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Maximum drawdown: -30.1 (2017-07-18)

Performance of portfolio vs
benchmark (S&P500 Index)




Portfolio structure
dynamics


Strategy description:

For every company we calculate EBITDА (Earnings before interest, tax and amortization) in current and historical market enviromnent. We take average EBITDA between them, if current market enviromnent is better. Otherwise (if current environment is worse) we conservatively take current market environment.

We calculate EV/EBITDA multiple using calculated EBITDA, target EV/EBITDA muktiple is considered to be historical level of EV/EBITDA for the last 3 years on the 75% percentile level. Investment is being made in all the companies where calculated potential is >10%.

Table Returns by company shows following parameters:

(1) how many days we would have been invested in the company in accordance with the tested strategy
(2) return for the time period of being invested in the company in accordance with the tested strategy
(3) return of being invested in the company for the whole testing period
(4) annualized (average annual) return of being invested in the company in accrordance with the strategy( = (2)^ (365/ (1)) )
(5) annualized (average annual)return of being invested in the company infor the whole testing period
Strategy index:12.183

SP500 index:1.984

Strategy return:+1 118.3%

SP500 return:+98.4%

Annualized Strategy return:+36.3%

Annualized SP500 return:+8.8%


Sharpe ratio:1.32

Volatility:24.0%

Return by year

YStrategySP500
2015155.4%-0.7%
2016-6.3%9.5%
201717.6%19.4%
201817.6%-6.2%
20191.0%28.9%
202022.5%15.7%
202174.5%27.4%
202274.8%-18.8%
2023-2.5%5.6%
Average36.3%8.8%
Total1118.3%98.4%
Returns by company

TickerDaysYieldYieldAnn-dAnn-d
full full
601088.SS00.0%652.0% >1000%
AA2417133.2%54.5% 13.6%5.5%
AAL180186.3%162.9% 13.4%16.6%
AAL_US1647-91.2%-67.7% -41.7%-15.2%
ACB00.0%-77.9% -40.4%
ALB4938.9%425.8% 6.5%23.1%
ALK1266-54.7%-6.7% -20.4%-1.7%
ANDE2104102.0%-18.0% 13.0%-2.9%
ANGPY1935-57.8%214.1% -15.0%15.2%
APA2293-45.1%-14.3% -9.1%-2.2%
ARCH115134.7%190.0% 9.9%23.3%
AU89514.5%160.7% 5.7%12.6%
BG1037-4.0%34.3% -1.4%5.3%
BHP170240.8%145.0% 7.6%11.7%
BRFS1645-62.8%-93.2% -19.7%-35.7%
CCJ116431.7%87.3% 9.0%8.1%
CF1674181.3%92.7% 25.3%8.5%
CGC1062-34.5%67.0% -13.5%19.2%
CLF2314-79.0%217.7% -21.8%15.4%
CMCLF90425.5%803.7% 9.6%50.2%
CNQ2147-31.0%185.8% -6.1%13.9%
CNX240732.4%-39.7% 4.3%-6.1%
CRLBF608287.0%-64.2% 125.3%-32.7%
CRON1011-42.1%1409.1% -17.9%153.7%
CTRA1495-45.5%5.0% -13.8%0.7%
CTRM874187.6%-75.8% 55.5%-40.6%
CURLF557-5.1%-35.7% -3.4%-14.1%
CVI149493.9%140.0% 17.6%22.4%
CVSI1062-100.5%-98.3% nan%-75.3%
DAC2217689.5%-17.6% 40.5%-3.0%
DAL1266-38.4%-12.6% -13.0%-3.2%
DQ107545.2%766.9% 13.5%60.3%
EGLE11691046.5%-96.8% 114.2%-64.0%
EGO2273-67.4%-68.5% -16.5%-13.3%
EOG1182-6.4%81.6% -2.0%9.1%
EQNR135027.8%156.7% 6.9%19.6%
EQT1975-33.2%-16.8% -7.2%-2.3%
ESEA2214-99.9%-18.3% -68.1%-3.1%
ET2810-9.9%-13.0% -1.4%-1.7%
EVRG30652.3%95.1% 65.2%20.4%
FANG1336-87.1%187.5% -42.8%16.7%
FCX2556-70.0%110.9% -15.8%9.7%
FNLPF157473.5%-10.1% 13.6%-1.3%
GM1787-24.3%36.1% -5.5%4.6%
GNK1093253.8%-83.1% 52.5%-41.0%
GOGL1098472.7%-34.1% 78.6%-11.6%
GOLD2246-77.2%146.7% -21.4%11.8%
GTBIF180-46.7%-29.5% -72.1%-11.3%
GTE2795-99.5%-74.8% -49.9%-15.7%
IIPR324-31.1%442.2% -34.3%78.6%
IPI2267-30.3%-76.7% -5.6%-16.5%
IPOAF2196679.7%-4.7% 40.7%-0.6%
KGC223488.3%79.2% 10.9%7.5%
LUV1277-27.7%-8.9% -8.8%-2.3%
MERC1606-2.8%33.9% -0.6%4.4%
MMLP1129334.4%-75.1% 60.8%-33.9%
MOS1296-48.4%23.8% -17.0%5.0%
MPC1978-27.1%285.2% -5.7%27.0%
MRO20833.9%13.3% 0.7%1.8%
NEM175-6.0%232.5% -12.2%16.0%
NTR1108-8.1%74.4% -2.7%15.6%
NUE2012242.8%322.6% 25.0%19.5%
OROCF659-81.7%340.9% -61.0%20.4%
OXY1883-59.0%8.8% -15.9%1.2%
PBF2562-56.4%102.5% -11.1%9.1%
PBR177825.8%191.8% 4.8%20.9%
PCH131112.3%102.3% 3.3%10.9%
POR1228-15.0%62.2% -4.7%6.2%
REI2332-97.6%-76.7% -44.1%-16.5%
RIO1491-49.7%213.6% -15.5%15.2%
SBSW1783170.4%172.6% 22.6%13.2%
SCCO966-37.3%244.4% -16.1%16.5%
SNDL00.0%-98.9% -86.4%
SWN2761-92.3%-79.6% -28.8%-17.9%
TCNNF360-0.7%-38.3% -0.7%-15.3%
TECK2524-92.3%235.9% -31.0%16.2%
TLRY190-28.3%-81.1% -47.3%-43.6%
TROX2713-98.0%-6.7% -41.0%-0.8%
TSN129533.8%89.9% 8.6%11.1%
UAL1326-58.8%-27.1% -21.6%-7.5%
US_AGRO1991-52.7%4.9% -12.8%0.8%
VALE2141-60.5%255.3% -14.7%17.0%
VLO946-7.2%303.1% -2.9%22.6%
WY111159.9%30.6% 16.7%4.0%
X2672-21.8%15.5% -3.3%1.8%
ZIM20777.3%169.6% 174.5%269.5%