Trade Risk Performance
All of the performance metrics you need to know about the Galahad and Lamorak trading systems.
| Portfolios | 2024 Performance | 2023 Performance | 2022 Performance | 2021 Performance |
|---|---|---|---|---|
| Roundtable Portfolio | +27.52% | +32.54%* | -10.41%* | +16.79%* |
| Galahad System | +34.59% | +57.17%* | -14.53%* | +23.54%* |
| Lamorak System | +20.45% | +7.91% | -6.29% | +10.04% |
| 60/40 Portfolio | +10.88% | +17.17% | -16.98% | +15.10% |
See Performance Disclosures: Monthly Performance. Trade Risk uses Interactive Brokers as our primary broker and reporting agent. * denotes partial or fully backtested (simulated) performance, Galahad prior to 2024.
Individual Trade Statistics
| Measurement | Lamorak System |
|---|---|
| Average Trades Per Year | 328 |
| System Win Percentage | 63.76% |
| Average Size of Winners (%) | 2.29% |
| Average Win-to-loss Ratio | 0.81 |
| Average Trade Hold Time | 4 trading days |
See Performance Disclosures: Portfolio Statistics.
Portfolio Statistics
| Measurement | Galahad System | Lamorak System | 60/40 Buy & Hold Portfolio |
|---|---|---|---|
| Start Date of Measurements | 2018 | 2006 | 2006 |
| Compound Annual Growth Rate | +23.14% | +17.35% | +7.28% |
| Largest 3 Drawdowns | -23.62%, -19.50%, -15.60% | -18.80%, -14.34%, -13.01% | -32.57%, -22.78%, -21.70% |
| Sharpe Ratio | 0.99 | 1.23 | 0.62 |
| MAR Ratio | 0.98 | 0.92 | 0.21 |
| Correlation to 60/40 Portfolio | 0.64 | 0.13 | Benchmark |
Galahad invests up to 130% at times and Lamorak up to 150% at times, see Performance Disclosures: Portfolio Statistics.
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