To summarize our analysis of the first quarter of publicized index futures trading on Twitter, I am including a table of monthly returns for an simple aggregate portfolio of both strategies.

In addition, you can now view the daily profit reports for both strategies directly on this website. The DJIA Index Futures and NASDAQ-100 Index Futures systems are presented separately, and the data is updated every day.

As we noted in the previous post, on (almost) the first quarter's trading for DJIA Index Futures , we have also been trading NASDAQ-100 futures under a variant of the same strategy, and also publishing that trade data to Twitter, for the same period.

One can see that the system is unprofitable, and remains within the drawdown it entered roughly in the middle of April. A table of monthly returns for this model account, is given below.

On 9th. April, we started a Web 2.0 experiment by publishing an RSS Feed and publishing trade data to twitter, for an intraday index futures trading strategy operated by our firm. This strategy has been running in this context for approximately three months now, and the daily performance for the trading of DJIA futures is exhibited in the charts below. (We will exhibit the NASDAQ-100 strategy in a following post — that variant has lost money to date.)

One can see that the system is profitable, but remains within the drawdown it entered roughly in the middle of May. A table of monthly returns for this model account, is given below.

I introduced the idea of Poor Man's Hedge Fund on 2nd. June. On the 8th., I decided to put the trade on, and have been holding and rebalancing this portfolio since that date. There has been only one modification, which was that I adjusted the universe size when evidence indicated that the portfolio size should probably be a little larger . That change was made on 25th. June.

The performance for the model portfolio traded is illustrated in the chart above. Almost immediately after the initial trades were executed, we were hit by the drop in Ameriprise, when they announced that they would seek $900MM of additional capital, diluting existing shareholders and dominating the performance of the portfolio for the first week. It took the rest of the month to get that money back.