Using Futures Results to Assess Annual Portfolio Performance

Summary

This annual review reports portfolio-wide and futures results for the UK tax year, separating mark-to-market performance, interest, fees, commissions, and slippage. It also distinguishes pure futures returns from gains and losses associated with cash-like bond ETFs and foreign-exchange positions held for margin. The author groups these latter effects as the cost or benefit of margin, then compares results with CTA and balanced-portfolio benchmarks across multiple years.

The review includes asset-class and instrument-level profit-and-loss examples, and describes an execution algorithm that reduced the reported slippage bill compared with trading at market. Its account allocation was unusually defensive after the author moved to cash, so total performance reflects both that discretionary decision and the futures system; the long-only portfolio is not a clean proxy for a fixed allocation strategy. The figures are self-reported, the benchmark periods differ in places, and the excerpt does not explain the trading rules or provide enough detail to reproduce the returns independently.

Key ideas

• The review separates futures mark-to-market results from fees, commissions, slippage, and margin-related effects.
• Cash-like bond ETFs and foreign-exchange positions contributed to the account's margin-related return.
• Comparisons include CTA funds and a balanced benchmark, with some reporting periods not aligned to the UK tax year.
• The author attributes lower slippage to a simple execution algorithm compared with trading at market.
• The reported account return also reflects discretionary shifts in the long-only portfolio and is self-reported.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.