Portfolio Performance - Feb'26

Portfolio context is detailed in the About page.

Performance metrics here are for the 1 Jul'24 to 27 Feb'26 time period.

Summary

Monthly performance dashboard

Strong risk-adjusted performance metrics

• Daily/weekly Sharpe: 0.99/1.26, assuming 0% risk-free or hurdle rate.
• Daily/weekly Sortino: 1.23/2.54, assuming 0% risk-free or hurdle rate.
• Daily/weekly annualized alpha: of >9% vs SPY AUD benchmark.

Value addition measures are high.

Results are based on a very large, diverse sample size

• Almost 1,200 tickers bet on over 20 months.
• Return contributions are broad-based across market caps, sectors and industries.
• Aggregate returns profile is made up of many contributions of small positions rather than a reliance on a few concentrated winners.

Diverse sources of returns reduces dependency on favorable market regimes.

Minimal catastrophic tail risk and scalable

• Long-only, zero leverage strategy investing in global stocks and related traditional ETFs without any inverse, ETN or other derivative exposures in mostly Developed markets.
• Positive skew in both overall portfolio and ticker-level return, contribution to return distributions.
• Low max drawdowns, low beta, upside to downside capture ratio of almost 3x.
• Market impact analysis suggests this portfolio is largely scalable to >USD 100M AUM.

The strategy is suitable to manage a large amount of capital in order to grow wealth over a long period of time with dramatically reduced volatility along the way.

Performance vs SPY AUD, Developed 5 Factor + Developed Momentum Factors

Portfolio (AUD) vs SPY AUD

These metrics are computed using an annualized AUD risk-free/hurdle rate of 0%, which is an industry standard for comparability purposes.

• Much lower max drawdowns vs SPY AUD benchmark
• >9% annualized alpha vs SPY AUD benchmark
• >2x upside-to-downside capture, indicating a highly convex (asymmetric) return profile vs SPY AUD.

Portfolio vs Developed 5 Factor + Developed Momentum Factor Regressions

• Positive but not statistically significant (p-val > 0.1) alpha for now.
• Low-beta strategy (statistical significance across daily and weekly regressions)
• Negative coefficient tilt to all Developed 5 Factor + Developed Momentum Factors (statistical significance for Profitability factor across all regressions and Momentum factor in daily and weekly regressions)
• Combination of negative-profitability, anti-momentum and low-beta factors makes for a rare factor exposure style

Contribution to Return (CTR) Analytics

Overview

• Most of the CTR comes from active satellite picks, not core index exposure positions
• A huge, almost 1,200 sample size of ticker bets increases robustness of the strategy's performance stats

CTR, Return and Average Weight Distributions

• Histograms show that return contributions have a clear positive skew and is comprised of the aggregate of many small bets rather than a small number of outsized winners.

Sector and Industry CTR Drivers

• CTRs of satellite picks are broad-based across sectors and industries

Analysis of scalability; MCAP and Market Impact CTRs

• Minimal return contributions from smallcaps, microcaps and nanocaps.

• Under conservative average daily traded value (ADV) assumptions,
  almost 80% of return contributions are scalable to USD 100M AUM.

Top Contributors and Detractors

• Top contributors are meaningfully larger than top detractors, showing positive
  return skew.
• Grey-highlighted names are core index positions.
• Peach-highlighted names are FX movements.
• Blue-highlighted name represents a rare, high conviction satellite position.
• Pink-highlighted name is a rare mistake of investing in a highly illiquid stock.

More Details on Portfolio Performance Profile

• Sustained outperformance, smoother, more consistent equity curve rise

• Positive active return accumulation vs SPY AUD

• High-single digit annualized alpha

• Much lower drawdown profile vs benchmark

• Lag vs SPY AUD benchmark has been contained to <1000bps

Takeaway

These are strong performance metrics by any institutional standard.