1, yield
This is the most intuitive indicator to measure the level of traders. Of course, the influence of deposit and withdrawal must be ruled out, so as to be objective and fair. Theoretically, the higher the rate of return, the better, but profiteering is generally unsustainable, so an excellent trader generally does not pursue profiteering. CTA Sheng Yuan Asset Management Company, an international pure futures company, can last for 10 years, with an average income of 12%, achieving a management scale of $27 billion. From this point of view, futures CTA should be an absolute income product in essence, with high yield.
In the evaluation of securities trading, investment performance is generally not measured by absolute returns, but by reference to the stock market to calculate relative returns. In the futures market, although it is generally evaluated by absolute returns, in different years, the nature of the market is different, and the level of returns may still be very different. Therefore, combined with the relevant index of futures, we can also analyze the relative return of trading.
Combining absolute rate of return analysis and relative rate of return analysis, in another dimension, we can convert the rate of return in different time periods into annualized rate of return, so that we can roughly examine the profit target of traders in a long period of time. According to international standards, the annual income of large-scale funds can be stable at 10% or above, which is excellent.
2. Maximum withdrawal rate of funds
This indicator focuses on the profit stability of traders. Excellent traders should not only be profitable, but also have stable profits, so as to ensure their continued profitability in the future. The smaller the rate of capital withdrawal, the smaller the risk, but if it is too small, it may lower the rate of return. The greater the general income, the greater the risk. The key is to find a suitable balance between income and risk, and the measurement index is the ratio of income and risk.
The calculation method of income-risk ratio is annualized rate of return/maximum withdrawal of funds, the greater the better, at least above 2.3.
3. Management scale
If the trader can achieve a higher rate of return with a smaller rate of return of funds, it is already excellent. However, how much money he has made is also very important, which will determine whether he is suitable for issuing fund products. Generally speaking, small funds are risk-averse and large funds are risk-averse. For small funds, we pay more attention to their growth, while for large funds, we pay more attention to their stability. In the process of trading, large capital will also have an impact and joint impact on the market, which will change the ecological structure of the market to a certain extent. Therefore, it is necessary to carry out algorithmic trading adjustment and impact stress test during the trading process.
4. Investment logic
If the trader's data clearly shows that he is excellent, it is still necessary for us to examine his investment logic. Clear-headed traders are more likely to make long-term profits than confused traders. Focus on whether the causal relationship is established, whether it is inevitable or accidental. If it is accidental, this logic has considerable uncertainty and risk.