Argie bond quant track record

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Information about Argie bond quant track record
Finance

Published on March 12, 2014

Author: FranciscoPrack

Source: slideshare.net

Description

Argie Bond Quant is an ARS denominated sovereign fixed income portfolio that is always on the cheap side of the market.

Return Since inception 12/07/2011 (2,26 years) Annualized Year 2012 Year 2013 Year to date Month to date Week to date Last day 03/11/2014 Best day Worst day Risk Annualized volatility Beta / Correlation against IAMC Bond Index VaR1% 1 day Maximum drawdown (27 trading days to the bottom, 14 to recover) Risk-adjusted Annualized Alpha vs. IAMC Bond Index Sharpe ratio (Risk free rate 16,22%) 1/ Composite of all accounts under management. Subject to minor changes. ABQ1/ 125,35% 43,24% 36,79% 40,74% 3,06% 0,57% 0,81% 3,05% 2,28 Argie Bond Quant track record -3,64% 7,23% 11,85% 0,76 / 0,74 -7,37% -1,90% 13,66%

Daily data Inception date 12/07/2011 =1 Argie Bond Quant track record 0,90 1,10 1,30 1,50 1,70 1,90 2,10 2,30 2,50 D 2011 J 2012 F M A M J J A S O N D J 2013 F M A M J J A S O N D J 2014 F M Maximum drawdown Recovery Argie Bond Quant

J F M* A M J J A S O N D Year 2011 2,98% 2,98% 2012 4,49% 3,49% 2,63% 0,68% -1,85% 4,78% 5,24% 1,16% 4,44% -1,42% 2,31% 6,16% 36,79% 2013 6,17% -3,84% 4,93% 6,48% -2,74% -0,43% 6,34% 2,49% 7,49% 8,70% -1,06% 1,12% 40,74% 2014 8,50% 1,64% 3,06% 13,66% * as of 03/11/2014 Argie Bond Quant track record

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