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Managed Futures

4 - Performance Metrics | Quant Trading In Futures

April 2019 - Managed Futures

posted by Finalyze Capital Retail Program
5yrs ago

How do we evaluate a trading strategy?

What metrics measure risk-adjusted returns in terms of volatility?

What metrics measure risk-adjusted returns in terms of worst-case-scenario loss?

What metrics measure risk-adjusted returns in terms of correlation to the stock market?

How do we annualize the Sharpe ratio and why does the risk-free rate fall out of the Sharpe ratio formula for futures?


Playlist - https://www.youtube.com/watch?v=DFgm5...


Slides - https://drive.google.com/file/d/1PgSt...


Email - [email protected]


Finalyze Capital website - https://finalyze.io


Disclaimer:

The purpose of this presentation is to educate and to provide transparency regarding our research methodology and trading process – it is not investment or trading advice.

The material provided does not constitute a solicitation to invest with or open an account with the presenter. It is not an endorsement of any particular trading strategy, nor a solicitation to buy or sell any security or financial derivative.

Commodity trading involves substantial risk of loss. Investors should understand the risks involved in taking leveraged positions with futures contracts. The investment information provided here may not be suitable for all investors, and should be carefully considered with regard to their investment objectives, risk tolerance, and financial situation.



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ALL ALPHAMAVEN CONTENT IS FOR INFORMATIONAL PURPOSES ONLY. CONTENT POSTED BY MEMBERS DOES NOT NECESSARILY REFLECT THE OPINION OR BELIEFS OF ALPHAMAVEN AND HAS NOT ALWAYS BEEN INDEPENDENTLY VERIFIED BY ALPHAMAVEN. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. THIS IS NOT A SOLICITATION FOR INVESTMENT. THE MATERIAL PROVIDED HEREIN IS FOR INFORMATIONAL PURPOSES ONLY. IT DOES NOT CONSTITUTE AN OFFER TO SELL OR A SOLICITATION OF AN OFFER TO BUY ANY INTERESTS OF ANY FUND OR ANY OTHER SECURITIES. ANY SUCH OFFERINGS CAN BE MADE ONLY IN ACCORDANCE WITH THE TERMS AND CONDITIONS SET FORTH IN THE INVESTMENT'S PRIVATE PLACEMENT MEMORANDUM. PRIOR TO INVESTING, INVESTORS ARE STRONGLY URGED TO REVIEW CAREFULLY THE PRIVATE PLACEMENT MEMORANDUM (INCLUDING THE RISK FACTORS DESCRIBED THEREIN), THE LIMITED PARTNERSHIP AGREEMENT AND THE SUBSCRIPTION DOCUMENTS, TO ASK SUCH QUESTIONS OF THE INVESTMENT MANAGER AS THEY DEEM APPROPRIATE, AND TO DISCUSS ANY PROSPECTIVE INVESTMENT IN THE FUND WITH THEIR LEGAL AND TAX ADVISERS IN ORDER TO MAKE AN INDEPENDENT DETERMINATION OF THE SUITABILITY AND CONSEQUENCES OF AN INVESTMENT.