First Month's Performance of the Poor Man's Hedge Fund

by Graham Giller July 01, 2009 15:33

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.

A Poor Man's Hedge Fund - Membership

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.

 

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Model Portfolios

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About the Author

Graham Giller - Headshot GRAHAM GILLER
Dr. Giller holds a doctorate from Oxford University in experimental elementary particle physics. His field of research was statistical astronomy using high energy cosmic rays. After leaving Oxford, he worked in the Process Driven Trading Group at Morgan Stanley, as a strategy researcher and portfolio manager. He then ran a CTA/CPO firm which concentrated on trading eurodollar futures using statistical models. From 2004, he has managed a private family investment office. In 2009, he joined a California based hedge fund startup, concentrating on high frequency alpha and volatility forecasting. My updated resume is on LinkedIn.

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