Sell 74 Nasdaq100 @ 2835.8
Sell 143 DIJA$10 @ 14699
Profit of $33,752 or 0.17% convergence
Sell 266 eminiS&P500 @ 1580.83
Sell 143 DIJA$10 @ 14699
Profit of $64,423 or 0.31% 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
Thursday, April 25, 2013
Saturday, April 20, 2013
Close Position - Long RUT2000 Short DIJA$10
Stopped out at continued divergence of 1% against the position
Loss of $200,000 or divergence of 1.00%
Loss of $200,000 or divergence of 1.00%
Tuesday, April 2, 2013
Open Position - Long NASDAQ100, eminiS&P500, RUT2000 Short DIJA$10
Buy 74 NASDAQ100 @ 2825.3
Sell 143 DIJA$10 @ 14668.9
Buy 266 eminiS&P500 @ 1572.62
Sell 143 DIJA$10 @ 14668.9
Buy 223 RUT2000 @ 940.87
Sell 143 DIJA$10 @ 14668.9
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