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Why do you expect it would play havok with our results? Especially considering we only trade domestic equities?
Shoot me your email in pm. too large a file to send by pm.The fund has returned 10% in four months of live trading, beating the Barclay Hedge Fund Index over the same period by 4.5%
starting to look that way!
Nope. We just used publicly available EOD data. We only open and close positions at market open and market close anyway, so it works out fine.
Anyone who would like a copy of our pitchbook is welcome to it. We appreciate any feedback, and of course it never hurts to have it out there circulating to more people who might be interested in giving us some cash.
I'd say our fundamental conceit is pretty simple. Instead of trying to predict market movement, we try to accurately gauge which of a set of simple trading strategies is currently effective, and assume that said strategy will continue to be effective into the very near future. We take a computationally intensive task (predicting price movement), and reduce it to a simpler task (accurately assessing current performance). Everything else is built on that fundamental idea. I...
Yeah, basically we were just looking for more volatility without going into leveraged ETFs (though we did test a few of them just out of curiosity). It seems to work somewhat better on ETFs overall, but there are many stocks that it generates consistent high returns on.Here's a chart of our returns from 2009 through 2011 using all the stocks and ETFs we've backtested:
Our fund has a beta of 0.47
Generally it handles event risk pretty well, but major singular events like an oil spill (which are much harder to see coming than a bankruptcy) are tricky.The only real solution there is to make sure we're adequately diversified and to have some of our portfolio composed of ETFs that don't have the same level of event risk as individual stocks.
Several are ETFs we're familiar with already, and as to the individual companies, we got some recommendations for volatile stocks, and we also just browsed for a wide range of betas. XOM is our lowest at .6 or so, and CTIC is around 5.4, with most around 1.5-2.That is to say, I guess, not a lot of thought went into picking the equities.
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