About this document
Ceres Algorithmic Trading Performance Analysis by Andrea Orani is a document available to read on EtoBox.
This document describes the performance of the Ceres Algorithmic Trading strategy. It simulated 24 possible investment series from 1999-2009 with a starting account value of 150,000 EUR. The mean annual return was 6.44% and median was 6.18%. Individual series returns ranged from 3.48% to 10.13% annually. Charts and tables show the strategy outperformed benchmarks like the EuroStoxx 50 and MSCI World indexes during periods of crisis from 2000-2003 and 2007-2009 while experiencing lower volatility.
- Author
- Andrea Orani
- Language
- EN