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sprezzature · financial markets

Case study: financial markets

Net return
-26%
net of fees
vs buy & hold
-27 pts
benchmark +2%
Sharpe ratio
-0.61
net, annualised
Max drawdown
-40%
below the peak
Winning sessions
38%
cumulative cost 1.9%

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1Net wealth comparedBase 100 index · us (auto Kₜ), buy & hold and fixed K
Net wealth compared, base 100406080100120140160index (base 100)usindex 74Buy & holdindex 102K = 1index 72K = 3index 52K = 5index 70202420252026
2Automatic size KₜNumber of holdings over time
Automatic portfolio size, number of holdings Kt05101520holdingsaverage 11 holdings202420252026
3The 100 stocksPrices indexed to 100 · logarithmic scale
The 100 stocks, indexed to 100, log scale50100200400index (base 100)the 100 stocksmedian of the 1003 eventual winners202420252026
4Daily net P&LNet return (%) per session · blue up, red down
Daily net P&L, return per session-1.8%+0.0%+1.8%updown20-day avg202420252026
5Per-rebalance and cumulative costDual axis · basis points and percent
Per-rebalance cost in basis points and cumulative cost in percent0510150.0%2.0%4.0%per rebalance (bps)cumulative (%)202420252026
6Return distributionDensity of daily net return (%), by year
Distribution of daily net returns, by year202420252026-2%-1%+0%+1%+2%daily net return (%)
7Monthly returnsBlue positive, red negative (%)
Monthly returns, blue positive red negativeJFMAMJJASOND2024+0+0+0+0+0+5+3+10+2-6-3+42025-9-9+3-8-9+4-1+11-8+2+1+22026-5-6-4+1+6-5-6
8Turnover at rebalancesDual axis · share of the book traded (%)
Turnover at rebalances and its moving average0%50%100%150%40%60%80%100%120%turnover (%)average (%)22 rebalances, first to last
9DrawdownDistance (%) below the running peak (drawdown)
Drawdown, distance below the running peak-60%-40%-20%0%distance (%)drawdownmax drawdown-40%202420252026
10Risk-adjusted performanceSharpe ratio and total return vs benchmark
Risk-adjusted performance, Sharpe ratio and total return01.53-0.61Sharpe ratio(Rp − Rf) / σ · risk-free rate assumed nil · annualisedTotal net return vs benchmark-26%buy & hold +2%
1Net wealth comparedBase 100 index · us (auto Kₜ), buy & hold and fixed K
Net wealth compared, base 100406080100120140160index (base 100)usindex 74Buy & holdindex 102K = 1index 72K = 3index 52K = 5index 70202420252026
2Automatic size KₜNumber of holdings over time
Automatic portfolio size, number of holdings Kt05101520holdingsaverage 11 holdings202420252026
3The 100 stocksPrices indexed to 100 · logarithmic scale
The 100 stocks, indexed to 100, log scale50100200400index (base 100)the 100 stocksmedian of the 1003 eventual winners202420252026
4Daily net P&LNet return (%) per session · blue up, red down
Daily net P&L, return per session-1.8%+0.0%+1.8%updown20-day avg202420252026
5Per-rebalance and cumulative costDual axis · basis points and percent
Per-rebalance cost in basis points and cumulative cost in percent0510150.0%2.0%4.0%per rebalance (bps)cumulative (%)202420252026
6Return distributionDensity of daily net return (%), by year
Distribution of daily net returns, by year202420252026-2%-1%+0%+1%+2%daily net return (%)
7Monthly returnsBlue positive, red negative (%)
Monthly returns, blue positive red negativeJFMAMJJASOND2024+0+0+0+0+0+5+3+10+2-6-3+42025-9-9+3-8-9+4-1+11-8+2+1+22026-5-6-4+1+6-5-6
8Turnover at rebalancesDual axis · share of the book traded (%)
Turnover at rebalances and its moving average0%50%100%150%40%60%80%100%120%turnover (%)average (%)22 rebalances, first to last
9DrawdownDistance (%) below the running peak (drawdown)
Drawdown, distance below the running peak-60%-40%-20%0%distance (%)drawdownmax drawdown-40%202420252026
10Risk-adjusted performanceSharpe ratio and total return vs benchmark
Risk-adjusted performance, Sharpe ratio and total return01.53-0.61Sharpe ratio(Rp − Rf) / σ · risk-free rate assumed nil · annualisedTotal net return vs benchmark-26%buy & hold +2%

Illustrative data, no real value, no investment advice.