We at Squared Concept wish all of our friends, family and
business associates a healthy, happy and prosperous New Year.
The final results are in for our proprietary Fishbone
trading model. (For more information on the Fishbone trading model please click
here).According
to the figures, for 4Q15 the model
returned 4.7% underperforming the S&P 500 that returned 6.5% for the
quarter. The challenge was in the month of October where the S&P 500 rallied
8.3% for the month while our portfolio lost 3.0%. We received signals from the
model that were incorrect and we were forced to regroup for the remainder of
the year. The one bright point for the quarter is that the volatility in our portfolio was less than the overall market. We had a standard deviation in returns of 3.9% for the quarter compared to 4.5% for the S&P 500.
We launched the Fishbone trading model in July so the end of
the year marks our first six months of trading.
For the six months ended December 31, 2015 our cumulative return
is 20.5% compared to -3.0% for the S&P 500.
Our average monthly return is 3.22% for the six months ended
December 31, 2015 compared to -0.41% for the S&P 500.
The standard deviation for our portfolio since inception is
3.83% compared to 4.83% for the S&P 500. The volatility in our portfolio is
roughly 20% less than the benchmark. The Sharpe Ratio for our portfolio since
inception is 2.90 compared to -0.30 for the S&P 500.
The downside volatility for the Fishbone trading model is
1.49% compared to 3.23% for the S&P 500 over the same time period. This has
resulted in superior Sortino and Calmar Ratios.
The maximum drawdown in the Fishbone trading model to date
is 3.00% compared to 9.37% for the S&P 500 since July 2015. We managed to
recover the loss in one month while the losses in the S&P 500 are ongoing
since July 2015. The Fishbone trading model has been profitable for five out of
six months of trading (83.33%) compared to just two profitable months out of
six (33.33%) for the S&P 500.
Bottom Line: Despite
the challenges that we had in October 2015 we are pleased with the overall
results for the first six months of the Fishbone trading model. We look forward
to the New Year and more successful trading ideas.
Joseph S. Kalinowski, CFA
Email: joe@squaredconcept.com
Twitter: @jskalinowski
Additional Reading
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permission of Squared Concept Partners, LLC.
Any information presented in this report is for informational purposes
only. All opinions expressed in this
report are subject to change without notice.
Squared Concept Partners, LLC is an independent asset management and
consulting company. These entities may have had in the past or may have in the
present or future long or short positions, or own options on the companies
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positions may have been established prior to the writing of the particular
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The above
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securities discussed herein. The
publisher of this report cannot verify the accuracy of this information. The owners of Squared Concept Partners, LLC
and its affiliated companies may also be conducting trades based on the firm’s
research ideas. They also may hold
positions contrary to the ideas presented in the research as market conditions
may warrant.
This analysis
should not be considered investment advice and may not be suitable for the
readers’ portfolio. This analysis has been written without consideration to the
readers’ risk and return profile nor has the readers’ liquidity needs, time
horizon, tax circumstances or unique preferences been taken into account. Any purchase
or sale activity in any securities or other instrument should be based upon the
readers’ own analysis and conclusions. Past performance is not indicative of
future results.
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