Track record reports
Is a track record skill or luck? An independent, dated answer an investor can read in five minutes.
Who it is for
Anyone deciding whether a track record is skill or search.
Emerging managers
Raising capital on a backtest or a short live record.
Allocators and family offices
Checking a systematic manager before allocating.
Signal and strategy vendors
Backing a published track record with a third-party figure.
Prop and quant traders
Deciding whether a strategy deserves capital.
What the report contains
Every figure with its window and its assumption.
- The claim as stated: window, when it was fixed, basis, and a fingerprint of the data received
- Return, volatility, drawdown, skew and kurtosis over the window
- Probabilistic Sharpe ratio, corrected for skew and fat tails
- Deflated Sharpe ratio for the number of variants tried, and whether that number was observed or declared
- Minimum backtest length, and how many variants the history can support
- Haircut Sharpe ratio under the strictest standard correction
- Probability of backtest overfitting, when every variant is supplied
- Scope: what the measurement covers, stated in the document itself
A complete report on a fictional strategy, exactly as a client receives it.
Open the sample reportHow it works
Four steps. The window is fixed before anything is measured.
- 01
Enquiry
Send the form below. A reply with terms within two working days.
- 02
Window fixed
Agreed in writing and timestamped before any data is read.
- 03
History sent
Returns or NAV as a CSV, fingerprinted on receipt.
- 04
Report
A dated document within five working days of payment.
Pricing
Fixed prices, invoiced to businesses. The invoice states the tax treatment.
A single agreed window, up to five years of daily data, one strategy or one family of variants.
The complete history, with a separate measurement of each year and of the live period after any backtest.
Order a report
For businesses and professional traders. Questions are welcome before ordering.
The report measures the history supplied. It assesses a record, never a manager or an instrument, and is analysis rather than investment advice.
Your data is used only for the report and deleted after delivery. The report is yours.