1D | -1.4 % |
1W | -1.4 % |
2W | -1.7 % |
1M | -1.7 % |
3M | -2.7 % |
6M | 4.1 % |
9M | 2.3 % |
1Y | 2.8 % |
Alpha
3.5%
|
Beta
0.06
|
sharpe-R
0.66
|
Benchmark
SPGSCI (S&P-GSCI Commodity Index Future)
|
sharpe-R Benchmark
-0.34
|
Calculation Frequency | Daily |
Latest Valuation Time | 2024-07-26 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.Try Our Peformance Checker Tool
Asset | Action | Perf % |
---|---|---|
ZO.FUT | Sell All | -1.78% |
KC.FUT | Sell All | -6.99% |
Asset | Action | Weight | PnL | Entry Date |
---|---|---|---|---|
KC.FUT Coffee Future | Buy | 14.23% | -3.91% | 2024-07-10 |
ZO.FUT Oat Front Future | Buy | 15.15% | 1.01% | 2024-07-19 |
Asset | Action | Perf % |
---|---|---|
SI.FUT | Sell All | -4.66% |
Asset | Action | Weight | PnL | Entry Date |
---|---|---|---|---|
SI.FUT Silver Future | Buy | 9.39% | -3.62% | 2024-07-04 |
KC.FUT Coffee Future | Buy | 14.35% | -3.02% | 2024-07-10 |
ZO.FUT Oat Front Future | Buy | 14.99% | 0% | 2024-07-19 |
Asset | Action | Weight | PnL | Entry Date |
---|---|---|---|---|
SI.FUT Silver Future | Buy | 9.73% | 0.72% | 2024-07-04 |
KC.FUT Coffee Future | Buy | 14.67% | 0% | 2024-07-10 |
Asset | Action | Weight | PnL | Entry Date |
---|---|---|---|---|
SI.FUT Silver Future | Buy | 9.67% | 0% | 2024-07-04 |
Asset | Action | Perf % |
---|---|---|
KE.FUT | Sell All | -6.38% |