Performance Update for A Poor Man's Hedge Fund

by Graham Giller September 09, 2009 09:56

It's now three month's since we started trading a portfolio designed to replicate the performance of hedge funds by picking those stocks with maximum exposure to the dynamic trading risk factor.

Cumulative Performance of A Poor Man's Hedge Fund

The portfolio's performance peaked in early August, and has been in a drawdown since then. It was hit hard on the 1st. September, when all the financial stocks dramatically underperformed the market. However, it is still profitable after fees.

UPDATE 03/15/2010: The performance chart has been replaced with the one for this current year. As you can see, the system is currently in a small drawdown.

 

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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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