Current performance analysis and benchmark comparisons for the Quant Portfolios to trade yourself.

Performance Chart

Performance development of the Quant Portfolios

Performance normalized to Start = 100 (2004). Profits are retained.

  • MOUNT = "offensive system"
  • ARROW = "balanced system"
  • SOLID = "defensive system"

There are four Quant Portfolios per Quant system (each with a different investment universe):

More details on the performance indicators

Yield (%)

Yield development of Quant Portfolios

The return shows the annual or monthly increase of the Quant Portfolios in percent. The multi-year returns always show the period from today back over the last years. More details on the performance indicators

Sharpe & Sortino Ratios

Key performance indicators for Quant systems

Sharpe & Sortino Ratios are important ratios for the evaluation of trading systems. Here, the return of the Portfolio is put in relation to the drawdown. More details on the performance indicators

Alpha & Beta

Alpha and beta are important Portfolios ratios

Alpha describes the "excess return" of the Portfolio over a benchmark. The alpha is presented annualized. Beta describes the correlation of the returns to the benchmark. More details on the performance indicators

Drawdown (%)

Drawdown is the decline in the performance of a Quant Portfolio after a new high has been reached. The maximum drawdown is the collapse of a Quant Portfolio over a certain period of time. The drawdown must always be seen in relation to the return of the system.

Offensive systems like MOUNT have a higher volatility and therefore a larger drawdown compared to defensive systems like the SOLID system.


More details on the performance indicators

Number of trades / year

Number of trades executed per Quant Portfolio per year

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Performance Overview

Daily updated performance analysis for all Quant Portfolios to create yourself. (The performance of the Managed Account Portfolios can be found here)

Yield (%)

Comparison of annual returns (%). Selection by year

Average return per year (%)

From 2004 until today

performance charts

Portfolio performance since 2004 incl. backtest until 2018.
Start value = 100 (normalized)

Sharpe & Sortino Ratio

Annualized values. Green background means particularly good values

Alpha & Beta

Annualized for Alpha

Learn more about the Quant systems

Offensive Quant System
for different stock universes

To the MOUNT system

Balanced Quant system
for different stock universes

To the ARROW system

Defensive Quant System
for different stock universes

To the SOLID system

Offensive trading system on the DAX(R) Index

About the PROTON system

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