/2011 (2,24 years) Annualized Year 2012 Year 2013 Year to date Month to date Week to date Last day 03/05/2014 Best day Worst day Risk Annualized volatility Beta / Correlation against IAMC Bond Index VaR1% 1 day Maximum drawdown (27 trading days to the bottom, 14 to recover) Risk-adjusted Annualized Alpha vs. IAMC Bond Index Sharpe ratio (Risk free rate 16,15%) 1/ Composite of all accounts under management. Subject to minor changes. 119,44% 41,93% 36,79% 40,74% 10,68% 0,36% 0,36% 0,36% 3,05% -3,64% 11,84% 0,76 / 0,74 -1,90% -7,37% 6,84% 2,18
  • 2. Argie Bond Quant track record Daily data Inception date 12/07/2011 =1 2,30 2,10 1,90 1,70 1,50 1,30 1,10 0,90 D J F M A M J J A S O N D J F M A M J J A S O N D J F M 2011 2012 2013 2014 Maximum drawdown Recovery Argie Bond Quant
  • 3. Argie Bond Quant track record J F M* A M J J A S O N Year 2,98% 2011 D 2,98% 2012 4,49% 3,49% 2,63% 0,68% -1,85% 4,78% 5,24% 1,16% 4,44% -1,42% 2,31% 6,16% 36,79% 2013 6,17% -3,84% 4,93% 6,48% -2,74% -0,43% 6,34% 2,49% 7,49% 8,70% -1,06% 1,12% 40,74% 2014 8,50% 1,64% 0,36% * as of 03/05/2014 10,68%