Fictitious Hedge Fund using Stat Arb to try to outperform the worlds best Hedge Fund Managers.
* Performance (Initial FUM $20m):
Year 1: 23.8% return
(1/23/2012 - 1/22/2013)
FUM $24.8m - 73.1% win rate from 104 trades
Year 2: 3.7% return
(1/23/2013 - 1/22/2014)
FUM $25.675m - 63.64% win rate from 66 trades
Thursday, March 29, 2012
Close Trade ID 12 - Long DIJA($10) Short emini S&P500
Buy 407 emini S&P500 @ 407
Loss of $71,135
Wednesday, March 28, 2012
Open Positions - Long emini S&P500/DIJA($10)/NASDAQ100 - Short SPI200
Buy 297 emini S&P500 @ 1413.39
Sell 185 SPI200 @ 4339
Buy 159 DIJA($10) @ 13205.3
Sell 185 SPI200 @ 4339
Buy 76 NASDAQ100 @ 2782.6
Sell 185 SPI200 @ 4339
Tuesday, March 27, 2012
Close Out Trade - Long Nasdaq100 Short RUT2000
Sell 106 NASDAQ100 @ 2778.15
Buy 348 RUT2000 @ 838.9
Divergence of 0.79% and Profit of $222,689
Sunday, March 25, 2012
Friday, March 23, 2012
Fund Performance: 03/23/2012
OPEN POSITIONS: (1)
CLOSED POSITIONS: (2)
The Fund is currently 7.91% up for the year and is set for an annualised return of 43.9%
The ratio of winners to losers is 18:9
Wednesday, March 21, 2012
Fund Performance: 03/21/2012
OPEN POSITIONS: (3)
CLOSED POSITIONS: (4)
The Fund is currently 10.21% up for the year and is set for an annualised return of 59.4%
The ratio of winners to losers is 18:7
Close Out Position - Long SPI200 Short emini S&P500
Sell 230 SPI200 @ 4260
Buy 377 emini S&P500 @ 1408.58
Loss of $22,977
Tuesday, March 20, 2012
Close Out Position
Buy 350 RUT2000 @ 829.48
Profit $282,117
Sell 217 DIJA($10) @ 13177
Buy 350 RUT2000 @ 829.48
Profit $144,573
Monday, March 19, 2012
Open Position - Long SPI200 Short emini S&P500
Buy 230 SPI200 @ 4362
Sell 377 emini S&P500 @ 1407.83
Open Positions - Long DIJA($10) Short NASDAQ100, S&P500, RUT2000
Sell 105 NASDAQ100 @ 2734.5
Buy 217 DIJA($10) @ 13236.6
Sell 407 S&P500 @ 1409.7
Buy 217 DIJA($10) @ 13236.6
Sell 343 RUT2000 @ 2734.5
Saturday, March 17, 2012
Fund Performance: 03/16/2012
OPEN POSITIONS: (3)
CLOSED POSITIONS: (2)
The Fund is currently 9.62% up for the year and is set for an annualised return of 60.1%
The ratio of winners to losers is 16:5
Thursday, March 15, 2012
Open Position - Long NASDAQ100 / Short RUT2000
SOLD 288 FTSE @ 5940.1
BOUGHT 116 DAX30 @ 7125.3
Loss of $174,935
Long 107 NASDAQ100 @ 2715
Short 350 RUT2000 @ 830.9
Wednesday, March 14, 2012
Close Out Position - Long S&P500 Short RUT2000 ID: 6
BOUGHT 351 RUT200 @ 822.4
Profit: $198,691
Open Position ID: 8
LONG 288 FTSE100 @ 5937.6
SELL 116 DAX30 @ 7074
Fund Performance: 03/14/2012
OPEN POSITIONS: (3)
CLOSED POSITIONS: (2)
The Fund is currently 9.50% up for the year and is set for an annualised return of 64.2%
The ratio of winners to losers is 15:4
Tuesday, March 13, 2012
Fund Performance: 03/13/2012
OPEN POSITIONS: (3)
CLOSED POSITIONS: (4)
Close Out Trade ID 4 Long NASDAQ100 Short RUT200
SOLD 108 NASDAQ100 @ 2664.6
BOUGHT 351 RUT2000 @ 821.85
Loss of -$14,237.53 (-0.05%)
The Fund is currently 8.64% up for the year and is set for an annualised return of 60.0%
The ratio of winners to losers is 14:3
Monday, March 12, 2012
Close Trade - Long SPI200 Short Cons Disc.
Sell 229 SPI200 @ 4241
Buy 755 AXDJ @ 1273.5
"This e-mail and any attachments to it (the "Communication") is, unless otherwise stated, confidential, may contain copyright material and is for the use only of the intended recipient. If you receive the Communication in error, please notify the sender immediately by return e-mail, delete the Communication and the return e-mail, and do not read, copy, retransmit or otherwise deal with it. Any views expressed in the Communication are those of the individual sender only, unless expressly stated to be those of Australia and New Zealand Banking Group Limited ABN 11 005 357 522, or any of its related entities including ANZ National Bank Limited (together "ANZ"). ANZ does not accept liability in connection with the integrity of or errors in the Communication, computer virus, data corruption, interference or delay arising from or in respect of the Communication."
Close Out Postion
Buy 400 S&P500 @ 1368.83
Sell 222 DIJA$10 @ 12922.5
Buy 352 RUT2000 @ 813.18
Sunday, March 11, 2012
Fund Performance: 03/10/2012
OPENED POSITIONS: (7)
Trade ID: 7
LONG 229 SPI200 @ 4199
SHORT 755 AXDJ(Aust. Cons Disc) @ 1272
CLOSED POSITIONS: (0)
The Fund is currently 7.11% up for the year and is set for an annualised return of 50.8%
The ratio of winners to losers is 11:3
Friday, March 9, 2012
Open Position
Short 351 RUT2000 @ 815.45
Long 222 DIJA($10) @ 12919.5
Short 352 RUT2000 @ 815.45
Long 418 S&P500 @ 1371.08
Short 351 RUT2000 @ 815.45
Thursday, March 8, 2012
Wednesday, March 7, 2012
Tuesday, March 6, 2012
Open Position - Long RUT200 Short Nasdaq100, Long DIJA Short Nasdaq100, Long S&P500 Short Nasdaq100, Long DAX30 Short FTSE100
Long 343 RUT2000 @ 787.35
Short 108 Nasdaq100 @ 2590.5
Long 215 DIJA @ 12751
Short 108 Nasdaq100 @ 2590.5
Long 405 S&P500 @ 1342.83
Short 108 Nasdaq100 @ 2590.5
Long 110 DAX30 @ 6616
Short 278 FTSE100 @ 5735
Monday, March 5, 2012
Fund Performance: 03/05/2012
OPENED POSITIONS: (2)
CLOSED POSITIONS: (4)
The Fund is currently 5.11% up for the year and is set for an annualised return of 39.9%
The ratio of winners to losers is 8:3
Fund Performance: 03/05/2012
OPENED POSITIONS: (4)
CLOSED POSITIONS: (1)
The Fund is currently 1.64% up for the year and is set for an annualised return of 13.2%
The ratio of winners to losers is 5:3
Sunday, March 4, 2012
Open Positions
Short 216 DIJA @ 12968.5
Long 343 RUT2000 @ 800.4
Short 216 Nasdaq100 @ 2643.4
Long 343 RUT2000 @ 800.4
Short 400 S&P500 @ 1368.13
Thursday, March 1, 2012
Fund Performance: 03/02/2012
OPENED POSITIONS: (2)
The Fund is currently 1.21% up for the year and is set for an annualised return of 10.1%
The ratio of winners to losers is 4:3