Personal update in 2025
Note: This is not affiliated with any organization or entity. Whatever opinions I expressed here is of my own and should not be construed as advice. Performance figures quoted is not based on traditional finance market or any equities so there is no confict of interest with my day job.
On the personal portfolio front, as mentioned in my last post, my personal investment philosophy lean towards market neutrality since start of 2021. That being said, I have some beta exposure in commodities and stocks with performance that I will not elaborate below.
Here is the breakdown of my performance since 5-Feb-2021 since it is the point where I changed my philosophy. I quoted S&P 500 as my benchmark as that is a viable alternative (or some sort of broad asset allocation) if I do not actively manage my portfolio.
Also note that returns quoted below is unlevered and I may vary my leverage factor across the period which may boost or reduce the returns.
- Overall sharpe as of writing: 2.328
- Returns since Feb-2021: +174.50% vs +79.50%
- Returns in 2025: +9.73% (max drawdown: 2.95%) vs +17.55% (max drawdown: 17.5%). Rolling 1 year sharpe of 3.06. Leverage factor this year ranges from 1.06 to 1.22 relative to liquid net worth. When I include my commodities beta, returns improved from 9.7% to 18.5% in USD terms. But after accounting for forex loss for USD/SGD, it declines from +18.5% to +13% in SGD terms.
- Returns in 2024: +24.29% (max drawdown: 2.77%) vs +24.00% (max drawdown: 8+%)
- Returns in 2023: +13.36% (max drawdown: 4.02%) vs +24.81%
- Returns in 2022: +7.34% (max drawdown: 4.66%) vs -19.44%
- Returns in 2021 (from 5-Feb-2021 onwards): +65.41% (max drawdown: 9.69%) vs 22.50%
I still maintain my view that it is going to be a challenging decade for indexes. Hence on my personal portfolio front, I’m still going to maintain majority delta neutral portfolio with alpha overlays with some undisclosed beta and commodities exposure.
This year I also added exposure to unconventional risk premia which seems to be doing well with ~+40% returns. But that is only a tiny sleeve of about 3% of liquid portfolio.
On the self development front,
- I explored alternative risk premia with proof-of-concept set up. Seems promising at the moment.
- Completed 5 variants of aquathlon, duathlon and triathlons. 1 of it is a half ironman.
- I also finally completed a marathon below 5 hours of about 4h 50 mins. Fastest time post 30 years old.
Besides the updates in finance front, here are some near term stuff to amuse/torture myself,
- Subscribed to a quant substack author that cost me 99 usd/ month. But from what I read so far, the value more than pays for it.
- Develop a cross-sectional alpha model in non-tradfi space.
- Complete 2 additional half ironman. And a potential full ironman near end 2026.
- Complete marathon below 4hr 30mins
- May apply for Worldquant University for free education.