A Yearly Review of Systematic Futures and Multi-Asset Returns
Summary
This personal performance review covers a UK tax year and describes returns from UK shares, stock and bond funds, systematic futures trading, and the combined portfolio. It explains the author’s benchmark choices and separates performance contribution from internal rate of return, while also reporting measures such as volatility, Sharpe ratio, and geometric return. The review attributes strong futures results mainly to energy markets, while stock selection and regional allocation lagged their benchmarks; bonds performed better relative to a broad bond index.
The UK share process uses value selection with trailing stops and manual execution, and the futures component is automated. The account-level results are compared with several fund or index benchmarks, with differing risk and capital definitions. This is one investor’s experience over a particular market period, not a controlled strategy test. Cash flows, turnover, fees, taxes, benchmark selection, and the author’s stated calculation choices affect interpretation; some sections and data are omitted from the supplied text.
Key ideas
- The review separates portfolio performance into shares, funds, bonds, futures, and cash contributions.
- The author reports using value selection with trailing stops for UK shares and automation for futures.
- Returns are compared with benchmarks using internal rates of return and risk-adjusted statistics.
- Reported outcomes are specific to one portfolio and period, and depend on benchmark and capital definitions.
- Turnover, transaction costs, cash flows, and tax treatment influence how the results should be interpreted.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.