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Home / Performance / Annual reports / 2017
Unlevered trending · Annual report
2017
Systematic trend exposure across the full 2017 calendar.
Annual return
+24.7%
vs. S&P 500: +21.8%
+24.7%
Annual return
−5.7%
Max drawdown
1.43×
Avg exposure
8.8%
Ann. volatility
10 of 12
Positive months
Monthly returns

10 of 12 months finished positive.

Real monthly returns from the 2017 daily backtest equity curve.

Jan
+2.3%
Feb
+4.4%
Mar
-3.2%
Apr
+2.2%
May
+1.5%
Jun
+1.0%
Jul
+3.1%
Aug
+2.7%
Sep
-3.2%
Oct
+5.7%
Nov
+5.6%
Dec
+0.5%
Return intensity:
Low positive
Strong positive
Negative
Cumulative equity · 2017

How the year was built, month by month.

Indexed to 0% at the start of 2017. Real daily equity curve, resampled to monthly.

0% 12% 23% 34% Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

Cumulative return · Jan–Dec 2017 · Unlevered trending · Real backtest

Market context

What was happening. How the signal responded.

Editorial commentary for 2017 is being finalized and will appear here shortly.

— narrative write-up pending —
Strategy vs. benchmark

2017 vs. the S&P 500.

Sophus Quant · Unlevered
+24.7%
Fully-invested systematic trend exposure, 1.43× average gross.
Annual return
S&P 500
+21.8%
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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