Benchmarking Multi-Account Investments and Futures Trading Performance
Summary
The document describes how to separate and benchmark several parts of a personal investment and trading portfolio. It distinguishes UK single stocks, long-only investments, an equity-neutral sleeve created by hedging ETF exposure with futures, systematic futures trading, the overall trading account, and the combined portfolio. Each sleeve is matched to a different reference, such as a broad equity ETF, a balanced fund, zero return for the hedged sleeve, or a CTA-style benchmark for futures trading.
It also explains that the futures strategy’s performance denominator is the notional capital at risk, while the broader portfolio benchmark includes trading-account cash that could otherwise be invested. These choices illustrate why performance figures need clearly defined portfolios, benchmarks, and capital bases. The document’s visible text is primarily a framework and list of exposures; although it signals sections on returns and risk exposures, it supplies no performance values or detailed findings here. Its benchmark choices are specific to the author’s holdings and context, so they should not be treated as universal standards.
Key ideas
- Separate performance measurement into distinct sleeves for stocks, long-only investments, hedged exposure, futures trading, and the combined portfolio.
- Choose a benchmark that matches the exposure being evaluated, including a zero benchmark for an equity-neutral sleeve.
- Measure futures strategy returns against the notional capital at risk, as specified in the document.
- Include idle trading-account cash in the combined portfolio comparison when considering its alternative investment use.
- Benchmark and capital-base choices materially affect how reported performance should be interpreted.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.