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RMI Style comparisons

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Starting Point Bias

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Drawdown Analysis

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Long Short Performance

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Momentum and Reversion

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Simulating Fundamentals

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• Return Profile: (Absolute Return) • Entry/Exits: (Periodical) • Group: (Sectors, Regions, Assets, Instruments) • Filters: (Fundamental, Statistical, Behavioural, Technical) • Holding: (< 30 days; 30-180 days, 180-365 days; > 12 months) • Cash: (Can go all Cash) • Trend: (Trend, Countertrend) • Strategy: (Long, Hedge) • Drawdowns: (Fixed) • Allocation: (Equal) RMI Toronto 60 Growth […]

Return Profile: (Absolute Return) • Entry/Exits: (Periodical) • Group: (Sectors, Regions, Assets, Instruments) • Filters: (Fundamental, Statistical, Behavioural, Technical) • Holding: (< 30 days; 30-180 days, 180-365 days; > 12 months) • Cash: (Can go all Cash) • Trend: (Trend, Countertrend) • Strategy: (Long, Hedge) • Drawdowns: (Fixed) • Allocation: (Equal) RMI Toronto Active

Avg. Holding Period 267.35 Avg. Cash in Portfolio (%) (Historical) 14.24 Expected gains per trade (historical) 21.21 Avg. no. of trades per Year 22.75 Current value of USD 100 invested in 2002 983.7 Annualized Return 02/2002 to date (%) 20.57 Annualized Std Dev(%) 20.05 RMI US Active

• Return Profile: (Absolute Return) • Entry/Exits: (Periodical) • Group: (Sectors, Regions, Assets, Instruments) • Filters: (Fundamental, Statistical, Behavioural, Technical) • Holding: (< 30 days; 30-180 days, 180-365 days; > 12 months) • Cash: (Can go all Cash) • Trend: (Trend, Countertrend) • Strategy: (Long, Hedge) • Drawdowns: (Fixed) • Allocation: (Equal) RMI Toronto Value-Growth

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