Sell 193 RUT2000 @ 982.74
Buy 233 eminiSP500 @ 1615.77
Convergence of 1.06%. Profit of $219,078
Sell 193 RUT2000 @ 982.74
Buy 125 DIJA$10 @ 15033.9
Convergence of 1.06%. Profit of $219,249
Open Existing Positions:
Buy 200 UK10yr @ 111.7
Sell 307 US10yr @ 126.012
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
Friday, June 28, 2013
Thursday, June 27, 2013
Open Position (2)
Open New Positions:
Buy 193 RUT2000 @ 964.98
Sell 233 eminiSP500 @ 1603.75
Buy 193 RUT2000 @ 964.98
Sell 125 DIJA$10 @ 14922
Open Existing Positions:
Buy 200 UK10yr @ 111.7
Sell 307 US10yr @ 126.012
Buy 193 RUT2000 @ 964.98
Sell 233 eminiSP500 @ 1603.75
Buy 193 RUT2000 @ 964.98
Sell 125 DIJA$10 @ 14922
Open Existing Positions:
Buy 200 UK10yr @ 111.7
Sell 307 US10yr @ 126.012
Wednesday, June 26, 2013
Close Position (1)
Close Positions:
Sell 234 eminiSP @ 1598.49
Buy 126 DIJA$10 @ 14857.1.
Convergence of 0.10%. Profit of $20,532
Open Existing Positions:
Buy 200 UK10yr @ 111.7
Sell 307 US10yr @ 126.012
Sell 234 eminiSP @ 1598.49
Buy 126 DIJA$10 @ 14857.1.
Convergence of 0.10%. Profit of $20,532
Buy 200 UK10yr @ 111.7
Sell 307 US10yr @ 126.012
Open Position (1)
Open New Positions:
Buy 200 UK10yr @ 111.7
Sell 307 US10yr @ 126.012
Open Existing Positions:
Buy 234 eminiSP @ 1581.35
Sell 126 DIJA$10 @ 14713
Buy 200 UK10yr @ 111.7
Sell 307 US10yr @ 126.012
Open Existing Positions:
Buy 234 eminiSP @ 1581.35
Sell 126 DIJA$10 @ 14713
Close Position (1)
Sell 300 AU10yr @ 96.145
Buy 273 US10yr @ 125.75
Converged by 3.9bsp. Profit of $128,140
Open Existing Positions:
Buy 234 eminiSP @ 1581.35
Sell 126 DIJA$10 @ 14713
Buy 273 US10yr @ 125.75
Converged by 3.9bsp. Profit of $128,140
Open Existing Positions:
Buy 234 eminiSP @ 1581.35
Sell 126 DIJA$10 @ 14713
Open Position (1)
Open New Positions:
Buy 300 AU10yr @ 96.1
Sell 273 US10yr @ 125.734
Open Existing Positions:
Buy 234 eminiSP @ 1581.35
Sell 126 DIJA$10 @ 14713
Buy 300 AU10yr @ 96.1
Sell 273 US10yr @ 125.734
Open Existing Positions:
Buy 234 eminiSP @ 1581.35
Sell 126 DIJA$10 @ 14713
Tuesday, June 25, 2013
Monday, June 24, 2013
Close Position (3)
Sell 65 Nasdaq100 @ 2837
Buy 234 eminiSP500 @ 1566.48
Convergence of 0.17%. Profit of $32,623
Sell 65 Nasdaq100 @ 2837
Buy 125 DIJA$10 @ 14602
Continued Divergence of -0.09%. Loss of $19,512
Sell 65 Nasdaq100 @ 2837
Buy194 RUT2000 @ 946.3
Convergence of 0.16%. Profit of $29,875
Buy 234 eminiSP500 @ 1566.48
Convergence of 0.17%. Profit of $32,623
Sell 65 Nasdaq100 @ 2837
Buy 125 DIJA$10 @ 14602
Continued Divergence of -0.09%. Loss of $19,512
Sell 65 Nasdaq100 @ 2837
Buy194 RUT2000 @ 946.3
Convergence of 0.16%. Profit of $29,875
Close Position (1)
Sell 400 AU10yr
Buy 363 US10yr
Continued Divergence. Stopped out at loss of $200,000
Open Existing Positions:
Buy 65 Nasdaq100 @ 2873.5
Sell 234 eminiS&P500 @ 126.5
Buy 65 Nasdaq100 @ 2873.5
Sell 125 DIJA$10 @ 14777.4
Buy 65 Nasdaq100 @ 2873.5
Sell 194 RUT2000 @ 959.95
Buy 363 US10yr
Continued Divergence. Stopped out at loss of $200,000
Open Existing Positions:
Buy 65 Nasdaq100 @ 2873.5
Sell 234 eminiS&P500 @ 126.5
Buy 65 Nasdaq100 @ 2873.5
Sell 125 DIJA$10 @ 14777.4
Buy 65 Nasdaq100 @ 2873.5
Sell 194 RUT2000 @ 959.95
Friday, June 21, 2013
Open Position (3)
Open New Positions:
Buy 65 Nasdaq100 @ 2873.5
Sell 234 eminiS&P500 @ 126.5
Buy 65 Nasdaq100 @ 2873.5
Sell 125 DIJA$10 @ 14777.4
Buy 65 Nasdaq100 @ 2873.5
Sell 194 RUT2000 @ 959.95
Open Existing Positions:
Buy 400 AU10yr @ 96.18
Sell 363 US10yr @ 126.5
Buy 65 Nasdaq100 @ 2873.5
Sell 234 eminiS&P500 @ 126.5
Buy 65 Nasdaq100 @ 2873.5
Sell 125 DIJA$10 @ 14777.4
Buy 65 Nasdaq100 @ 2873.5
Sell 194 RUT2000 @ 959.95
Open Existing Positions:
Buy 400 AU10yr @ 96.18
Sell 363 US10yr @ 126.5
Close Position (1)
Closed Positions:
Sell 300 AU3yr @ 97.26
Buy 376 AU90dayBB @ 97.33
Divergence of 2 bsp. Loss of $18,261
Sell 300 AU3yr @ 97.26
Buy 376 AU90dayBB @ 97.33
Divergence of 2 bsp. Loss of $18,261
Thursday, June 20, 2013
Close Positions (1)
Closed Positions:
Sell 35 AU10yr @ 96.335
Buy 210 UK10yr @ 113.4
Convergence of 124 bsp. Profit of $432,636
Open Existing Positions:
Buy 300 AU3yr @ 97.29
Sell 376 AU90dayBB @ 97.34
Sell 35 AU10yr @ 96.335
Buy 210 UK10yr @ 113.4
Convergence of 124 bsp. Profit of $432,636
Open Existing Positions:
Buy 300 AU3yr @ 97.29
Sell 376 AU90dayBB @ 97.34
Wednesday, June 19, 2013
Open Position (1)
Open New Positions:
Buy 300 AU3yr @ 97.29
Sell 376 AU90dayBB @ 97.34
Open Existing Positions:
Buy 300 AU3yr @ 97.29
Sell 376 AU90dayBB @ 97.34
Open Existing Positions:
Buy 35 AU10yr @ 96.545
Sell 210 UK10yr @ 114.85
Sell 210 UK10yr @ 114.85
Close Positions (5)
Closed Positions:
Sell 400 UK10yr @ 141.87
Buy 598 US10yr @ 129.1875
Continued divergence of 0.3 bsp. Loss of $111
Sell 466 EUROBUND10yr @ 143.56
Buy 598 US10yr @ 129.1875
Convergence of 13.7 bsp. Profit of $92,146
Sell 400 UK10yr @ 141.87
Buy 66 AU10yr @ 96.55
Convergence of 9.5 bsp. Profit of $62,385
Sell 466 EUROBUND10yr @ 143.56
Buy 66 AU10yr @ 96.55
Convergence of 16.5 bsp. Profit of $154,642
Sell 266 AU3yr @ 97.42
Buy 225 AU90dayBB @ 97.38
Continued divergence of 3 bsp. Loss of $19,631
Sell 400 UK10yr @ 141.87
Buy 598 US10yr @ 129.1875
Continued divergence of 0.3 bsp. Loss of $111
Sell 466 EUROBUND10yr @ 143.56
Buy 598 US10yr @ 129.1875
Convergence of 13.7 bsp. Profit of $92,146
Sell 400 UK10yr @ 141.87
Buy 66 AU10yr @ 96.55
Convergence of 9.5 bsp. Profit of $62,385
Sell 466 EUROBUND10yr @ 143.56
Buy 66 AU10yr @ 96.55
Convergence of 16.5 bsp. Profit of $154,642
Sell 266 AU3yr @ 97.42
Buy 225 AU90dayBB @ 97.38
Continued divergence of 3 bsp. Loss of $19,631
Tuesday, June 18, 2013
Open new Positions (5)
Open New Positions:
Buy 400 UK10yr @ 141.81
Sell 598 US10yr @ 129.04
Buy 466 EUROBUND10yr @ 143.36
Sell 598 US10yr @ 129.04
Buy 400 UK10yr @ 141.81
Sell 66 AU10yr @ 96.585
Buy 466 EUROBUND10yr @ 143.36
Sell 66 AU10yr @ 96.585
Buy 266 AU3yr @ 97.45
Sell 225 AU90dayBB @ 97.38
Buy 400 UK10yr @ 141.81
Sell 598 US10yr @ 129.04
Buy 466 EUROBUND10yr @ 143.36
Sell 598 US10yr @ 129.04
Buy 400 UK10yr @ 141.81
Sell 66 AU10yr @ 96.585
Buy 466 EUROBUND10yr @ 143.36
Sell 66 AU10yr @ 96.585
Buy 266 AU3yr @ 97.45
Sell 225 AU90dayBB @ 97.38
Sunday, June 16, 2013
Close Positions (1)
Closed Positions:
Sell 400 AU3yr @ 97.485
Buy 337 AU90dayBB @ 97.39
Convergence of 3.5 bsp. Profit of $36,084
Sell 400 AU3yr @ 97.485
Buy 337 AU90dayBB @ 97.39
Convergence of 3.5 bsp. Profit of $36,084
Thursday, June 13, 2013
Close Positions (1)
Closed Positions:
Sell 232 eminiS&P500 @ 1632.33
Buy 125 DIJA$10 @ 15155
Convergence of 0.18%. Profit of $36,873
Open Existing Positions:
Buy 400 AU3yr @ 97.44
Sell 337 AU90dayBB @ 97.38
Sell 232 eminiS&P500 @ 1632.33
Buy 125 DIJA$10 @ 15155
Convergence of 0.18%. Profit of $36,873
Open Existing Positions:
Buy 400 AU3yr @ 97.44
Sell 337 AU90dayBB @ 97.38
Close Positions (3)
Closed Positions:
Sell 100 AU10yr @ 96.55
Buy 700 EUROBUND10yr @ 142.66
Convergence of 11 bsp. Profit of $108,757
Sell 100 AU10yr @ 96.58
Buy 600 UK10yr @ 114.49
Convergence of 6 bsp. Profit of $59,377
Sell 100 AU10yr @ 96.58
Buy 920 US10yr @ 128.28
Convergence of 2 bsp. Profit of $19,803
Open Existing Positions:
Buy 400 AU3yr @ 97.44
Sell 337 AU90dayBB @ 97.38
Buy 232 eminiS&P500 @ 1630.75
Sell 125 DIJA$10 @ 15168.2
Sell 100 AU10yr @ 96.55
Buy 700 EUROBUND10yr @ 142.66
Convergence of 11 bsp. Profit of $108,757
Sell 100 AU10yr @ 96.58
Buy 600 UK10yr @ 114.49
Convergence of 6 bsp. Profit of $59,377
Sell 100 AU10yr @ 96.58
Buy 920 US10yr @ 128.28
Convergence of 2 bsp. Profit of $19,803
Open Existing Positions:
Buy 400 AU3yr @ 97.44
Sell 337 AU90dayBB @ 97.38
Buy 232 eminiS&P500 @ 1630.75
Sell 125 DIJA$10 @ 15168.2
Wednesday, June 12, 2013
Open new Positions (4)
Open New Positions:
Buy 100 AU10yr @ 96.55
Sell 920 US10yr @ 128.27
Buy 100 AU10yr @ 96.55
Sell 600 UK10yr @ 114.52
Buy 100 AU10yr @ 96.55
Sell 700 EUROBUND10yr @ 142.77
Buy 400 AU3yr @ 97.44
Sell 337 AU90dayBB @ 97.38
Open Existing Positions:
Buy 232 eminiS&P500 @ 1630.75
Sell 125 DIJA$10 @ 15168.2
Buy 100 AU10yr @ 96.55
Sell 920 US10yr @ 128.27
Buy 100 AU10yr @ 96.55
Sell 600 UK10yr @ 114.52
Buy 100 AU10yr @ 96.55
Sell 700 EUROBUND10yr @ 142.77
Buy 400 AU3yr @ 97.44
Sell 337 AU90dayBB @ 97.38
Open Existing Positions:
Buy 232 eminiS&P500 @ 1630.75
Sell 125 DIJA$10 @ 15168.2
Tuesday, June 4, 2013
Closed Out 2 trades
Closed Positions:
Sell 241 eminiS&P500 @ 1636.72
Buy 129 DIJA$10 @ 15222
Convergence of 0.21%. Profit of $42,216
Sell 66 Nasdaq100 @ 2987.7
Buy 129 DIJA$10 @ 15222
Convergence of 0.62%. Profit of $126,716
Sell 241 eminiS&P500 @ 1636.72
Buy 129 DIJA$10 @ 15222
Convergence of 0.21%. Profit of $42,216
Sell 66 Nasdaq100 @ 2987.7
Buy 129 DIJA$10 @ 15222
Convergence of 0.62%. Profit of $126,716
Monday, June 3, 2013
Open Positions (2)
Open Positions:
Buy 241 eminiS&P500 @ 1627.44
Sell 129 DIJA$10 @ 15166.9
Buy 66 Nasdaq100 @ 2958.4
Sell 129 DIJA$10 @ 15166.9
Buy 241 eminiS&P500 @ 1627.44
Sell 129 DIJA$10 @ 15166.9
Buy 66 Nasdaq100 @ 2958.4
Sell 129 DIJA$10 @ 15166.9
Closed Out 1 trade
Closed Positions:
Sell 126 DIJA$10 @ 15150.9
Buy 194 RUT2000 @ 976.55
Convergence of 0.68%. Profit of $131,415
Sell 126 DIJA$10 @ 15150.9
Buy 194 RUT2000 @ 976.55
Convergence of 0.68%. Profit of $131,415
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