Tuesday, December 31, 2013

2013 Year End Performance

Happy New Year everyone!! 2013 has ended, and my trading results are in. The S&P has gained 29% this year (including dividends), and my account has gained 20% against average daily balance of my deposits in 2013. Here are the numbers of my prior years -

2013: SPY+29% Me+20%
2012: SPY+14% Me+12%
2011: SPY+1% Me+47%
2010: SPY+12% Me+8%
2009: SPY+23% Me+68%

20% sounds nice for 2013 but being that it has trailed the S&P by 9%, this is actually my worst year ever.... so far. I've spent most of the beginning of the year playing catchup as much of my holdings were in AAPL. Fortunately, I had enough conviction to not liquidate my position. Unfortunately, my need to maintain margin and leverage levels had forced me to unwillingly liquidate my BRKB and MSFT positions. Both of which have continued to shoot far past my selling points. On top of that, I now have a hefty tax liability on those gains, gains which I would have wanted to stay unrealized.

If you watch my twitter feed, you may have noticed that I've liquidated my NLY position and opened up synthetic longs with options. This is purely for tax considerations so that I can offset my realized gains with the now realized losses.

I regret to announce that I have been gravely wrong about ZA. It was a Chinese company which had pretty good fundamentals when I decided to buy it. As the 6-K's came in and showed deterioration in its revenues and account receivables, I did not exit my position. I ended up losing about half my investment, and the only consolation is that I invested very little.

My algorithmic trading is going according to plan (I think?) By that, I mean that I am capturing about a third of the alpha predicted by the backtests. Perhaps someone could comment on whether or not that is a reasonable amount of capture for live trading?

I'll be posting up some new updates on my system soon. I've been working hard on building accounting tools to properly visualize its performance. I wish everyone the best for 2014!!

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