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, May 24, 2013
Close Out Positions: LONG RUT2000, Nasdaq100 Short DIJA$10 eminiS&P500
Closed Positions:
Sell 200 RUT2000 @ 975
Buy 128 DIJA$10 @ 15214.5
Convergence of 0.50% Profit $103,540
Sell 65 Nasdaq100 @ 2980
Buy 128 DIJA$10 @ 15214.5
Continued Divergence of 0.13% Loss $28,003
Sell 200 RUT2000 @ 975
Buy 237 eminiS&P500 @ 1642.36
Convergence of 0.52% Profit $106,869
Open Positions:
Buy 237 eminiS&P500 @ 1642.96
Sell 128 DIJA$10 @ 15214.5
Buy 237 eminiS&P500 @ 1649.10
Sell 128 DIJA$10 @ 15292
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