Sell 271 RUT2000 @ 789.06
Buy 80 NASDAQ100 @ 2681.5
Profit of $13,875 or convergence of 0.07%
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
Sunday, August 5, 2012
Close Out Position - Long RUT2000 Short Nasdaq100
Thursday, August 2, 2012
Close Out Trade: Long RUT2000 - Short eminiS&P500, DIJA$10
Sell 271 RUT2000 @ 770.26
Buy 305 eminiS&P500 @ 1365.8
Profit of $45,975; converged 0.23%
Sell 271 RUT2000 @ 770.26
Buy 162 DIJA$10 @ 12884.3
Profit of $63,516; converged 0.32%
Wednesday, August 1, 2012
Open Position - Long RUT2000 Short NASDAQ100 eminiS&P500 DIJA$10
Buy 271 RUT2000 @ 774.94
Sell 80 NASDAQ100 @ 2635.5
Buy 271 RUT2000 @ 774.94
Sell 305 eminiS&P500 @ 1377.27
Buy 271 RUT2000 @ 774.94
Sell 162 DIJA$10 @ 13003.6
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