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Portfolio Ref: CO5SP1MS2
Performance in the last:
1D 0.0 %
1W 0.0 %
2W 0.0 %
1M -0.9 %
3M 3.0 %
6M 7.3 %
9M 3.3 %
1Y 5.9 %
Alpha
4.3%
Beta
0.07
sharpe-R
1.01
Benchmark
SPGSCI (S&P-GSCI Commodity Index Future)
sharpe-R Benchmark
0.45
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 2024-06-12 00:31:44
Launch Date 2023-01-01 00:00:00
First Valuation Date 2021-01-01 00:00:00
Max. DrawDown -4.08%
Max. DrawDown Benchmark -16.08%

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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Follow the portfolio and you will get notified for every change in the composition of the portfolio

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

2024-05-20 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 %
KE.FUT Sell All -6.38%
Assets Rebalanced
None
2024-05-14 00:00:00 : Portfolio change date
Asset Action Weight PnL
KE.FUT KC HRW Wheat Front Future Buy 14.67% 0%
The percentage of cash held in the portfolio is: 85.33%
New Assets Added
  • KE.FUT
Assets Removed
None
Assets Rebalanced
None
2024-04-19 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 %
KE.FUT Sell All -1.03%
Assets Rebalanced
None
2024-04-15 00:00:00 : Portfolio change date
Asset Action Weight PnL
KE.FUT KC HRW Wheat Front Future Buy 14.53% 0.9%
The percentage of cash held in the portfolio is: 85.47%
New Assets Added
None
Assets Removed
Asset Action Perf %
BZ.FUT Sell All 7.38%
Assets Rebalanced
None
2024-04-03 00:00:00 : Portfolio change date
Asset Action Weight PnL
BZ.FUT Crude Oil Brent Buy 49.33% 6.07%
KE.FUT KC HRW Wheat Front Future Buy 13.96% -4.33%
The percentage of cash held in the portfolio is: 36.7%
New Assets Added
None
Assets Removed
None
Assets Rebalanced
Asset Action Weight
BZ.FUT Sell -0.88%
2024-03-20 00:00:00 : Portfolio change date
Asset Action Weight PnL
BZ.FUT Crude Oil Brent Buy 49.33% 3.71%
KE.FUT KC HRW Wheat Front Future Buy 14.67% 0%
The percentage of cash held in the portfolio is: 36%
New Assets Added
  • KE.FUT
Assets Removed
None
Assets Rebalanced
Asset Action Weight
BZ.FUT Sell -0.8%

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