The Performance (Pf) Investable Attribute compares the risk adjusted return of a DARWIN (5-10% monthly VaR) against the returns of 10,000 random strategies with exactly the same level of risk.
What is it?
The Performance (Pf) Investable Attribute compares the risk adjusted return of a DARWIN (5-10% monthly VaR) against the returns of 10,000 random strategies with exactly the same level of risk. It then ranks them on a percentile basis from 1% to 99%.
The spirit is similar to Sharpe/Sortino ratios, but the implementation overcomes shortcomings that arguably render Sharpe/Sortino unfit to assess high-risk, high rotation trading strategies.
Pf is an excellent way to identify the statistical illusions inherent in many trading strategies offered on copy trading platforms. We refer to those strategies with a long track record, significant number of trades and an apparently seductive equity curve that at first glance appear investable. But where upon further examination on a trade by trade level, it can be seen that the positive returns are predominantly generated by a small number of excessively leveraged trades. In this case the return is therefore not as a consequence of a robust and stable strategy that generates consistent alpha.
The Pf scores fluctuates from 0-10 and is based on the last 12 D-Periods of Experience (Ex).
Once the Experience (Ex) and Market Correlation (Mc) scores have reached 10, the Performance (Pf) attribute is the one with highest weighting in the calculation of D-Score.
Where can I see this information??
As with the rest of the Investable Attributes, you can access Pf information for a DARWIN via the icons in the top right of the DARWIN profile
or by clicking through the ["Investable Attributes" / "Pf"] path within the DARWIN profile.
Examples of Pf scores
This DARWIN has an excellent 9.9 score for Pf across the last 12 D-Periods - pretty much top of the class.
This DARWIN has a Pf score of 5.1
Over time the Pf score has fluctuated substantially and suffered a steep decline from 8.45 to 3.84 before starting to recover.
This DARWINs Performance (Pf) score has never really taken off.