White Paper - Demystifying Trading Strategy Returns

[August 21,2012] This week, we present a first issue of an on-going series on select case studies. These select cases will utilize real-world examples and real financial data when applying the models and methods supported by NumXLⁱ.

In this issue, we examine a claim by a portfolio manager (trader X) about his ability to generate an absolute return (i.e. alpha). Trader X agreed to share his monthly realized net returns history for our analysis.

Why do we care?

To achieve superior returns, professional managers in the financial market are constantly inventing new proprietary strategies. And they charge their clients a hefty fee for their professional advice. So before you hire any professional manager, it is pivotal for you to examine their track records (i.e. returns) and benchmark them against other managers or passive investment strategies (e.g. S&P 500, etc.) to justify his or her fees.

Demystifying Trading Strategy Returns