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Question on Return/BenchmarkReturn table - Is this correct?
Saravanan Shanmugham
posted Jul 6, 2013

I looked at the benchmark since 2007 below.
My understanding is these are trailing 1 month, 3 month, 6 month and 12 month returns of the benchmark?
If that is the case numbers don't seem to match what it should be.
Coz I am pretty sure there were trailing years that were atleast more than 10%.
Yet I don't see any value below above 1.

Am I looking at this wrong?
Sarvi 

January 2007    0.014   N/A N/A N/A  
February 2007   -0.022  N/A N/A N/A  
March 2007  0.01    0.002   N/A N/A  
April 2007  0.0429  0.031   N/A N/A  
May 2007    0.033   0.088   N/A N/A  
June 2007   -0.018  0.058   0.06    N/A  
July 2007   -0.032  -0.018  0.012   N/A  
August 2007 0.013   -0.037  0.048   N/A  
September 2007  0.036   0.016   0.075   N/A  
October 2007    0.015   0.065   0.045   N/A  
November 2007   -0.044  0.005   -0.032  N/A  
December 2007   -0.009  -0.038  -0.023  0.035  
January 2008    -0.061  -0.11   -0.053  -0.042  
February 2008   -0.0351 -0.102  -0.097  -0.054  
March 2008  -0.006  -0.099  -0.134  -0.0691  
April 2008  0.048   0.005   -0.106  -0.065  
May 2008    0.011   0.052   -0.055  -0.0851  
June 2008   -0.086  -0.032  -0.128  -0.149  
July 2008   -0.01   -0.0851 -0.081  -0.129  
August 2008 0.012   -0.084  -0.036  -0.13  
September 2008  -0.091  -0.089  -0.118  -0.236  
October 2008    -0.169  -0.236  -0.301  -0.375  
November 2008   -0.075  -0.301  -0.36   -0.395  
December 2008   0.008   -0.226  -0.294  -0.385  
January 2009    -0.086  -0.147  -0.348  -0.4011  
February 2009   -0.11   -0.18   -0.427  -0.448  
March 2009  0.085   -0.117  -0.316  -0.397  
April 2009  0.094   0.057   -0.099  -0.37  
May 2009    0.053   0.25    0.026   -0.344  
June 2009   0   0.152   0.018   -0.282  
July 2009   0.074   0.131   0.196   -0.221  
August 2009 0.034   0.11    0.388   -0.204  
September 2009  0.036   0.15    0.325   -0.094  
October 2009    -0.02   0.049   0.187   0.07  
November 2009   0.057   0.073   0.192   0.222  
December 2009   0.018   0.055   0.213   0.235  
January 2010    -0.037  0.036   0.0869  0.3  
February 2010   0.029   0.008   0.082   0.503  
March 2010  0.059   0.049   0.106   0.466  
April 2010  0.015   0.105   0.145   0.36  
May 2010    -0.082  -0.014  -0.006  0.185  
June 2010   -0.054  -0.119  -0.076  0.121  
July 2010   0.069   -0.072  0.026   0.116  
August 2010 -0.047  -0.037  -0.05   0.028  
September 2010  0.088   0.107   -0.024  0.08  
October 2010    0.037   0.074   -0.003  0.1419  
November 2010   -0.002  0.125   0.084   0.078  
December 2010   0.065   0.1019  0.22    0.128  
January 2011    0.023   0.0869  0.168   0.198  
February 2011   0.032   0.124   0.265   0.202  
March 2011  -0.001  0.054   0.162   0.134  
April 2011  0.028   0.06    0.152   0.149  
May 2011    -0.014  0.014   0.139   0.235  
June 2011   -0.018  -0.004  0.05    0.281  
July 2011   -0.021  -0.052  0.005   0.1729  
August 2011 -0.057  -0.094  -0.082  0.162  
September 2011  -0.072  -0.143  -0.147  -0.009  
October 2011    0.108   -0.03   -0.081  0.059  
November 2011   -0.005  0.023   -0.073  0.056  
December 2011   0.009   0.112   -0.048  0  
January 2012    0.044   0.047   0.016   0.02  
February 2012   0.041   0.095   0.12    0.029  
March 2012  0.031   0.12    0.245   0.062  
April 2012  -0.007  0.065   0.115   0.025  
May 2012    -0.063  -0.041  0.0509  -0.026  
June 2012   0.04    -0.033  0.083   0.031  
July 2012   0.013   -0.013  0.0509  0.067  
August 2012 0.02    0.073   0.03    0.154  
September 2012  0.024   0.058   0.023   0.273  
October 2012    -0.02   0.024   0.01    0.127  
November 2012   0.003   0.007   0.081   0.136  
December 2012   0.007   -0.01   0.047   0.134  
January 2013    0.05    0.061   0.0859  0.1409  
February 2013   0.011   0.07    0.077   0.109  
March 2013  0.036   0.1 0.089   0.114  
April 2013  0.018   0.066   0.131   0.1429  
May 2013    0.021   0.077   0.152   0.245
4 responses
Saravanan Shanmugham
Jul 6, 2013

Also, as a suggestion It would be good to combine the Returns table with the Benchmark table.
I find it very usefull to compare how any trailing 3,6,12 month return faired against its equivalent benchmark.

Sarvi

Dan Dunn
Jul 12, 2013

Hello Sarvi,

Just doing a little spot-checking, on Feb 2009, 12-month return, I see -0.448, which is a loss of 44.8%, which checks out as correct. I believe the table is calculating correctly.

Thanks for the feedback on the data display. There is plenty of room for improvement.

Dan

Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

Saravanan Shanmugham
Jul 12, 2013

Ok any reason yall chose to display it as -0.448 instead of -44.8%
I have seen some where else in Quantopian, either the documentation or the blogs where this same page was displaying them as % values so was expecting that.
1. Intuitivly and visually I would prefer to see these % values.
2. And would love to see them sid by side with their benchmark equivalents and delta between them.
3. Coz I find the best way to evaluate models is how they perform relative to a benchmark in 3 or 6 month trailing windows
4. I find any GOOD model quant or other wise meets or beats the benchmark relatively consistently in a good market and looses less(worstcase and on average) consistently on a down markets. Any summary that can help me understand this would be great.

Thanks,
Sarvi

Dan Dunn
Jul 12, 2013

There's no strong reason - we could have used %.

I'll think about ways to get the benchmarks, returns, and other risk metrics displayed more flexibly.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.