Method2 November 11 2014 February 11 2015 .pdf



Nom original: Method2_November_11_2014_February_11_2015.pdf

Ce document au format PDF 1.4 a été généré par Conv2pdf.com, et a été envoyé sur fichier-pdf.fr le 08/09/2015 à 13:33, depuis l'adresse IP 82.242.x.x. La présente page de téléchargement du fichier a été vue 486 fois.
Taille du document: 470 Ko (16 pages).
Confidentialité: fichier public


Aperçu du document


Table of Contents
Introduction

3

Account Overview

4

Time Period Performance Statistics

5

Cumulative Performance Statistics

8

Risk Measures

11

Deposits and Withdrawals

12

Notes

13

Glossary

14

Disclaimer

16

PortfolioAnalyst

Page: 2

Introduction
Name:

cyrille

Account:
Base Currency:

EUR

Account Type:

Individual

Analysis Period:

11/11/14 to 02/11/15 (Daily)

Performance Measure:

TWR

PortfolioAnalyst

Page: 3

Account Overview
Cumulative Return

Net Asset Value

PortfolioAnalyst

Key Statistics
Beginning NAV:

23,634.06

Ending NAV:

23,476.24

Cumulative Return:

5.88%

5 Day Return:

0.37%

(02/05/15 - 02/11/15)

10 Day Return:

0.37%

(01/29/15 - 02/11/15)

Best Return:

2.35%

(01/07/15)

Worst Return:

-0.02%

Deposits/Withdrawals:

-1,500.00

(12/16/14)

Ending Asset Allocation

Page: 4

Time Period Performance Statistics

Date

Key Statistics

11/11/14

0.00%

11/12/14

0.56%

Beginning NAV:

23,634.06

11/13/14

0.00%

Ending NAV:

23,476.24

11/14/14

0.00%

Cumulative Return:

5.88%

11/17/14

0.00%
0.00%

5 Day Return:

0.37%

(02/05/15 - 02/11/15)

11/18/14
11/19/14

0.00%

10 Day Return:

0.37%

(01/29/15 - 02/11/15)

11/20/14

0.00%

Best Return:

2.35%

(01/07/15)

11/21/14

0.01%

Worst Return:

-0.02%

11/24/14

0.00%

Deposits/Withdrawals:

-1,500.00

11/25/14

0.00%

11/26/14

0.00%

11/27/14

0.00%

11/28/14

0.00%

PortfolioAnalyst

(12/16/14)

Page: 5

Time Period Performance Statistics (Cont.)
Date
12/01/14

0.00%

12/02/14

0.00%

12/03/14

0.00%

12/04/14

0.00%

12/05/14

0.00%

12/08/14

0.00%

12/09/14

0.00%

12/10/14

0.89%

12/11/14

0.00%

12/12/14

0.98%

12/15/14

0.01%

12/16/14

-0.02%

12/17/14

0.04%

12/18/14

0.01%

12/19/14

0.00%

12/22/14

0.00%

12/23/14

0.00%

12/24/14

0.00%

12/25/14

0.00%

12/26/14

0.00%

12/29/14

0.00%

12/30/14

0.00%

12/31/14

0.00%

01/02/15

0.00%

01/05/15

0.00%

01/06/15

0.00%

01/07/15

2.35%

01/08/15

0.00%

01/09/15

0.00%

PortfolioAnalyst

Page: 6

Time Period Performance Statistics (Cont.)
Date
01/12/15

0.00%

01/13/15

0.00%

01/14/15

0.00%

01/15/15

0.00%

01/16/15

0.00%

01/19/15

0.00%

01/20/15

0.54%

01/21/15

0.00%

01/22/15

0.01%

01/23/15

0.00%

01/26/15

0.00%

01/27/15

0.00%

01/28/15

0.00%

01/29/15

0.00%

01/30/15

0.00%

02/02/15

0.00%

02/03/15

0.00%

02/04/15

0.00%

02/05/15

0.00%

02/06/15

0.00%

02/09/15

0.00%

02/10/15

0.00%

02/11/15

0.37%

Average

0.09%

PortfolioAnalyst

Page: 7

Cumulative Performance Statistics

Date

Key Statistics

11/11/14

0.00%

11/12/14

0.56%

Beginning NAV:

23,634.06

11/13/14

0.56%

Ending NAV:

23,476.24

11/14/14

0.55%

Cumulative Return:

5.88%

11/17/14

0.56%
0.55%

5 Day Return:

0.37%

(02/05/15 - 02/11/15)

11/18/14
11/19/14

0.55%

10 Day Return:

0.37%

(01/29/15 - 02/11/15)

11/20/14

0.55%

Best Return:

2.35%

(01/07/15)

11/21/14

0.56%

Worst Return:

-0.02%

11/24/14

0.56%

Deposits/Withdrawals:

-1,500.00

11/25/14

0.56%

11/26/14

0.56%

11/27/14

0.56%

11/28/14

0.56%

PortfolioAnalyst

(12/16/14)

Page: 8

Cumulative Performance Statistics (Cont.)
Date
12/01/14

0.56%

12/02/14

0.56%

12/03/14

0.57%

12/04/14

0.56%

12/05/14

0.57%

12/08/14

0.56%

12/09/14

0.56%

12/10/14

1.46%

12/11/14

1.47%

12/12/14

2.46%

12/15/14

2.46%

12/16/14

2.45%

12/17/14

2.48%

12/18/14

2.50%

12/19/14

2.49%

12/22/14

2.49%

12/23/14

2.49%

12/24/14

2.49%

12/25/14

2.49%

12/26/14

2.49%

12/29/14

2.49%

12/30/14

2.49%

12/31/14

2.49%

01/02/15

2.49%

01/05/15

2.49%

01/06/15

2.49%

01/07/15

4.90%

01/08/15

4.91%

01/09/15

4.91%

PortfolioAnalyst

Page: 9

Cumulative Performance Statistics (Cont.)
Date
01/12/15

4.91%

01/13/15

4.91%

01/14/15

4.91%

01/15/15

4.91%

01/16/15

4.91%

01/19/15

4.91%

01/20/15

5.48%

01/21/15

5.47%

01/22/15

5.49%

01/23/15

5.49%

01/26/15

5.49%

01/27/15

5.49%

01/28/15

5.49%

01/29/15

5.49%

01/30/15

5.49%

02/02/15

5.49%

02/03/15

5.49%

02/04/15

5.49%

02/05/15

5.49%

02/06/15

5.49%

02/09/15

5.49%

02/10/15

5.49%

02/11/15

5.88%

11/11/14 to 02/11/15

5.88%

PortfolioAnalyst

Page: 10

Risk Measures

Risk Analysis
Ending VAMI

Distribution of Returns
1,058.80

Max Drawdown:

0.02%

Peak-To-Valley:

12/15/14 12/16/14
1 Day

Recovery:
Sharpe Ratio:

4.85

Sortino Ratio:

60.55

Calmar Ratio:

2,435.41

Standard Deviation:

0.34%

Downside Deviation:

0.02%

Mean Return:

0.09%

Positive Periods:
Negative Periods:

PortfolioAnalyst

65 (98.48%)
1 (1.52%)

Page: 11

Deposits and Withdrawals
Date

Type

Description

Amount

11/20/2014

Withdrawal

Disbursement Initiated By Cyrille

-500.00

12/19/2014

Withdrawal

Disbursement Initiated By Cyrille

-500.00

01/16/2015

Withdrawal

Disbursement Initiated By Cyrille

-500.00

Total

PortfolioAnalyst

-1,500.00

Page: 12

Notes
1. The Net Asset Value (NAV) consists of all positions by asset class (stock, securities options, warrants, bonds, cash, etc.). All non-base currency amounts are converted to the base
currency at the close of period rate.
2. The deposit/withdrawal amount displayed in the Account Overview report includes internal transfers along with cash and position transfers.
3. There are no open futures positions, as the gain or loss for futures contracts settles into cash each night.
4. Dividend and interest accruals are included in Cash amounts throughout the report.
5. Price valuations are obtained from outside parties. Interactive Brokers shall have no responsibility for the accuracy or timeliness of any such price valuation.
6. The Allocation by Sector report includes only the following asset classes; stocks (except ETFs) and options. All other asset classes are included in Unclassified sector.
7. Amounts are formatted to two decimal places. If amounts are greater than two decimal places, Interactive Brokers uses "half-even" rounding. This means that Interactive Brokers
rounds such amounts up to the nearest even number.
8. The benchmark returns for indices do not include dividends.
9. As of January 31, 2013 the historical annual return since inception of the S&P 500 was 7.82%. This rate was used to calculate the downside deviation. As of December 31, 2012 the
US 3 Month Treasury Bill was 0.05%. This was the risk free rate used to calculate the sharpe and sortino ratio.
10. The mean return is the average TWR for the period.
11. Frongello is the method used for mathematical smoothing in the Performance Attribution report. It has been developed by Andrew Scott Bay Frongello.
12. For accounts opened and funded before 2009, reports with a time period of Since Inception will include data going back to January 1, 2009. This includes some default reports
and both Historical Performance reports.
13. The Modified Dietz method is used to calculate MWR. This method only values the portfolio at the start and end of the period and weights the cash flows. When large flows
occur, its accuracy can diminish.

PortfolioAnalyst

Page: 13

Glossary
Allocation Effect

Money Weighted Return (MWR)

The percent effectiveness of an account's asset allocation to various sectors. The
allocation effect determines whether the overweighting or underweighting of sectors
relative to a benchmark contributes negatively or positively to an account's overall
return.

Money Weighted Return (MWR) is used to measure performance during the specified
report period. MWR is influenced by the time of decisions to contribute or to withdraw
funds, as well as the decisions made by the portfolio manager of the fund.

Asset Class

Negative Periods

A category of investment products in your portfolio. Cash, stocks, options, futures, etc.
are examples.

The number of occurrences of negative performance returns. For example, if you select
a monthly report with 12 months, each month with a negative return would be a
negative occurrence.

Attribution Effect

Net Asset Value (NAV)

The percent effectiveness of asset allocation and selection of securities on the
portfolio's performance when compared to the performance of a benchmark over a
specified time period.

The total value of your account.

Benchmark

The time period during which the Max Drawdown (largest cumulative percentage
decline in the NAV) occurred.

A standard against which the performance of your portfolio can be measured.

Calmar Ratio

Peak-to-Valley

Period Return

A ratio used to determine return versus drawdown risk.

A performance measure that calculates the return you have received over a period of
time.

Contribution To Return

Positive Periods

The percent contribution of certain portfolio constituents (symbols, sectors) to the
account's overall return.

The number of occurrences of positive performance returns. For example, if you select
a monthly report with 12 months, each month with a positive return would be a
positive occurrence.

Cumulative Return
Geometric linking of single period returns. Cumulative return is presented as a
percentage.

Downside Deviation
The standard deviation for all negative returns in your portfolio in the specific time
period.

Max Drawdown
The largest cumulative percentage decline in the Net Asset Value of your portfolio from
the highest or peak value to the lowest or trough value after the peak.

Mean Return
The average time weighted return of your portfolio for a specified time period.

PortfolioAnalyst

Recovery
The time it took for the NAV of your account to recover from the valley (lowest NAV)
back to the peak (highest NAV).

Sector
A firm's general area of business. Financials, Communications and Energy are all
examples of sectors.

Selection Effect
A percentage that measures the ability to select securities within a sector relative to a
benchmark.

Sharpe Ratio
A ratio that measures the excess return per unit of risk. The ratio is used to characterize
how well the return compensates the account holder for the risk taken.

Page: 14

Glossary (Cont.)
Sortino Ratio

Time-Weighted Return (TWR)

The ratio measures the risk adjusted return of the account. The ratio penalizes only
those returns that fall below the required rate of return.

TWR measures the percent return produced over time independent of contributions or
withdrawals. TWR eliminates the impact of the timing of inflows and outflows and
isolates the portion of a portfolio's return that is attributable solely to the account's
actions.

Standard Deviation
Standard deviation is a statistical measurement of variability. It shows how much
variation or dispersion there is from the average.

Time Period Return

Value-Added Monthly Index (VAMI)
A statistical figure that tracks the daily/monthly/quarterly performance of a
hypothetical $1000 investment.

The return your portfolio has gained or lost for the specific time period. Time period
performance is presented as a percentage.

PortfolioAnalyst

Page: 15

Disclaimer
This Portfolio Analysis was generated using Interactive Brokers' Portfolio Analyst tool, which allows Interactive Brokers customers to generate reports concerning the customer's
account using the trade and account data contained in Interactive Brokers' systems and market data provided by third parties.
This report is for information purposes only. This report is provided AS IS and Interactive Brokers makes no warranty of any kind, express or implied, as to this report and its
contents. The data provided for use in this Portfolio Analsyis is believed to be accurate and completeness of the information is not guaranteed and Interactive Brokers has no
liability with respect thereto. This material in this report is intended only as a reference and should not be relied upon for the maintenance of your books and records for tax,
accounting, financial, or regulatory reporting or for any other disclosure purposes. This report is not an offer or a solicitation of an offer to buy or sell any security. Interactive
Brokers does not solicit orders and does not provide proprietary research, recommendations or advice. Interactive Brokers is not responsible for any trading decisions resulting
from or related to this information, data or analysis.

PortfolioAnalyst

02/12/2015 03:11:48 EST

Page: 16


Aperçu du document Method2_November_11_2014_February_11_2015.pdf - page 1/16

 
Method2_November_11_2014_February_11_2015.pdf - page 3/16
Method2_November_11_2014_February_11_2015.pdf - page 4/16
Method2_November_11_2014_February_11_2015.pdf - page 5/16
Method2_November_11_2014_February_11_2015.pdf - page 6/16
 




Télécharger le fichier (PDF)





Documents similaires


method1 october 16 2013 march 28 2014
method2 november 11 2014 february 11 2015
7 varomegacopules
executive summary
3 universalperformance
amfeix march report

Sur le même sujet..




🚀  Page générée en 0.027s