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Hedge Fund Strategies

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Saturday 24 September 2016

Data from our real money account

Launched specifically to track our research here's some data covering the results so far:

  • 78% win rate since launch
  • Average trade duration of 6.4 days
  • Average trade profit of 4.3%

These results cover the trading of contracts for difference (CFDs) in a dedicated Interactive Brokers account. The September month-to-date the performance looks like this (click the image to enlarge it):


A strong start we expect to be tempered over time.

Our research is published jointly with ArbMaker. For a 30-day trial sign up via this link!

Saturday 10 September 2016

The S&P 500 fell -1.9% last week...were you hedged?

Directional trading is great...until it isn't.

Last week was a case in point. Every sector bar Energy was in the red. And even Energy barely squeaked a gain.

Take a look at this newsletter below from ArbMaker for more detail (or click it to see it online and to subscribe).

We run the Premium Newsletter picks that are cited and strongly encourage you to try the service - a trial is absolutely free and signals can be received by email or via the Android app Telegram Messenger!


Saturday 13 August 2016

A peek at our premium research...

Here's an extract from a recent issue of our Premium Newsletter service. The letter focuses is on generating actionable trade ideas. But it goes way beyond that to present methodological information and trading context.

Our next issue is released tomorrow at 10h30 GMT. We offer a free trial - try it out!


Saturday 11 June 2016

Getting results for clients

In 2015 our largest client was a hedge fund based in New York. Here is a snapshot of what we achieved for them during the contract:

htec_NYC_ACM.png Get the full report with complete risk-adjusted statistics and commentary here.

It's not only hedge-funds that can do this.

Monday 11 April 2016

One relative-value approach to keep an eye on...

The idea of moving from consultant to manager intrigues us. It involves moving beyond trading one's own account and dealing with the pain of client management. Notwithstanding that outcome, though, it remains a potentially attractive activity.

But in the meantime accumulating the data is what counts:


Monday 14 March 2016

Which strategy?

An earlier entry pointed out how many sub-strategies there are under the title ‘long/short’. Take one step back and consider this table from the 2016 Preqin Global Hedge Fund Report (click for larger version):


The table continues for an entire second page but this half makes the point: that’s a lot of headline strategies (before any talk of sub-strategies).

For those who like steady returns with as few shocks as possible ranking this list by the 5 year net return/volatility columns produces is a clear winner in the equity class: RV Equity Market Neutral (our yellow highlight). It is not the best on that ratio overall: two credit based approaches formerly best known for Jenga cameos in The Big Short pipped it.

The top 10 strategies on the return/volatility ratio look like this (click for larger version):


Perhaps a useful reference point when designing strategy approaches!

Thursday 25 February 2016

What is long/short, anyway?

Long/short – what could go wrong? Hedged positions, protection etc etc etc. And yet there are headlines like this one:

Here’s Why Long / Short Hedge Funds Are Getting Hammered

One of the problematic aspects of such an approach is that “long/short” is a hard category to define – and there is no consensus around the term. Which leaves plenty of room for whatever headline one wishes to shock and amaze with.

The IAM took a stab at the definition in cooperation with the LSE's Financial markets Group a few years ago. They produced the following classification table of hedge fund strategies:

HF Strategies

A cursory examination will show that Long/Short is a broad church - and one with some disciples who regularly trek over to the neighbouring tabernacle of Relative Value to worship.

Thus probably it is worth defining precisely what class of strategy is being analyzed before daubing all with the same brush.