Systinvest. Track Record. ploutos. wikifolios

Transcription

1 Systinvest Track Record ploutos wikifolios

2 Content wikifolio Trader ploutos page 2 General information on wikifolio and the trader ploutos Marketcycles page 3 Category 1, Crash Risk Control-strategy applied with ETFs on equity indices Alpha+Beta+Crash Risk Control page 4 Category 1, combination of the systematic stockpicking strategy with the Crash Risk Control-strategy Systematic stockpicking page 5 Category 2, pure systematic stockpicking strategy using german stocks Systematic stockpicking Europe page 6 Category 2, pure systematic stockpicking strategy using european stocks Leverage +3x Risk Management page 7 Category 3, combination of the Crash RIsk Control-strategy with trading strategies on single stocks Leverage Multistrategies page 8 Category 3, combination of the Crash Risk Control-strategy with multiple leveraged strategies Marketcycles leveraged dynamically page 9 Category 3, Crash Risk Control-strategy applied with leveraged products on equity indices Glossary page 10 Disclaimer page 11 wikifolio Trader ploutos What are wikifolios? wikifolios provide a new opportunity to invest. Private and professional persons can publish investment strategies through the social investment platform wikifolio. These virtual portfolios are fully transparent and trackable on wikifolio.com so that any interested person can follow all trades and comments of the trader. Applied strategies In most of the listed wikifolios below the Crash Risk Control-strategy, systematic stockpicking strategies or a combination of both are applied. s All Systinvest-wikifolio could be splitted in three categories according to their objectives: Category 1: Targeted return should more or less equals the benchmark return while having reduced drawdowns risks. Category 2: Outperformance should be achieved without leverage while having more or less equal drawdowns risks. Category 3: Strong outperformance should be achieved with the use of leverage while having higher drawdown risks.

3 ACTUAL DRAWDOWN wikifolio "Marktzyklen" created 12/11/2012 In this wikifolio the Crash Risk Control- shall be realized with ETFs on equity market indices as base investment during lower-market-risk periods. In the case that the Crash Risk-indicators show higher market risks all risky positions shall be replaced by cash or secure bond- ETF investments. -% -1% -% wikifolio "Marktzyklen" Achieving approximately an equity market return while having simultaneously reduced drawdown risks. -% 0% % 10.0% with high watermark % CDAX Drawdown WFAZ Drawdown STOXX 600 WFAZ Performance after costs wikifolio "Marktzyklen" Return s.i. +54,4% Year Return p.a. +8,2% Return -0,5% +20,8% -6,9% +13,3% +7,8% +12,9% +4,1% max. Loss 12% Jan +3,8% -1,2% +3,5% -0,1% +1,0% +1,9% Volatility 11% Feb +4,7% +3,4% +7,1% -0,1% +3,9% -2,2% RFD7 +6,2% Mar +0,6% -3,6% +1,6% +1,5% +1,5% -2,1% Calmar Ratio 66% Apr +1,0% -1,9% -0,7% -0,6% +0,2% +0,3% Sharpe Ratio 75% May +0,1% +2,9% +2,7% +3,6% +0,2% +4,8% Jun -5,7% +0,6% -3,7% -4,7% -1,7% +1,5% Benchmark Related Jul +3,2% -4,2% +3,1% +5,3% +0,1% Correlation 73% Aug +0,2% +2,9% -0,5% +0,5% +0,4% Beta 62% Sep +4,3% -0,6% -0,1% -0,2% +3,1% Oct +4,6% -5,2% +2,7% -2,4% +3,2% Nov +2,1% +1,6% +3,3% +3,0% -0,2% Dec -0,5% +0,6% -1,4% -5,8% +2,2% +0,7% Performance before costs STOXX 600 Return s.i. +59,3% Year Return p.a. +8,8% Return -0,6% +20,8% +7,1% +10,7% +1,2% +10,6% +2,0% max. Loss 25% Jan +3,1% -1,3% +7,7% -6,8% -0,3% +1,7% Volatility 14% Feb +1,1% +5,0% +7,0% -2,2% +3,1% -3,8% RFD7 +4,4% Mar +1,6% -0,8% +1,7% +1,4% +3,3% -2,0% Calmar Ratio 35% Apr +1,7% +1,6% +0,1% +1,8% +2,0% +4,5% Sharpe Ratio 64% May +2,0% +2,6% +1,7% +2,5% +1,5% +0,1% Jun -5,1% -0,5% -4,5% -4,8% -2,5% +1,7% Benchmark Related Jul +5,2% -1,6% +4,0% +3,7% -0,4% Correlation % Aug -0,5% +2,0% -8,2% +0,7% -0,8% Beta % Sep +4,5% +0,4% -4,1% -0,1% +3,9% Oct +3,9% -1,7% +8,1% -1,0% +1,9% Nov +1,0% +3,3% +2,8% +1,1% -2,0% Dec -0,6% +0,7% -1,7% -4,5% +5,8% +0,7%

4 ACTUAL DRAWDOWN wikifolio "Alpha+Beta+Crash Risk Control" created 05/31/2016 In this wikifolio of wikifolios the Crash Risk Control- shall be realized with alpha-generating wikifolios as base investment. In the case that the Crash Riskindicators show higher market risks all market-risk-bearing positions shall be sold or replaced by wikifolios which are assumed to achieve market-neutral returns. -% -1% -% wikifolio "Alpha+Beta+Crash Risk Control" Achieving a higher return as the benchmark CDAX while having reduced drawdown risks. -% 0% % There are no additional costs to the ones charged by the holdings of this wikifolio of wikifolios. % CDAX Drawdown WFSTPDECRP Drawdown CDAX WFSTPDECRP Alpha Performance after costs wikifolio "Alpha+Beta+Crash Risk Control" Return s.i. +26,8% Year Return p.a. +12,3% Return +10,1% +21,5% -5,3% max. Loss 12% Jan +2,2% -0,2% Volatility 11% Feb +2,2% -4,9% RFD7 +10,4% Mar +1,7% -3,4% Calmar Ratio 106% Apr +2,5% +0,8% Sharpe Ratio 115% May ±0,0% +3,8% +1,9% Jun -3,7% -0,6% +0,7% Benchmark Related Jul +5,8% +0,5% Correlation 82% Aug +2,4% +2,0% Beta 66% Sep +2,3% +4,3% Oct +0,7% +0,2% Nov -2,0% -0,9% Dec +4,5% +1,8% Performance before costs CDAX Return s.i. +30,0% Year Return p.a. +13,7% Return +10,4% +16,0% +1,5% max. Loss 12% Jan +0,9% +2,2% Volatility 14% Feb +2,6% -5,0% RFD7 +11,7% Mar +3,9% -2,6% Calmar Ratio 115% Apr +1,5% +3,8% Sharpe Ratio % May ±0,0% +2,0% +0,4% Jun -5,5% -2,4% +2,9% Benchmark Related Jul +6,7% -1,0% Correlation % Aug +2,2% -0,1% Beta % Sep -0,3% +6,2% Oct +0,8% +3,0% Nov -0,8% -0,9% Dec +7,4% -0,4% wikifolio-outperformance after costs versus CDAX Return s.i. -2,5% Year Return p.a. -1,2% Return -0,3% +4,8% -6,6% max. Loss 9% Jan +1,3% -2,4% Volatility 9% Feb -0,3% ±0,0% RFD7-2,6% Mar -2,1% -0,8% Calmar Ratio -13% Apr +0,9% -2,9% Sharpe Ratio -13% May ±0,0% +1,8% +1,5% Jun +1,9% +1,9% -2,2% Benchmark Related Jul -0,8% +1,5% Correlation -59% Aug +0,2% +2,2% Beta -33% Sep +2,6% -1,8% Oct -0,1% -2,7% Nov -1,3% ±0,0% Dec -2,7% +2,2%

5 wikifolio "Aktienwertselektion mit System" created 01/28/2015 By systematically picking single stocks this wikifolio should achieve a positive alpha versus its benchmark CDAX. The stock selection could be based on fundamental and technical metrics like Price-to-Earnings/Book/Cash Flow/Sales-Ratios, Momentum, etc. Cost and liquidity restrictions might also be applied before a stock is finally picked. Achieving a higher return as the benchmark CDAX while having approximately equal drawdown risks. wikifolio "Aktienwertselektion mit System" 5.00% with high watermark CDAX WFSTPICKER Alpha Performance after costs wikifolio "Aktienwertselektion mit System" Return s.i. +,3% Year Return p.a. +12,8% Return +14,7% +12,9% +21,4% -4,4% max. Loss 16% Jan +0,1% -6,8% +1,9% -0,2% Volatility 14% Feb +6,9% -0,3% +2,4% -4,9% RFD7 +10,0% Mar +2,7% +5,2% +1,7% -3,4% Calmar Ratio 79% Apr -1,3% +1,6% +2,5% +1,8% Sharpe Ratio 92% May +3,2% +3,3% +3,8% +1,9% Jun -3,0% -3,0% -0,6% +0,6% Benchmark Related Jul +4,1% +5,1% +0,5% Correlation 91% Aug -5,3% +2,3% +2,0% Beta 67% Sep -2,2% +2,3% +4,3% Oct +7,5% +0,5% +0,2% Nov +3,8% -1,7% -0,9% Dec -1,7% +4,4% +1,8% Performance before costs CDAX Return s.i. +27,7% Year Return p.a. +7,5% Return +1,9% +6,5% +16,0% +1,5% max. Loss 27% Jan -0,2% -8,4% +0,9% +2,2% Volatility 18% Feb +6,6% -2,7% +2,6% -5,0% RFD7 +2,7% Mar +4,5% +4,8% +3,9% -2,6% Calmar Ratio 27% Apr -3,9% +0,7% +1,5% +3,8% Sharpe Ratio 43% May ±0,0% +2,5% +2,0% +0,4% Jun -4,0% -5,5% -2,4% +2,9% Benchmark Related Jul +3,6% +6,7% -1,0% Correlation % Aug -8,4% +2,2% -0,1% Beta % Sep -5,3% -0,3% +6,2% Oct +11,3% +0,8% +3,0% Nov +4,4% -0,8% -0,9% Dec -4,9% +7,4% -0,4% wikifolio-outperformance after costs versus CDAX Return s.i. +17,7% Year Return p.a. +4,9% Return +12,6% +6,0% +4,7% -5,8% max. Loss 8% Jan +0,3% +1,8% +1,1% -2,4% Volatility 13% Feb +0,2% +2,5% -0,2% ±0,0% RFD7 +3,6% Mar -1,7% +0,3% -2,1% -0,8% Calmar Ratio 59% Apr +2,6% +0,9% +0,9% -1,9% Sharpe Ratio 39% May +3,2% +0,8% +1,8% +1,5% Jun +1,1% +2,6% +1,9% -2,3% Benchmark Related Jul +0,5% -1,6% +1,5% Correlation -73% Aug +3,4% +0,1% +2,2% Beta -33% Sep +3,2% +2,6% -1,8% Oct -3,4% -0,3% -2,7% Nov -0,6% -1,0% ±0,0% Dec +3,4% -2,7% +2,2%

6 wikifolio "Aktienwertselektion Europa" created 07/06/2016 By systematically picking single stocks this wikifolio should achieve a positive alpha versus its benchmark STOXX 600. The stock selection could be based on fundamental and technical metrics like Price-to-Earnings/Book/Cash Flow/Sales-Ratios, Momentum, etc. Cost and liquidity restrictions might also be applied before a stock is finally picked. Achieving a higher return as the benchmark STOXX 600 and having approximately equal drawdown risks. wikifolio "Aktienwertselektion Europa" 5.00% with high watermark 2016/ / / / / / / /04 STOXX 600 WFSTPICKEU Alpha Performance after costs wikifolio "Aktienwertselektion Europa" Return s.i. +37,7% Year Return p.a. +17,9% Return +13,1% +20,5% +1,0% max. Loss 11% Jan +1,4% -2,0% Volatility 11% Feb +2,8% -3,3% RFD7 +16,0% Mar +1,8% -0,8% Calmar Ratio 164% Apr +2,5% +5,3% Sharpe Ratio 168% May +3,7% -0,4% Jun -0,8% +2,5% Benchmark Related Jul +6,0% +0,7% Correlation 88% Aug +0,3% -0,1% Beta 86% Sep -0,1% +5,3% Oct +0,3% +2,0% Nov -0,2% -2,1% Dec +6,3% +1,7% Performance before costs STOXX 600 Return s.i. +29,4% Year Return p.a. +14,2% Return +14,2% +11,1% +2,0% max. Loss 9% Jan +0,2% +1,7% Volatility 10% Feb +3,1% -3,8% RFD7 +12,6% Mar +3,3% -2,0% Calmar Ratio 151% Apr +2,0% +4,5% Sharpe Ratio 139% May +1,5% +0,1% Jun -2,5% +1,7% Benchmark Related Jul +7,3% -0,4% Correlation % Aug +0,7% -0,8% Beta % Sep -0,1% +3,9% Oct -1,0% +1,9% Nov +1,1% -2,0% Dec +5,8% +0,7% wikifolio-outperformance after costs versus STOXX 600 Return s.i. +6,4% Year Return p.a. +3,2% Return -1,0% +8,4% -0,9% max. Loss 7% Jan +1,2% -3,6% Volatility 9% Feb -0,2% +0,6% RFD7 +2,2% Mar -1,5% +1,2% Calmar Ratio 49% Apr +0,6% +0,8% Sharpe Ratio 35% May +2,2% -0,5% Jun +1,7% +0,8% Benchmark Related Jul -1,2% +1,1% Correlation -29% Aug -0,4% +0,7% Beta -14% Sep ±0,0% +1,4% Oct +1,3% +0,1% Nov -1,2% -0,1% Dec +0,5% +1,0%

7 ACTUAL DRAWDOWN wikifolio "Hebel + 3faches Risikomanagement" created 11/27/2014 In this wikifolio the Crash Risk Control-strategy shall be combined with leveraged trading strategies on single stocks. The trading strategies could be either procyclical or contrarian. In case the Crash Risk-indicators show higher market risks all risky positions shall be closed or hedged. Outperforming the market while having approximately equal drawdown risks. 7.00% with high watermark wikifolio "Hebel +3faches Risikomanagement" -300% 400-2% -% -1% -% -% 0% % % 25 CDAX Drawdown WFHEBEL3RM Drawdown STOXX 600 WFHEBEL3RM Performance after costs wikifolio "Hebel + 3faches Risikomanagement" Return s.i. +165,8% Year Return p.a. +31,7% Return -0,8% +5,8% +31,5% +60,2% +20,2% max. Loss 21% Jan +0,5% -0,1% +4,7% +7,5% Volatility 29% Feb +12,9% -0,1% +7,8% -0,1% RFD7 +27,4% Mar -0,3% +1,0% +6,6% -13,5% Calmar Ratio 153% Apr -6,9% +6,8% +4,5% +4,8% Sharpe Ratio 109% May +0,8% +2,5% +6,7% +11,2% Jun -8,2% +7,2% -6,6% +11,0% Benchmark Related Jul +5,9% +6,0% +6,7% Correlation 51% Aug -1,6% -4,3% +6,3% Beta 88% Sep +0,7% +4,5% +10,6% Oct +2,0% -10,5% +6,9% Nov -0,3% +9,0% +3,9% -3,9% Dec -0,5% -6,9% +12,7% -0,8% Performance before costs STOXX 600 Return s.i. +24,1% Year Return p.a. +6,3% Return -1,8% +10,7% +1,2% +10,6% +2,0% max. Loss 25% Jan +7,7% -6,8% -0,3% +1,7% Volatility 16% Feb +7,0% -2,2% +3,1% -3,8% RFD7 +1,9% Mar +1,7% +1,4% +3,3% -2,0% Calmar Ratio 25% Apr +0,1% +1,8% +2,0% +4,5% Sharpe Ratio 38% May +1,7% +2,5% +1,5% +0,1% Jun -4,5% -4,8% -2,5% +1,7% Benchmark Related Jul +4,0% +3,7% -0,4% Correlation % Aug -8,2% +0,7% -0,8% Beta % Sep -4,1% -0,1% +3,9% Oct +8,1% -1,0% +1,9% Nov -0,1% +2,8% +1,1% -2,0% Dec -1,7% -4,5% +5,8% +0,7%

8 ACTUAL DRAWDOWN wikifolio "Hebel Multistrategien" created 03/19/2016 In this wikifolio the Crash Risk Control-strategy shall be combined with several leveraged low-correlated strategies. The strategies could be either procyclical or contrarian. In case the Crash Risk-indicators show higher market risks all risky positions shall be closed or hedged. Strong outperformance should be achieved with the use of leverage while having higher drawdown risks. 10.0% with high watermark wikifolio "Hebel Multistrategien" -300% 400-2% -% -1% -% -% 0% % % 25 CDAX Drawdown WFHEBELCOM Drawdown STOXX 600 WFHEBELCOM Performance after costs wikifolio "Hebel Multistrategien" Return s.i. +182,7% Year Return p.a. +58,9% Return +8,3% +138,4% +9,5% max. Loss 39% Jan +6,9% +18,5% Volatility 49% Feb +14,3% -13,0% RFD7 +48,0% Mar +1,2% +13,2% -22,4% Calmar Ratio 151% Apr -4,8% +7,7% +6,0% Sharpe Ratio 121% May -4,5% +11,9% +9,6% Jun -7,6% -8,7% +17,9% Benchmark Related Jul +18,8% +8,6% Correlation 67% Aug +0,2% +8,4% Beta 289% Sep +8,1% +14,1% Oct -14,2% +15,3% Nov ±0,0% +2,1% Dec +15,4% -1,0% Performance before costs STOXX 600 Return s.i. +22,2% Year Return p.a. +9,3% Return +8,3% +10,6% +2,0% max. Loss 12% Jan -0,3% +1,7% Volatility 13% Feb +3,1% -3,8% RFD7 +7,4% Mar -1,1% +3,3% -2,0% Calmar Ratio 80% Apr +1,8% +2,0% +4,5% Sharpe Ratio 71% May +2,5% +1,5% +0,1% Jun -4,8% -2,5% +1,7% Benchmark Related Jul +3,7% -0,4% Correlation % Aug +0,7% -0,8% Beta % Sep -0,1% +3,9% Oct -1,0% +1,9% Nov +1,1% -2,0% Dec +5,8% +0,7%

9 ACTUAL DRAWDOWN wikifolio "Marktzyklen offensiv gehebelt" created 11/10/2013 In this wikifolio the Crash Risk Control-strategy shall be realized with leveraged products on equity market indices as base investment during lower-market-risk periods. In the case that the Crash Risk-indicators show higher market risks all risky positions should be closed, hedged or replaced by low-beta long/short strategies on equity indices. -% -1% -% wikifolio "Marktzyklen offensiv gehebelt" Outperforming the market while having approximately equal drawdown risks. -% 0% 5.00% with high watermark % % CDAX Drawdown WFZYKHEBEL Drawdown STOXX 600 WFZYKHEBEL Performance after costs wikifolio "Marktzyklen offensiv gehebelt" Return s.i. +58,1% Year Return p.a. +10,5% Return +14,2% -25,9% -7,0% +23,7% +48,9% +9,1% max. Loss 39% Jan -10,6% +2,8% +1,9% +0,6% +7,6% Volatility 28% Feb +7,5% +13,7% +3,4% +6,2% -7,3% RFD7 +2,8% Mar -11,2% +6,6% +2,3% +6,5% -5,7% Calmar Ratio 27% Apr +0,3% -7,8% -3,5% +2,5% +1,7% Sharpe Ratio 38% May +2,5% -10,7% +5,1% +9,9% +6,2% Jun -2,9% -7,4% -6,6% -5,9% +7,4% Benchmark Related Jul -7,5% +7,0% +3,4% +1,5% Correlation 55% Aug -0,6% +0,1% +2,9% +1,2% Beta 103% Sep -0,7% +1,7% -1,2% +12,2% Oct -5,0% +2,1% ±0,0% +7,2% Nov +13,5% +1,3% +0,6% +4,0% -0,6% Dec +0,6% -1,1% -12,6% +10,8% +0,4% Performance before costs STOXX 600 Return s.i. +37,4% Year Return p.a. +7,1% Return +1,6% +7,1% +10,7% +1,2% +10,6% +2,0% max. Loss 25% Jan -1,3% +7,7% -6,8% -0,3% +1,7% Volatility 16% Feb +5,0% +7,0% -2,2% +3,1% -3,8% RFD7 +2,8% Mar -0,8% +1,7% +1,4% +3,3% -2,0% Calmar Ratio 28% Apr +1,6% +0,1% +1,8% +2,0% +4,5% Sharpe Ratio 46% May +2,6% +1,7% +2,5% +1,5% +0,1% Jun -0,5% -4,5% -4,8% -2,5% +1,7% Benchmark Related Jul -1,6% +4,0% +3,7% -0,4% Correlation % Aug +2,0% -8,2% +0,7% -0,8% Beta % Sep +0,4% -4,1% -0,1% +3,9% Oct -1,7% +8,1% -1,0% +1,9% Nov +0,9% +3,3% +2,8% +1,1% -2,0% Dec +0,7% -1,7% -4,5% +5,8% +0,7%

10 Glossary Return s.i. Total return achieved since inception. Return p.a. Annual return achieved over a given investment period. Volatility Annualized volatility, describes how strong returns deviate from their average value. max. Loss The maximum loss which could have occurred during the investment period. Enter at High, exit at Low. Sharpe Ratio Measures the return by unit of volatility. Famous risk/return-figure. Here risk free rate was set to 0. Calmar Ratio Measures the return by unit of max. Loss. Another risk/return-figure which replaces volatility by max. Loss. RFD7 "Return from Drawdown after 7 years". Proprietary risk/return-measure, remaining return p.a. after another max. Loss.

11 Disclaimer Important legal notice This document does not constitute an offer to sell, purchase or subscribe to securities or other assets. The information and estimates contained herein do not constitute investment advice or any other form of recommendation. Past performance is not a reliable indicator of future performance. All information has been compiled with care. However, no guarantee is given as to the accuracy and completeness of information and no liability is accepted. The value of any investment can fall as well as rise and you may not recoup the amount you invested. Any unauthorized copying, alteration, distribution, transmission, performance, display or other use of this material is prohibited. Periodically, links may be established between this document and one or more websites operated by third parties or where third parties provide content. Access to these sites is at your own risk. Systinvest will have no liability arising out of or related to such websites and their content.