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Home / Performance / Annual reports / 2018
Unlevered trending · Annual report
2018
Systematic trend exposure across the full 2018 calendar.
Annual return
−6.4%
vs. S&P 500: −4.4%
−6.4%
Annual return
−10.3%
Max drawdown
1.40×
Avg exposure
11.4%
Ann. volatility
7 of 12
Positive months
Monthly returns

7 of 12 months finished positive.

Real monthly returns from the 2018 daily backtest equity curve.

Jan
-2.9%
Feb
-1.6%
Mar
-2.2%
Apr
+1.8%
May
-3.9%
Jun
+0.7%
Jul
+0.7%
Aug
+0.0%
Sep
+1.5%
Oct
+5.6%
Nov
+0.0%
Dec
-5.8%
Return intensity:
Low positive
Strong positive
Negative
Cumulative equity · 2018

How the year was built, month by month.

Indexed to 0% at the start of 2018. Real daily equity curve, resampled to monthly.

-12% -1% 10% 20% Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

Cumulative return · Jan–Dec 2018 · Unlevered trending · Real backtest

Market context

What was happening. How the signal responded.

Editorial commentary for 2018 is being finalized and will appear here shortly.

— narrative write-up pending —
Strategy vs. benchmark

2018 vs. the S&P 500.

Sophus Quant · Unlevered
−6.4%
Fully-invested systematic trend exposure, 1.40× average gross.
Annual return
S&P 500
−4.4%
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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