2019 Financial Summary
Volume and Performance
With a starting portfolio of $130,000, trading commenced at the end of Q1 2019 on March 28, 2019, which coincided with the beginning of the 2019 MLB season. Volume for 2019 totaled $1.7 million, with 80.6% of this volume coming from Major League Baseball games.
With net returns of $125,020 and a starting bankroll of $130,000, our portfolio return on investment (“Portfolio ROI”) was 96.2%.
Risk Adjusted Performance
Based on our daily closing portfolio balance, we estimate the annualized standard deviation of the portfolio to be 78.5%. Assuming an annualized risk-free rate of 1.0%, we estimate the Sharpe Ratio of our 2019 performance to be 1.21.
Our largest weekly decline occurred during the week ending September 1, 2019 when our portfolio declined by 11.0%. Our largest weekly increase occurred during the week ending July 14, 2019 when our portfolio increased by 38.0%.
We anticipate growing our trading volume to $5.0 million in 2020. As we scale our trading volume, our expectation is to maintain a similar risk-profile and Trading ROI of 5.0%.