Performance
Strategy Performance:
Numbers Speak
Backtested and live-tracked results based on real market data. All figures are net of trading costs and slippage, faithfully reflecting strategy execution.
📊 Core Metrics
📈 Annual Performance
| Year | SA Quant | Hang Seng Index | Excess Return |
|---|
| 2023 | +31.2% | -13.8% | +45.0% |
| 2024 | +22.5% | +17.7% | +4.8% |
| 2025 | +19.3% | +8.2% | +11.1% |
| 2026 YTD | +15.6% | +3.4% | +12.2% |
📐 Risk Metrics
Annualized Volatility18.5%
Downside Volatility11.2%
Beta (vs HSI)0.68
Alpha (Annualized)18.3%
Win Rate (Monthly)62.5%
Profit/Loss Ratio2.4x
Max Drawdown Recovery4.2 months
VaR 95% (Monthly)-5.8%
📊 Benchmark Comparison
SA Quant Strategy
+24.8%
Annualized Return
Hang Seng Index
+2.1%
Annualized Return
Hang Seng Small Cap Index
-1.5%
Annualized Return
🔄 Backtest Methodology
Sample Period:2018/01 – 2026/05 (Full bull-bear cycle)
Universe:HSI Small Cap constituents + GEM stocks with market cap ≥ HKD 500M
Trading Cost Assumptions:Commission 0.18% + Stamp Duty 0.13% + Slippage 0.15%
Rebalancing:Quarterly, executed at closing price on rebalance day
Survivorship Bias:Delisted stocks included, using last trading day price before delisting
📋 Rolling Window Stability
| Rolling Period | Min Annualized | Avg Annualized | Max Annualized | Min Sharpe |
|---|
| 1 Year | -8.3% | +22.5% | +52.1% | 0.45 |
| 2 Years | +3.2% | +23.1% | +38.7% | 0.88 |
| 3 Years | +11.4% | +23.8% | +35.2% | 1.21 |
💡 Key Finding: The 3-year rolling window has never posted a negative return. The strategy performs consistently with a holding period ≥ 2 years, making it suitable for long-term asset allocation rather than short-term trading.
⚠️ Disclaimer: The above data includes backtested results. Past performance does not guarantee future returns. All backtested figures include trading costs and slippage assumptions, but actual trading results may differ due to market liquidity and execution delays. Investment involves risk; please evaluate carefully.