Simulation Report (trading portfolio)

(2026-06-01 13:01:38)

Portfolio Returns

period cumret highwater maxDD avgTradeWgts avgHldPerMth annRet annStd SharpeRatio

all -0.3161 0.0000 -0.3454 0.3554 0.5576 -0.2182 0.1066 -2.0477

2024 -0.0576 0.0000 -0.0976 0.3080 0.5940 -0.2035 0.1247 -1.6325

2025 -0.1737 0.0374 -0.2121 0.3499 0.5374 -0.1863 0.0938 -1.9866

2026 -0.1217 0.0000 -0.1593 0.4003 0.5783 -0.3049 0.1221 -2.4973

MTD Returns

month returns tradeDate returns MTD tradeDate returns MTD

202606.0000 2.60% 2026-05-29 1.83% -2.61% 2026-06-01 2.60% 2.60%

202605.0000 -2.61% 2026-05-28 -1.19% -4.36%

202604.0000 -1.86% 2026-05-27 -0.78% -3.21%

202603.0000 -7.50% 2026-05-26 1.76% -2.45%

202602.0000 1.74% 2026-05-25 -0.54% -4.14%

202601.0000 -4.83% 2026-05-22 0.10% -3.61%

202512.0000 1.09% 2026-05-21 0.51% -3.71%

202511.0000 -1.12% 2026-05-20 -0.64% -4.19%

202510.0000 -1.90% 2026-05-19 -1.53% -3.58%

202509.0000 -9.43% 2026-05-18 -0.43% -2.08%

202508.0000 -3.81% 2026-05-15 -0.53% -1.66%

202507.0000 -2.32% 2026-05-14 -0.82% -1.13%

202506.0000 -2.82% 2026-05-13 -1.05% -0.32%

202505.0000 0.18% 2026-05-12 0.41% 0.74%

202504.0000 -1.05% 2026-05-11 -0.82% 0.33%

202503.0000 5.62% 2026-05-08 0.55% 1.16%

202502.0000 -6.71% 2026-05-07 -0.41% 0.60%

202501.0000 4.31% 2026-05-06 0.23% 1.02%

202412.0000 2.94% 2026-05-05 0.19% 0.79%

202411.0000 -2.92% 2026-05-04 0.78% 0.60%

202410.0000 -2.30% 2026-05-01 -0.18% -0.18%

202409.0000 -3.48%

nan nan nan

Daily Returns (csv)

Daily Returns (csv)

1D P&L by Country

country totalPnLUSD proportion

JP 107,090 39.3%

CN 80,632 29.6%

XH 68,695 25.2%

TW 35,270 12.9%

PH 417 0.2%

NZ -7 -0.0%

ID -22 -0.0%

TH -43 -0.0%

MY -45 -0.0%

SG -62 -0.0%

KR -177 -0.1%

AU -6,366 -2.3%

HK -12,826 -4.7%

total 272,556 100.0%

MTD P&L by Country

country totalPnLUSD proportion

JP 107,090 39.3%

CN 80,632 29.6%

XH 68,695 25.2%

TW 35,270 12.9%

PH 417 0.2%

NZ -7 -0.0%

ID -22 -0.0%

TH -43 -0.0%

MY -45 -0.0%

SG -62 -0.0%

KR -177 -0.1%

AU -6,366 -2.3%

HK -12,826 -4.7%

total 272,556 100.0%

QTD P&L by Country

country totalPnLUSD proportion

TW 517,825 256.1%

XH 403,668 199.6%

JP 166,961 82.6%

MY 44,157 21.8%

SG 22,133 10.9%

IN 0 0.0%

KR -1,724 -0.9%

ID -24,080 -11.9%

TH -26,868 -13.3%

PH -30,009 -14.8%

HK -50,851 -25.1%

NZ -51,079 -25.3%

AU -112,079 -55.4%

CN -1,060,269 -524.3%

total -202,215 -100.0%

YTD P&L by Country

country totalPnLUSD proportion

TW 509,541 42.3%

TH 94,563 7.8%

XH 77,936 6.5%

JP 74,255 6.2%

AU 23,319 1.9%

MY 11,285 0.9%

IN 0 0.0%

SG -24,682 -2.0%

ID -28,292 -2.3%

HK -32,884 -2.7%

KR -34,419 -2.9%

PH -42,901 -3.6%

NZ -59,980 -5.0%

CN -1,772,695 -147.1%

total -1,204,954 -100.0%

Memo

tau=40, gamma=15, 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 IN KR ID PH NZ MY SG TH HK AU TW XH CN JP total

2024 0.0295 0.0000 0.0324 0.0051 0.0186 0.0328 0.0401 0.0903 0.1661 0.2525 0.2462 0.1306 1.9503 0.9220 3.9087

2025 0.0277 0.0971 0.0184 0.0045 0.0148 0.0169 0.0551 0.1589 0.1796 0.2908 0.3180 0.2609 1.4705 1.1092 4.0217

2026 0.0000 0.0037 0.0116 0.0139 0.0156 0.0408 0.0556 0.1153 0.1879 0.2853 0.3447 0.4496 0.9997 1.5250 4.0487

Country Average Gross Exposure vs GMV

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

2024 0.0074 0.0000 0.0084 0.0014 0.0048 0.0085 0.0103 0.0230 0.0425 0.0644 0.0633 0.0336 0.4994 0.2350 1.0000

2025 0.0069 0.0239 0.0046 0.0011 0.0037 0.0042 0.0137 0.0395 0.0447 0.0724 0.0788 0.0646 0.3659 0.2762 1.0000

2026 0.0000 0.0008 0.0029 0.0034 0.0038 0.0101 0.0137 0.0285 0.0464 0.0705 0.0851 0.1112 0.2466 0.3769 1.0000