Sell 78 NASDAQ100 @ 2642.9
Buy 157 DIJA$10 @ 13067
Profit of $76,018 or 0.33% convergence
Sell 290 eminiS&P500 @ 1383.28
Buy 157 DIJA$10 @ 13067
Profit of $63,890 or 0.30% convergence
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
Sell 78 NASDAQ100 @ 2642.9
Buy 157 DIJA$10 @ 13067
Profit of $76,018 or 0.33% convergence
Sell 290 eminiS&P500 @ 1383.28
Buy 157 DIJA$10 @ 13067
Profit of $63,890 or 0.30% convergence
Sell 73 NASDAQ100 @ 2605.9
Buy 150 DIJA$10 @ 12759.5
Convergence of 0.67% or Profit of $129,304
Sell 73 NASDAQ100 @ 2605.9
Buy 242 RUT2000 @ 786.39
Convergence of 0.17% or Profit of $34,108
Sell 73 NASDAQ100 @ 2605.9
Buy 282 eminiS&P500 @ 1355.62
Convergence of 0.45% or Profit of $87,192
Buy 242 RUT2000 @ 800.74
Sell 73 NASDAQ100 @ 2658
Buy 150 DIJA30 @ 12929.5
Sell 73 NASDAQ100 @ 2658
Buy 282 SP500 @ 1376.6
Sell 73 NASDAQ100 @ 2658
Sell 160 DIJA$10 @ 12644.5
Buy 255 RUT2000 @ 795.53
Loss of -$13,454 or divergence of -0.07%
Sell 301 eminiS&P500 @ 1340.14
Buy 255 RUT2000 @ 795.53
Loss of -$59,398 or divergence of -0.31%
Buy 160 DIJA$10 @ 12844
Sell 255 RUT2000 @ 807.51
Buy eminiS&P500 @ 1364.46
Sell 255 RUT2000 @ 807.51
Sell 230 FTSE100 @ 5652.3
Buy 99 DAX30 @ 6514.8
Loss of -$27,240.12 or divergence of -0.13%
Sell 77 NASDAQ100 @ 2609
Buy 161 DIJA$10 @ 12852.4
Sell 77 NASDAQ100 @ 2609
Buy 261 RUT2000 @ 797.62
Sell 77 NASDAQ100 @ 2609
Buy 306 eminiS&P500 @ 1359.87