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Portfolio Ref: CO5LO1MS2
Performance in the last:
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1D 0.0 %
1W 0.0 %
2W -1.7 %
1M -1.7 %
3M 0.9 %
6M 9.8 %
9M 6.9 %
1Y 6.9 %
Alpha
8.0%
Beta
0.01
sharpe-R
1.07
Benchmark
SPGSCI (S&P-GSCI Commodity Index Future)
sharpe-R Benchmark
0.17
The portfolio metrics Alpha, Beta and Sharpe Ratio are computed using a risk free rate of 0%.
Other Information
Calculation Frequency Daily
Latest Valuation Time 2025-02-18 00:31:45
Launch Date 2023-01-01 00:00:00
First Valuation Date 2021-01-01 00:00:00
Max. DrawDown -4.26%
Max. DrawDown Benchmark -16.49%

This Long Only strategy aims to find promising assets to invest in for a maximum holding period of 1 Month in the Commodity asset class. The maximum number of assets that can be allocated in this strategy is 5.

The assets selection in this portfolio is based on: Pattern-Driven Strategy.
Please note that all model portfolios assume that the entry price for each trade is the previous close price.

Portfolio Performance against the market Benchmark

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Risk Level
4
Difficulty Level
2

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Current Portfolio Composition

No Asset in the portfolio
The percentage of cash held in the portfolio is: 100%
** The description of each asset is available Here

The latest 5 Compositions change

2025-02-10 00:00:00 : Portfolio change date
No Asset in the portfolio
The percentage of cash held in the portfolio is: 100%
New Assets Added
None
Assets Removed
Asset Action Perf %
PA.FUT Sell All -4.63%
Assets Rebalanced
None
2025-02-03 00:00:00 : Portfolio change date
Asset Action Weight PnL
PA.FUT Palladium Future Buy 20.17% 4.34%
The percentage of cash held in the portfolio is: 79.83%
New Assets Added
None
Assets Removed
Asset Action Perf %
CC.FUT Sell All -2.01%
Assets Rebalanced
None
2025-01-31 00:00:00 : Portfolio change date
Asset Action Weight PnL
CC.FUT Cocoa Future Buy 20.15% -1.13%
PA.FUT Palladium Future Buy 19.46% 0%
The percentage of cash held in the portfolio is: 60.38%
New Assets Added
  • PA.FUT
Assets Removed
None
Assets Rebalanced
None
2025-01-21 00:00:00 : Portfolio change date
Asset Action Weight PnL
CC.FUT Cocoa Future Buy 20.28% -0.38%
The percentage of cash held in the portfolio is: 79.72%
New Assets Added
None
Assets Removed
Asset Action Perf %
NG.FUT Sell All -4.3%
Assets Rebalanced
None
2025-01-13 00:00:00 : Portfolio change date
Asset Action Weight PnL
CC.FUT Cocoa Future Buy 19.24% -5.68%
NG.FUT Natural Gas Future Buy 19.69% 0%
The percentage of cash held in the portfolio is: 61.07%
New Assets Added
  • NG.FUT
Assets Removed
None
Assets Rebalanced
None
2025-01-06 00:00:00 : Portfolio change date
Asset Action Weight PnL
CC.FUT Cocoa Future Buy 20.67% 3.13%
The percentage of cash held in the portfolio is: 79.33%
New Assets Added
None
Assets Removed
Asset Action Perf %
NG.FUT Sell All -14.19%
Assets Rebalanced
None

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Compositions In The Last 2W Compositions In The Last 1M Compositions In The Last 3M Compositions In The Last 6M

Market Overview

Disclaimer Quantam Research does not provide personal investment or financial advice to individuals, or act as personal financial, legal, or institutional investment advisors, or individually advocate the purchase or sale of any security or investment or the use of any particular financial strategy. All investing, assets forecasts and investment strategies include the risk of loss for some or even all of your capital. Before pursuing any financial strategies discussed on this website, you should always consult with a licensed financial advisor.
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