Separating Investment Returns Across Portfolios and Benchmarks
Summary
This annual performance review excerpt explains how the author divides household financial assets and trading activity into distinct performance categories. It separates UK single stocks, long-only investments, an equity-neutral sleeve, systematic futures trading, the trading account as a whole, and total investments. Each category has its own denominator or benchmark where relevant, such as a UK equity ETF, a balanced fund, zero for the equity-neutral sleeve, or a volatility-adjusted CTA comparator for futures.
The framework clarifies why a single account-level return can obscure the sources and risks of performance. For futures, the author defines the capital base as the notional amount at risk, usually close to but not necessarily equal to account value; the overall measure also includes cash held in investment and trading accounts. The excerpt provides no actual returns, risk statistics, or attribution results, since those sections are headings only. It is therefore useful as an accounting and benchmarking outline, not as evidence about the strategy’s results.
Key ideas
- The review separates single stocks, long-only holdings, equity hedging, and systematic futures trading into distinct sleeves.
- Each sleeve is compared with a benchmark suited to its exposure, including zero for the equity-neutral portfolio.
- Futures performance uses notional capital at risk as its denominator rather than simply relying on account value.
- Total investment performance includes cash held in investment and trading accounts.
- This excerpt describes the measurement framework but does not report the year's performance figures.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.