Skip to content

sprezzature · financial markets

Case study: financial markets

Net return
+123%
net of fees
vs buy & hold
+87 pts
benchmark +35%
Sharpe ratio
2.05
net, annualised
Max drawdown
-10%
below the peak
Winning sessions
48%
cumulative cost 1.8%

On a phone, each chart fits the width. Tap ⤢ on any panel for fullscreen, then pinch to zoom into the detail.

1Net wealth comparedBase 100 index · us (auto Kₜ), buy & hold and fixed K
Net wealth compared, base 10050100150200250300index (base 100)usindex 223Buy & holdindex 135K = 1index 267K = 3index 240K = 5index 261202420252026
2Automatic size KₜNumber of holdings over time
Automatic portfolio size, number of holdings Kt05101520holdingsaverage 10 holdings202420252026
3The 100 stocksPrices indexed to 100 · logarithmic scale
The 100 stocks, indexed to 100, log scale50100200400800index (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-1.6%+0.0%+1.6%updown20-day avg202420252026
5Per-rebalance and cumulative costDual axis · basis points and percent
Per-rebalance cost in basis points and cumulative cost in percent051015200.0%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+4+2+1-4+6+11-42025+1+1+8+2+0+17+13-0-2+4+5-12026+6-0+4+4-1+4+4
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-15%-10%-5%0%distance (%)drawdownmax drawdown-10%202420252026
10Risk-adjusted performanceSharpe ratio and total return vs benchmark
Risk-adjusted performance, Sharpe ratio and total return01.532.05Sharpe ratio(Rp − Rf) / σ · risk-free rate assumed nil · annualisedTotal net return vs benchmark+123%buy & hold +35%

Illustrative data, no real value, no investment advice.