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Home / Performance / Annual reports / 2016
Unlevered trending · Annual report
2016
Systematic trend exposure across the full 2016 calendar.
Annual return
+33.4%
vs. S&P 500: +12.0%
+33.4%
Annual return
−11.4%
Max drawdown
1.37×
Avg exposure
14.9%
Ann. volatility
8 of 12
Positive months
Monthly returns

8 of 12 months finished positive.

Real monthly returns from the 2016 daily backtest equity curve.

Jan
+6.2%
Feb
+3.1%
Mar
+3.7%
Apr
+5.2%
May
-2.5%
Jun
+7.0%
Jul
+11.1%
Aug
-0.9%
Sep
+2.2%
Oct
+2.4%
Nov
-6.3%
Dec
-0.8%
Return intensity:
Low positive
Strong positive
Negative
Cumulative equity · 2016

How the year was built, month by month.

Indexed to 0% at the start of 2016. Real daily equity curve, resampled to monthly.

0% 19% 38% 57% Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

Cumulative return · Jan–Dec 2016 · Unlevered trending · Real backtest

Market context

What was happening. How the signal responded.

Editorial commentary for 2016 is being finalized and will appear here shortly.

— narrative write-up pending —
Strategy vs. benchmark

2016 vs. the S&P 500.

Sophus Quant · Unlevered
+33.4%
Fully-invested systematic trend exposure, 1.37× average gross.
Annual return
S&P 500
+12.0%
Buy-and-hold benchmark for the same calendar year.
Annual return
All years · Unlevered trending

Select any year to view its annual report.

2014
+11.5%
2015
+10.3%
2016
+33.4%
2017
+24.7%
2018
−6.4%
2019
+32.4%
2020
+44.7%
2021
+25.7%
2022
+32.5%
2023
+45.9%
2024
+34.9%
2025
+39.9%
2026
+11.9%

Twelve years of annual reports. Every trend documented.

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