2018 10-05 portfolio performance
- 1. PORTFOLIO PERFORMANCE - RETURN
BY SECTOR
Figure 1
Table 1
PORTFOLIO SPY NASDAQ 100 DOWN JONES
1Y_Mean Return 12.88% 14.02% 17.95% 24.44%
1Y_Average Std Deviation 15.17% 11.11% 12.22% 15.56%
1Y - 1 Day - 5% VaR - Max 2.51% 2.54% 2.82% 3.03%
1Y - 1 Day - 5% ES - Max 3.15% 3.18% 3.54% 3.80%
1Y_Shape Ratio 0.85 1.26 1.47 1.57
Figure 2 Figure 3
- 3. PORTFOLIO PERFORMANCE - VAR
BY SECTOR
Figure 5
Figure 6
Table 3-TECH
Portfolio 1Y Mean Return 6.44%
1Y - 1 Day - 5% VaR -
CORRELATION
PORTFOLIO SPY NASDAQ 100 DOWN JONES VIX
PORTFOLIO 1 0.58 0.52 0.42 0.46
SPY 0.58 1 0.98 0.92 0.79
NASDAQ 100 0.52 0.98 1 0.91 0.76
DOWN JONES 0.42 0.92 0.91 1 0.64
VIX 0.46 0.79 0.76 0.64 1
Table 2
Portfolio 1Y Mean Return 12.88%
1Y - 1 Day - 5% VaR -
CORRELATION
PORTFOLIO SPY NASDAQ 100 DOWN JONES VIX
PORTFOLIO 1 0.77 0.72 0.59 0.60
SPY 0.77 1 0.98 0.92 0.79
NASDAQ 100 0.72 0.98 1 0.91 0.76
DOWN JONES 0.59 0.92 0.91 1 0.64
VIX 0.60 0.79 0.76 0.64 1
- 4. Figure 7
Table 4-CONSTRUCTION
Portfolio 1Y Mean Return 17.24%
1Y - 1 Day - 5% VaR -
CORRELATION
PORTFOLIO SPY NASDAQ 100 DOWN JONES VIX
PORTFOLIO 1 0.82 0.80 0.69 0.66
SPY 0.82 1 0.98 0.92 0.79
NASDAQ 100 0.80 0.98 1 0.91 0.76
DOWN JONES 0.69 0.92 0.91 1 0.64
VIX 0.66 0.79 0.76 0.64 1
Figure 8
Table 5-BASIC MATERIALS
-
Portfolio 1Y Mean Return 19.89%
1Y - 1 Day - 5% VaR -
CORRELATION
PORTFOLIO SPY NASDAQ 100 DOWN JONES VIX
PORTFOLIO 1 0.65 0.62 0.53 0.53
SPY 0.65 1 0.98 0.92 0.79
NASDAQ 100 0.62 0.98 1 0.91 0.76
DOWN JONES 0.53 0.92 0.91 1 0.64
VIX 0.53 0.79 0.76 0.64 1