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AIA - Prime Value Choice by Cathy

Month to Date PNL

90479.98

5% higher than peer average

Daily PNL

21759.98

1% high than peer average

Model Accuracy

N/A

Real Time Model PNL

Investment Objective

The model suggests a portfolio with a combination of one to two fund(s). The portfolio aims at generating higher return and maintaining lower volatility than HSI.This strategy is designed for adherents of US or Chinese markets with the goal of investing in the market while improving risk/reward ratio by constructing a balanced portfolio. The trained model will suggest the best fund that focuses on US or Chinese markets. The allocation to the fund of US or Chinese markets will be ranging from 35% to 100% while the rest is allocated to another fund to balance risks and rewards.The model is trained with 20 years’ data with LightGBM machine learning model and supervised learning method. According to training data, the model is able to achieve 70.45% accuracy.

Model Creator

Cathy

AlphaGen!

Video

Facts

MPF Scheme: Prime Value Choice

Inception Date: 2019-10-14 00:00:00

Currency: HKD

NAV: 1576452.67

Charges & Expenses

Trustee, administration and investment management fees: 0.75% ~ 1.82% p.a.

Volatitlity Measures

Sharpe Ratio: 1.2

Standard Deviation: 0.29

Risk Rating: N/A

Trading Frequency: 141 trades

Performance

PNL	Total	Average
PNL	Total	Per Transaction	Daily	Monthly	Annual
$	576452.67	4357.78	1773.7	36028.29	288595.29
%	57.65%	0.39%	0.16%	3.1%	25.84%

	No. of Days	Max. Consecutive Days	Maximum	Maximum (%)
Gain	154	48	99600.0	61.12%
Loss	125	5	-72000.0	-11.61%

Holdings

Fund	Percentage Holdings	PNL
cash	4.32%	N/A
0700.HK	74.7%	589867.1897
0005.HK	20.98%	-2973.835807

As of 2021-02-03

Portfolio Composition

Transaction History

Date	Fund	Price	Shares	Direction	Weight
2021-02-03	0005.HK	41.349998	400.0	SELL	1.05%
2021-02-02	0005.HK	40.950001	400.0	SELL	1.05%
2021-02-01	0005.HK	40.75	400.0	SELL	1.06%
2021-01-29	0700.HK	681.5	100.0	BUY	4.59%
2021-01-28	0700.HK	681.0	100.0	BUY	4.57%
2021-01-27	0700.HK	701.5	100.0	BUY	4.58%
2021-01-26	0700.HK	718.5	100.0	BUY	4.64%
2021-01-25	0700.HK	707.0	400	SELL	19.03%
2021-01-19	0005.HK	43.799999	400.0	BUY	1.19%
2021-01-19	0700.HK	655.0	100.0	BUY	4.47%
2021-01-18	0005.HK	42.049999	400.0	BUY	1.16%
2021-01-18	0700.HK	657.0	100.0	BUY	4.52%
2021-01-15	0005.HK	42.950001	400.0	BUY	1.19%
2021-01-15	0700.HK	645.0	100.0	BUY	4.46%
2021-01-14	0005.HK	43.0	400.0	BUY	1.21%
2021-01-14	0700.HK	629.5	100.0	BUY	4.42%
2021-01-13	0005.HK	42.75	400.0	BUY	1.24%
2021-01-12	0005.HK	43.25	400.0	BUY	1.25%
2021-01-11	0005.HK	43.0	400.0	BUY	1.25%
2021-01-04	0700.HK	572.5	100.0	SELL	4.27%
2020-12-31	0005.HK	40.650002	400.0	SELL	1.22%
2020-12-31	0700.HK	566.0	100.0	SELL	4.24%
2020-12-30	0005.HK	40.599998	400.0	SELL	1.23%
2020-12-30	0700.HK	559.5	100.0	SELL	4.22%
2020-12-29	0005.HK	40.25	400.0	SELL	1.26%
2020-12-29	0700.HK	530.5	100.0	SELL	4.15%
2020-12-28	0005.HK	40.0	400.0	SELL	1.27%
2020-12-28	0700.HK	519.0	100.0	SELL	4.12%
2020-12-24	0005.HK	40.200001	400.0	SELL	1.21%
2020-12-23	0005.HK	39.549999	400.0	SELL	1.18%
2020-12-22	0005.HK	39.450001	400.0	SELL	1.17%
2020-12-10	0005.HK	41.900002	400.0	BUY	1.22%
2020-12-09	0005.HK	41.75	400.0	BUY	1.2%
2020-12-08	0005.HK	41.349998	400.0	BUY	1.2%
2020-12-07	0005.HK	42.900002	400.0	BUY	1.23%
2020-12-04	0005.HK	43.75	400.0	BUY	1.24%
2020-12-03	0005.HK	43.400002	400.0	BUY	1.23%
2020-12-02	0005.HK	42.5	400.0	BUY	1.24%
2020-12-01	0005.HK	41.0	400.0	BUY	1.19%
2020-11-30	0005.HK	41.5	400.0	BUY	1.23%
2020-11-27	0005.HK	42.0	400.0	BUY	1.21%
2020-11-26	0005.HK	42.0	400.0	BUY	1.21%
2020-11-25	0005.HK	42.349998	400.0	BUY	1.23%
2020-11-24	0005.HK	39.75	400.0	BUY	1.15%
2020-11-23	0005.HK	39.349998	400.0	BUY	1.14%
2020-11-20	0005.HK	38.900002	400.0	BUY	1.12%
2020-11-19	0005.HK	39.099998	400.0	BUY	1.15%
2020-11-18	0005.HK	39.200001	400.0	BUY	1.13%
2020-11-17	0005.HK	39.25	400.0	BUY	1.14%
2020-11-16	0005.HK	38.799999	400.0	BUY	1.11%
2020-11-13	0005.HK	37.25	400.0	BUY	1.06%
2020-11-12	0005.HK	38.349998	400.0	BUY	1.12%
2020-11-11	0005.HK	39.25	400.0	BUY	1.19%
2020-11-11	0700.HK	551.0	100.0	BUY	4.17%
2020-11-11	0700.HK	595.0	400	SELL	18.03%
2020-11-10	0005.HK	37.700001	400.0	BUY	1.08%
2020-11-10	0700.HK	595.0	100.0	BUY	4.28%
2020-11-10	0700.HK	622.5	400	SELL	17.91%
2020-10-22	0700.HK	563.5	100.0	BUY	4.31%
2020-10-21	0700.HK	566.5	100.0	BUY	4.31%
2020-10-20	0700.HK	564.5	100.0	BUY	4.31%
2020-10-19	0700.HK	561.5	100.0	BUY	4.3%
2020-10-16	0700.HK	557.0	100.0	BUY	4.3%
2020-10-15	0700.HK	552.0	100.0	BUY	4.29%
2020-10-14	0700.HK	573.5	100.0	BUY	4.33%
2020-10-12	0700.HK	557.0	100.0	BUY	4.29%
2020-09-29	0700.HK	505.5	100.0	SELL	4.14%
2020-09-28	0700.HK	506.0	100.0	SELL	4.14%
2020-09-14	0700.HK	529.5	100.0	SELL	4.2%
2020-09-11	0700.HK	516.0	100.0	SELL	4.17%
2020-09-10	0700.HK	506.0	100.0	SELL	4.15%
2020-09-01	0700.HK	539.0	100.0	BUY	4.2%
2020-08-31	0700.HK	530.5	100.0	BUY	4.18%
2020-08-28	0700.HK	540.5	100.0	BUY	4.2%
2020-08-21	0700.HK	518.0	100.0	SELL	4.15%
2020-08-20	0700.HK	508.0	100.0	SELL	4.13%
2020-08-19	0700.HK	506.0	100.0	SELL	4.13%
2020-08-18	0700.HK	512.0	100.0	SELL	4.13%
2020-08-17	0700.HK	504.5	100.0	SELL	4.13%
2020-08-14	0700.HK	506.5	100.0	SELL	4.13%
2020-08-13	0700.HK	510.0	100.0	SELL	4.13%
2020-04-24	0700.HK	405.267426	100.0	BUY	4.12%
2020-04-23	0700.HK	410.452942	100.0	BUY	4.12%
2020-04-22	0700.HK	408.259064	100.0	BUY	4.12%
2020-04-21	0700.HK	399.483612	100.0	BUY	4.11%
2020-04-20	0700.HK	407.461304	100.0	BUY	4.12%
2020-04-17	0700.HK	408.458527	100.0	BUY	4.12%
2020-04-16	0700.HK	405.666321	100.0	BUY	4.11%
2020-04-15	0700.HK	393.8992	100.0	BUY	4.08%
2020-04-14	0700.HK	393.8992	100.0	BUY	4.08%
2020-04-09	0700.HK	390.309235	100.0	BUY	4.06%
2020-04-08	0700.HK	383.927063	100.0	BUY	4.03%
2020-04-07	0700.HK	386.519836	100.0	BUY	4.05%
2020-04-06	0700.HK	380.337097	100.0	BUY	4.01%
2020-03-25	0700.HK	378.94101	100.0	SELL	4.0%
2020-03-24	0700.HK	364.182281	100.0	SELL	3.92%
2020-03-23	0700.HK	347.030182	100.0	SELL	3.83%
2020-03-20	0700.HK	358.59787	100.0	SELL	3.89%
2020-03-19	0700.HK	342.044128	100.0	SELL	3.81%
2020-03-18	0700.HK	333.069214	100.0	SELL	3.77%
2020-03-17	0700.HK	348.825165	100.0	SELL	3.83%
2020-03-16	0700.HK	340.847443	100.0	SELL	3.8%
2020-03-13	0700.HK	363.982819	100.0	SELL	3.87%
2020-03-12	0700.HK	362.586731	100.0	SELL	3.87%
2020-03-11	0700.HK	377.345459	100.0	SELL	3.9%
2020-03-05	0700.HK	405.067993	100.0	SELL	3.93%
2020-03-04	0700.HK	392.902008	100.0	SELL	3.92%
2020-03-03	0700.HK	392.902008	100.0	SELL	3.92%
2020-02-20	0700.HK	408.857391	100.0	BUY	3.92%
2020-02-19	0700.HK	410.25351	100.0	BUY	3.92%
2020-02-18	0700.HK	407.062439	100.0	BUY	3.92%
2020-02-17	0700.HK	415.439026	100.0	BUY	3.93%
2020-02-14	0700.HK	413.843475	100.0	BUY	3.93%
2020-02-13	0700.HK	415.239563	100.0	BUY	3.93%
2020-02-04	0700.HK	391.904785	100.0	SELL	3.87%
2020-02-03	0700.HK	378.94101	100.0	SELL	3.84%
2020-01-31	0700.HK	371.96051	100.0	SELL	3.83%
2020-01-30	0005.HK	56.485847	400.0	SELL	2.32%
2020-01-17	0700.HK	397.888062	100.0	BUY	3.86%
2020-01-16	0700.HK	398.885284	100.0	BUY	3.87%
2020-01-15	0700.HK	397.688599	100.0	BUY	3.86%
2020-01-14	0700.HK	399.284149	100.0	BUY	3.87%
2020-01-13	0700.HK	405.267426	100.0	BUY	3.88%
2020-01-10	0700.HK	397.489197	100.0	BUY	3.86%
2020-01-09	0700.HK	388.913147	100.0	BUY	3.82%
2020-01-08	0700.HK	380.935425	100.0	BUY	3.79%
2020-01-07	0700.HK	384.525421	100.0	BUY	3.81%
2020-01-06	0700.HK	376.348236	100.0	BUY	3.77%
2020-01-03	0700.HK	381.932648	100.0	BUY	3.8%
2020-01-02	0700.HK	381.33432	100.0	BUY	3.79%
2019-12-31	0700.HK	374.553284	100.0	BUY	3.75%
2019-12-30	0700.HK	382.132111	100.0	BUY	3.8%
2019-12-27	0700.HK	382.929871	100.0	BUY	3.8%
2019-12-24	0700.HK	375.749908	100.0	BUY	3.75%
2019-12-23	0700.HK	376.747131	100.0	BUY	3.76%
2019-12-20	0700.HK	374.154388	100.0	BUY	3.74%
2019-12-19	0005.HK	60.570358	400.0	BUY	2.42%
2019-12-19	0700.HK	374.553284	100.0	BUY	3.74%
2019-12-18	0700.HK	376.547699	100.0	BUY	3.76%
2019-12-17	0700.HK	370.165558	100.0	BUY	3.7%
2019-12-16	0700.HK	358.797302	100.0	BUY	3.59%

PNL - 1 Year

403221.64

PNL - 3 Year

576452.6696719688

Model Accuracy

N/A

Model PNL

Backtest Statistics

Start: 2019-10-14 00:00:00

End: 2021-02-03 00:00:00

Duration: 478 days 00:00:00

Trading Period: 1 years 3 months 20 days

Beginning Balance: $1,000,000.00

Ending Balance: $1,576,452.67

Total Net Profit: $576,452.67

Annualized Return: 42.17%

Return on Initial Capital: 57.65%

Profit Factor: 126.32%

Gross Profit: $2,766,658.65

Gross Loss: $-2,190,205.98

Total Return: 57.65%

Max Return: 61.12%

Min Return: -11.61%

Number of Trades: 141

Number of Winning Trades: 27

Number of Losing Trades: 21

Win Ratio: 19.15%

Loss Ratio: 14.89%

Win Days: 154

Loss Days: 125

Max Win in Day: $99,600.00

Max Loss in Day: $-72,000.00

Sharpe Ratio: 1.1997

Sortino Ratio: 2.0346

Annualized Volatitlity: 29.38%

Information Ratio: 7.84%

Omega Ratio: 0.59%

Downside Risk: 19.47%

Beta: 0.8117

Alpha: -0.8331

Calmar Ratio: 2.58

Tail Ratio: 1.1152

Stability of Timeseries: 80.0221%

Max Drawdown: 16.3448%

Max Drawdown Duration: 0.16344788234213378

sqn: 1.4136

f1-score: 0.3853

accuracy: 0.3917

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test

Month to Date PNL

Daily PNL

Model Accuracy

Real Time Model PNL

Investment Objective

Model Creator

Video

Facts

Charges & Expenses

Volatitlity Measures

Performance

Holdings

Portfolio Composition

Transaction History

PNL - 1 Year

PNL - 3 Year

Model Accuracy

Model PNL

Backtest Statistics

Choice of Fund