Trade Risk Performance
All of the performance metrics you need to know about the Merlin and Lamorak trading systems.
| Portfolios | 2023 YTD | 2022 Performance | 2021 Performance |
|---|---|---|---|
| Trade Risk Index | -2.39% | -13.57% | +17.71% |
| Merlin System | -7.98% | -20.91% | +22.01% |
| Lamorak System | +3.14% | -6.29% | +10.04% |
| 60/40 Benchmark | +7.41% | -16.98% | +15.10% |
See Performance Disclosures: Monthly Performance. Trade Risk uses Interactive Brokers as our primary broker and reporting agent.
Browse our monthly performance reports
Individual Trade Statistics
| Measurement | Merlin System | Lamorak System |
|---|---|---|
| Average Trades Per Year | 110 | 311 |
| System Win Percentage | 65.07% | 64.07% |
| Average Size of Winners (%) | 11.54% | 2.30% |
| Average Win-to-loss Ratio | 1.10 | 0.81 |
| Average Trade Hold Time | 37 trading days | 4 trading days |
See Performance Disclosures: Portfolio Statistics.
You can see based on the trade statistics, Merlin has a larger edge on a per trade basis, however, it trades much less frequently than Lamorak. Lamorak has a smaller edge per trade, but since it turns over trades much faster, it generate a smooth equity curve and keeps pace with Merlin from a total return perspective.
Portfolio Statistics
| Measurement | Merlin System | Lamorak System | 60/40 Buy & Hold Portfolio |
|---|---|---|---|
| Compound Annual Growth Rate | +17.86% | +17.91% | +6.72% |
| Largest 3 Drawdowns | -25.83%, -22.10%, -17.60% | -20.03%, -14.34%, -13.01% | -32.57%, -22.78%, -21.70% |
| Sharpe Ratio | 1.08 | 1.28 | 0.59 |
| MAR Ratio | 0.69 | 0.89 | 0.21 |
| Correlation to 60/40 Portfolio | 0.46 | 0.11 | Benchmark |
Merlin and Lamorak systems invest up to 150% at times, see Performance Disclosures: Portfolio Statistics.
Merlin and Lamorak compound returns at very similar rates, but the market environments they generate their returns in tend to be different from one another. Also notice the low correlation Lamorak has with a traditional 60/40 portfolio.
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