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
Wednesday, April 25, 2012
Close Position - Long DAX30 ShortFTSE100 X2 Long NASDAQ100 Short DIJA$10
Sell 91 DAX30 @ 6665.5
Buy FTSE100 @ 5738.9
Loss of $45,305 or 0.23% continued divergence
Sell 91 DAX30 @ 6665.5
Buy FTSE100 @ 5738.9
Profit of $100,768 or 0.56% convergence
Sell 78 NASDAQ100 @ 2685.1
Buy 160 DIJA$10 @ 13089.7
Loss of $41,022 or 0.20% continued divergence
Sell 78 NASDAQ100 @ 2685.1
Buy 184 SPI200 @ 4394
Loss of $4,417 or 0.03% continued divergence
Sell 78 eminiS&P500 @ 1384.57
Buy 184 SPI200 @ 4394
Profit of $26,538 or convergence of 0.13%
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