Simulation Report (trading portfolio)

(2024-09-17 13:00:37)

Portfolio Returns

period cumret highwater maxDD avgTradeWgts avgHldPerMth annRet annStd SharpeRatio

all 0.0047 0.0065 -0.0035 0.1980 0.7151 0.0279 0.0684 0.4085

2024 0.0015 0.0065 -0.0049 0.1980 0.7151 0.0279 0.0684 0.4085

MTD Returns

month returns tradeDate returns MTD tradeDate returns MTD

202409.0000 -1.32% 2024-08-30 0.83% 1.48% 2024-09-17 -0.24% -1.32%

202408.0000 1.48% 2024-08-29 0.65% 0.65% 2024-09-16 -0.32% -0.76%

nan nan nan 2024-09-16 -0.32% -1.08%

nan nan nan 2024-09-13 0.74% -0.44%

nan nan nan 2024-09-12 -0.20% -1.18%

nan nan nan 2024-09-11 -0.63% -0.98%

nan nan nan 2024-09-10 -0.01% -0.35%

nan nan nan 2024-09-09 -0.29% -0.34%

nan nan nan 2024-09-06 0.13% -0.05%

nan nan nan 2024-09-05 -0.05% -0.19%

nan nan nan 2024-09-04 -0.02% -0.14%

nan nan nan 2024-09-03 0.09% -0.12%

nan nan nan 2024-09-02 -0.21% -0.21%

nan nan nan

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Daily Returns (csv)

Daily Returns (csv)

1D P&L by Country

country totalPnLUSD proportion

XH 16,975 45.0%

TH 2,829 7.5%

ID 1,621 4.3%

MY 1,612 4.3%

TW -209 -0.6%

NZ -547 -1.5%

IN -707 -1.9%

HK -2,314 -6.1%

PH -2,463 -6.5%

AU -3,054 -8.1%

CN -3,290 -8.7%

SG -9,254 -24.5%

JP -38,915 -103.2%

total -37,715 -100.0%

MTD P&L by Country

country totalPnLUSD proportion

TW 103,766 66.3%

ID 2,604 1.7%

AU 960 0.6%

NZ 160 0.1%

IN 2 0.0%

MY -1,163 -0.7%

PH -3,212 -2.1%

HK -7,195 -4.6%

TH -13,582 -8.7%

XH -25,909 -16.6%

SG -40,895 -26.1%

JP -50,501 -32.3%

CN -121,544 -77.7%

total -156,512 -100.0%

QTD P&L by Country

country totalPnLUSD proportion

CN 142,961 178.4%

TW 88,935 111.0%

ID 3,173 4.0%

MY 1,537 1.9%

NZ 517 0.6%

IN -1,797 -2.2%

HK -3,958 -4.9%

AU -4,006 -5.0%

PH -4,676 -5.8%

JP -20,498 -25.6%

TH -26,120 -32.6%

XH -31,376 -39.1%

SG -64,546 -80.5%

total 80,147 100.0%

YTD P&L by Country

country totalPnLUSD proportion

CN 142,961 178.4%

TW 88,935 111.0%

ID 3,173 4.0%

MY 1,537 1.9%

NZ 517 0.6%

IN -1,797 -2.2%

HK -3,958 -4.9%

AU -4,006 -5.0%

PH -4,676 -5.8%

JP -20,498 -25.6%

TH -26,120 -32.6%

XH -31,376 -39.1%

SG -64,546 -80.5%

total 80,147 100.0%

Memo

(vs EG001) tau=40, gamma=35, maxRisk=0.1, maxLeverage=4.0

Cumulative Returns	Period Returns	Drawdown (Month-end)

Trade Weight	Costs	TCost Breakdown

Net Exposures	Gross Exposures

Country Net Exp	Industry Net Exp	Size Net Exp

Country Gross Exp	Industry Gross Exp	Size Gross Exp

Number of Positions	Expected Returns	Ex-Ante Risk

Country Average Gross Exposure vs AUM

year NZ PH IN ID MY SG TH XH HK AU TW JP CN total

2024 0.0023 0.0047 0.0134 0.0186 0.0341 0.0473 0.0778 0.1223 0.1256 0.1343 0.2073 0.5272 1.9714 3.2855

Country Average Gross Exposure vs GMV

year NZ PH IN ID MY SG TH XH HK AU TW JP CN total

2024 0.0007 0.0014 0.0037 0.0057 0.0106 0.0146 0.0238 0.0377 0.0385 0.0421 0.0632 0.1625 0.5958 1.0000