Friday 28 April 2023

Trading and investing performance: year nine, part one

 A bit late this year, due to a confluence of holidays, book launches, university exam writing and various other things. Here lies within my performance for the UK tax year 2022-23. Previous years can be found here

TLDR: Not great, absolute or relative. It was indeed a complete anus - horrible!.

This will be a two parter this year. In this post I will look at my overall performance, with only a cursory look at my futures trading. In the second post I will focus on my futures trading.



  • 1 UK stocks
  • 2 Various stock ETFs
  • 3 Various bond ETFs
  • 4 A small amount of uninvested cash
  • 5 Futures contracts traded by my fully automated trading strategy
  • 6 Cash as trading capital for the above, of which usually around a third is required for initial margin

Excluded from this analysis is:

  • My house
  • A cash buffer I keep to cover living expenses

I benchmark my investments in the following way:

  • A: UK single stocks 
    • Benchmarked against ISF, a cheap FTSE 100 ETF (FTSE 350 is probably a better benchmark but these ETFs tend to be more expensive).
  • B: Long only stocks investments: All stock ETFs and UK stocks
    • Benchmarked against a cheap global equity fund (VEVE)
  • C: Long only bond investments: All bond ETFs
    • Benchmarked against a cheap global bond fund (AGGG)
  • D: Long only investments: All UK stocks, bond ETFs and stock ETFs
    • Benchmarked against a cheap 80:20 fund. 
  • E: Futures trading: Return from the futures contracts traded by my fully automated system. The denominator of performance here is the notional capital at risk in my account (usually less than the account value).
    • Benchmarks are a similar fund run by my ex employers AHL, and the SG CTA index, adjusted for volatility.
  • F: Everything: Long only investments, plus futures hedge, plus futures trading. I include the value of any cash included in my trading or investment accounts, since if I wasn't trading I could invest this. 
    • For the benchmark I use a cheap 60:40 fund.

If you prefer maths, then the relationship to the first set of categories is:

A = 1
B = 1 + 2 
C = 3
D = B + C = 1 + 2  + 3
E = 5 + 6
F = D + 4 + E = 1 + 2 + 3 + 4  +5 + 6

Performance contribution

The figures shown are the contribution of each category to my total investment performance:

1) UK equities -1.7%

2) Stock ETFs -1.8%

3) Long only bonds 0.12%

5 & 6) Futures trading -1.3%

F) Total -4.7%

Here is another way of putting it:

Long only MTM (mark to market): -7.9%

Stock and ETF dividends, less fees: 4.6%

Futures: -1.3%

Now for the same figures as 'internal rates of return', which are effectively for the 'capital' employed in each area. I use the Excel function XIRR. You can't add these up, but they are comparable and account for flows between categories. Benchmarks are also shown.

A) UK equities -7.0% Benchmark +4.3%

B) Long only stocks -4.7%   Benchmark -2.4%

C) Long only bonds +1.34%  Benchmark -1.10%

D) Long only investments -4.1% Benchmark -2.1%

E) Systematic futures trading  -8.7% Benchmarks +5.0% -1.3% (vol matched)

F) Everything -4.7% Benchmark -1.9%

Well, that's a pretty dark picture. We know that 2022 wasn't great for 60:40 (my benchmark for 'everything') but things picked up in early 2023. Indeed my only outperformance came in long only bonds; maybe I should become a long only fixed income manager? (Wait, what?)

UK equities

This portfolio is traded using a system which I've explained before (value bias, with trailing stop of 30%), but which is not automated. Instead I have the stocks set up in a spreadsheet, with alerts reminding me when stop losses occur. If I sell then I download some data to pick the best value share.

Current portfolio:

Vistry Group                 9.67%
Centrica PLC                 7.93%
3i Group                 7.23%
Jupiter Fund Management         6.52%
Barratt Developments         5.77%
Bluefield Solar Income Fund 5.21%
Sequoia Economic Infrastructure 5.02%
NextEnergy Solar         4.98%
GCP Infrastructure Investment 4.82%
HICL Infrastructure         4.60%
OSB Group                 4.41%
Castings                 4.39%
Renewables Infrastructure 4.30%
Lloyds Banking Group         4.26%
Legal & General Group         4.23%
Phoenix Group                 3.46%
Johnson Matthey         3.46%
Aviva PLC                 3.45%
Persimmon PLC                 3.41%
Greencoat UK Wind         2.89%

Here is the performance of every share I held over the year. Percentages are taken from the start of year price, or from when I bought it during the year:

Name         MTM % Divi % TR %
3i Group Ord (L 54.1% 2.1% 56.3% HELD BOUGHT
Centrica PLC (L 39.5% 1.3% 40.7% HELD LEGACY
Castings PLC (L 16.9% 10.6% 27.5% HELD LEGACY
Central Asia Me 17.2% 9.1% 26.3% SOLD LEGACY
Imperial Brands 17.9% 5.5% 23.5% SOLD LEGACY
Centamin PLC (L 14.9% 6.7% 21.6% SOLD LEGACY
Barratt Develop 10.1% 2.1% 12.3% HELD LEGACY
Vistry Group PL 8.6% 3.3% 11.9% HELD BOUGHT
Jupiter Fund Ma 7.7% 4.1% 11.8% HELD BOUGHT
Lloyds Banking 6.0% 4.6% 10.6% HELD LEGACY
Greencoat UK Wi 3.7% 0.0% 3.7% HELD LEGACY
Johnson Matthey -0.4% 4.0% 3.6% HELD LEGACY
Rathbones Group 1.6% 0.0% 1.6% SOLD LEGACY
Aviva PLC (LSE: -27.9% 28.3% 0.3% HELD LEGACY
Renewables Infr -5.4% 5.0% -0.4% HELD LEGACY
HICL Infrastruc -3.3% 2.6% -0.7% HELD BOUGHT
NextEnergy Sola -4.0% 3.2% -0.8% HELD BOUGHT
Bluefield Solar -1.7% 0.0% -1.7% HELD BOUGHT
Legal & General -4.6% 2.1% -2.4% HELD BOUGHT
Phoenix Group H -11.3% 7.9% -3.4% HELD LEGACY
Tullow         -4.4% 0.0% -4.4% SOLD BOUGHT
Greencore Group -4.6% 0.0% -4.6% SOLD LEGACY
Sequoia Economi -5.2% 0.0% -5.2% HELD BOUGHT
Babcock Interna -5.8% 0.0% -5.8% SOLD LEGACY
GCP Infrastruct -9.1% 2.6% -6.5% HELD BOUGHT
Morgan Advanced -9.6% 1.9% -7.7% SOLD LEGACY
Hammerson PLC ( -12.2% 0.6% -11.6% SOLD LEGACY
Persimmon PLC ( -13.9% 0.0% -13.9% HELD BOUGHT
Currys         -18.2% 3.1% -15.1% SOLD BOUGHT
OSB Group PLC ( -17.2% 0.0% -17.2% HELD BOUGHT
Morgan Sindall -23.5% 2.6% -20.9% SOLD LEGACY
TP ICAP GROUP P -25.5% 3.7% -21.7% SOLD LEGACY
Investec PLC (L -26.7% 2.8% -23.9% SOLD LEGACY
Direct Line Ins -31.2% 5.5% -25.7% SOLD LEGACY
Aberdeen -31.9% 3.6% -28.3% SOLD BOUGHT
Redde Northgate -31.9% 3.5% -28.4% SOLD LEGACY
BT Group PLC (L -33.8% 2.9% -30.9% SOLD LEGACY
Taylor Woodrow -33.2% 0.0% -33.2% SOLD BOUGHT
Synthomer -54.2% 0.0% -54.2% SOLD BOUGHT

Note I generally use a 30% stop, but because the stops aren't placed I sometimes get gapped through (badly in the case of the final share). 

MTM is mark to market (the % price change since I bought it, or the start of the year), Divi(dend)% is self explanatory, TR is total return - the sum of the first two columns. The next column describes the current state of this position: do I still HOLD or have I SOLD. The final column shows when I obtained the position: at the start of the year (LEGACY) or it's something I subsequently BOUGHT.

Turnover was 167%, eg holding period just over 7 months. This is slightly down from last year. Average dividend was 6.2%. My XIRR was -7.0%; you might think that sounds okay given all the bad things you've heard about stocks, but actually the UK was a standour market in the general horror of the last 12 months and my benchmark (FTSE 100 ETF) earned 4.7%.

        XIRR bench
2016 – 2017 29.2% 25.1%
2017 – 2018 18.3% 2.2%
2018 – 2019 -2.3% 7.9%
2019 – 2020 -23.1% -24.2%
2020 – 2021 64.3% 29.0%
2021 – 2022 9.8% 16.5%
2022 – 2023 -7.0% 4.3%
Mean         12.74% 8.68%
Stdev         0.28 0.18
SR         0.45 0.49
Geo. Mean 9.8% 7.3%
Alpha 1.1%
Beta 1.34
Corr 0.84

So this has been my worst year in relative, and secondly only to COVID in absolute terms. After two straight years of underperformance, the benchmark is now a little ahead on SR, but I'm still winning on geometric mean.

Long only Stocks

As already noted this is consists of all my stock ETFs, plus my UK shares. With the recovery of value being one of the stories of last year, and the US/RoW spread narrowing with my permanent underweight to the overvalued US I had hoped for good things here. Some hope!

Here are the risk exposures by region within this sub-portfolio:

              Start of year      End      Long term   Target

Asia             14%             17%         15%       18%

EM               20%             26%         25%       23%

Europe           17%             18%         20%       14%

UK               29%             31%         25%       32%

US               20%             8%          15%       13%

Start of year and End are self explanatory, whilst Long term is the strategic allocation (see my spreadsheet). After I have snapshotted the year I rebalance the portfolio to the target level shown, taking account of tax and transfers between accounts. 

The rather wild differences between end of year and target are because I'm partially through switching m portfolio to ESG ETFs. This also meant that turnover was much higher than normal, but this will be a temporary situation.

The XIRR for my stocks was -4.7%, which isn't great the benchmark ETF I've chosen (IWRD) was only down -2.4% TR. Dividends were much healthier at 5.2%.

No stats as I only started breaking out performance like this last year, but you can see I'm underperforming for the second year in a row:

2021 - 2022 XIRR +6.1%,  benchmark +14.5%

2022 - 2023 XIRR -4.7%,  benchmark -2.4%

Benchmarking note: If you check back you may see slightly different numbers for the benchmarks. This is because I was using a mixture of random ETFs for stocks/bonds, and Vanguard preblended 60:40 and 80:20. This meant there was no consistency; eg the 60:40 fund actually did worse than a 60/40 blend of my stock and bond benchmarks. I was also unsure about some of the historic marks for my benchmarks, as some of them weren't done very precisely. So I repopulated my benchmark history with total return history in GBP terms, ex fees for:

  • Bonds SUAG (US dollar only) until April 2018, then AGGG (all currencies, but not available until late 2017)
  • Equities IWRD 
  • 60:40 benchmark - a 60/40 blend of the above; so effectively annually rebalanced
  • 80:20 benchmark - an 80/20 blend of the above

My FTSE 100 ISF benchmark for UK equities is unchanged.

As with what I did last year, if anything this makes my performance look a little worse on a relative basis so I think my hands are clean.

Long only Bonds

This is just ETFs. Here are the risk exposures:

              Start of year     End      Long term   Target

Asia             3%              5%         4%        2%

EM               40%             41%       24%        34%

Europe           35%             39%       24%        19%

UK               8%              2%        24%        25%

US               13%             13%       24%        22%

Last year I started treating my 'cash like' bond ETFs as cash, and I stick to that here. These are held in my IB trading account to make more efficient use of my margin; more below.

Again, there are some big deltas here due to my rebalancing into ESG which I couldn't complete in the tax year without incurring.... tax. Note that the tax allowance for capital gains in the UK is now just £2k, so this might take a while longer!

I was a big buyer of bonds during the year, more than doubling my allocation. This is because the strongly negative relative momentum in bonds abated, and I tilted back to something closer to my strategic allocation.

This also means the XIRR figures might be a bit weird, but what the hell, I made 1.34% versus the index (AGGG) losing 1.1%. My only green figure relative and absolute for the year, and I will take it. 

2021 - 2022 XIRR +1.53%,  benchmark -2.97%

2022 - 2023 XIRR +1.34%,  benchmark -1.10%

Based on two years of performance, I am the bond king now - sorry Bill

Long only investments

All of the above, in one easy to find place. You already know what is currently in this portfolio, and the regional risk exposures, so that just leaves the macro asset class level exposure. Here it is in cash terms:

              Start of year      End      Long term   Target

Bonds            5%             10%          22%        12%

Stock            95%            90%          78%        88%

And here's risk terms:

              Start of year      End      Long term   Target

Bonds            3%              6%          10%        7%

Stock            97%             94%         90%        93%

Given I did badly in stocks, and I mostly own stocks at a higher level than the 80:20 benchmark I use as of last year, it's no surprise that my XIRR here of -4.1% was below par compared to the benchmark of -2.1%.

        XIRR bench

2015 – 2016 6.1% 0.4%

2016 – 2017 22.3% 28.4%

2017 – 2018 1.3% -0.5%

2018 – 2019 4.0% 11.7%

2019 – 2020 -17.5% -6.4%

2020 – 2021 34.8% 33.4%

2021 – 2022 5.9% 11.0%

2022 – 2023 -4.11% -2.1%

Mean         6.60% 9.48%

Stdev         15.9% 14.7%

SR         0.41 0.65

Geo. Mean       5.6% 8.7%

Alpha        -3.0%

Beta         1.02

Corr         0.93

Futures trading (brief)

As I noted at the start of the post, I'll just put a very cursory look at my futures trading in here, with a subsequent follow up post to look at more details. All figures are as a % of my notional capital, which will usually be more than I have in my account. 

MTM: -9.7%
Interest: 1.3%
Fees: -0.06%
Commissions: -0.21%

Net futures trading: -8.7%

'Interest' includes dividends on 'cash like' short bond ETFs I hold to make a slightly more efficient use of my cash; I've recently (in this financial year) added a bit more to this sub portfolio. It's quite interesting how interest has gone from being irrelevant to actually adding something to performance.

As I've done in previous years I compare this to two benchmarks, 'Bench2' the SGA CTA index, and a 'Bench1' a fund run by AHL, my ex employers. My loss was worse than both; on a vol corrected basis bench1 made 5% (admittedly on the back of a loss last year), and bench2 only dropped 1.3%

        Me Bench1 Bench2
2014 – 2015 58.2% 70.2% 50.7%
2015 – 2016 23.2% -8.7% -1.6%
2016 – 2017 -14.0% -6.2% -25.5%
2017 – 2018 -3.7% 7.5% -4.4%
2018 – 2019 5.2% 8.1% 0.8%
2019 – 2020 39.7% 22.6% 9.3%
2020 – 2021 0.4% 0.8% 12.7%
2021 – 2022 27.0% -5.2% 38.3%
2022 - 2023 -8.71% 5.0% -1.30%
Mean         14.1% 10.4% 8.8%
Std dev         24.3% 24.3% 23.1%
SR         0.58 0.43 0.38
Geom mean 11.9% 8.5% 6.7%
Correlation 0.71 0.80
alpha         6.7% 6.8%
beta         0.71 0.84

So on a longer term basis, I'm still doing well here. The relatively low correlation with AHL is kind of interesting as well. 


Let's see what the final score is. The denominator here will be the total value of all the securities and investable cash I have, including both cash for futures margin and any temporarily univested cash in other accounts. I do exclude some cash I hold as a buffer, since that can't be invested. 

The bottom line is a loss of 4.7% vs the 60:40 benchmark down just 1.9%. Dividends were 4.6%; without those there would obviously have been a near double digit loss. Here's the history:

        XIRR bench
2014 – 2015 14.40% 2.0%
2016 – 2017 18.20% 24.8%
2017 – 2018 0.60% -3.0%
2018 – 2019 4.40% 10.4%
2019 – 2020 -6.60% -2.3%
2020 – 2021 27.90% 23.4%
2021 – 2022 8.25% 7.5%
2022 – 2023 -4.66% -1.9%
Mean         7.81% 7.61%
Stdev         11.8% 11.2%
SR         0.66 0.68
Geo. Mean 6.8% 7.1%
Alpha 1.1%
Beta 0.89
Corr 0.93

Summary and future plans

With writing a book and all, last year didn't see me do very much to my portfolio. I did some tidying up; now all my UK stocks are in a single account which makes attribution easier, and I started the move to ESG

I hoped to introduce some new futures strategies but didn't; my first act of the new year once I've written up my futures performance is going to be to add a bunch of new markets to my strategy, and then subsequently think about other strategies some more (principally RV and faster MR, although not quite in the way described in my new book - watch this space). I'm also painfully aware that I have a heap of work to do on pysystemtrade.

One other thing is that it seems to take longer and longer to write this post every year. It's a huge hacked together spreadsheet, full of checks and balances in case I miss something (I acidentally put a decimal point in the wrong place, and 'lost' 150k!). I really ought to automate the process somehow; which would involve keeping better records and writing some code. Hopefully I will have time this year.


  1. Hi Rob, looking at your LO portfolio performance it seems to underperform your benchmark. In particular I notice you have ~same vol and lower SR which I wouldn't have expected given your diversification and momentum overlay.
    Any thoughts on that?

    1. Thoughts? Thoughts like "Oh woah is me, I shouldn't waste my time actively trading my LO portfolio"? or like "Wow I spend a couple of days every year analysing my performance, maybe I should spend another two weeks just to understand precisely where each 0.01% of underperformance comes from"? Funnily enough, I have neithier of those thoughts.

  2. Hi Rob, I read ST and currently reading SP (put LT on pause for now). Despite listening to a lot of your podcast interviews and YT lectures recently, I am trying to understand a basic premise (go easy, I'm new to this)... why do you have an Investment portfolio and a Trading portfolio, vs. e.g. a Trading Portfolio with different Time Horizons. What are their relative merits? Currently I'm, on faith / intuition, looking to create an investment portfolio (lower skillset) from which I will apportion funds towards Trading (higher skillset) as I build up this knowledge, but wanted to understand their relative merits in your overall portfolio? Thanks, Noah

    1. Any investment portfolio is indeed a trading portfolio with a longer horizon. I just find it helpful personally to give them these labels.

    2. Thanks for the reply, will crack on with SP and with my plan.


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