Insights, Innovation, Performance
Hedge Fund
Background and Performance
Overview
This is a Hedge fund that seeks to maximize risk adjusted returns, i.e., the Sharpe Ratio, utilizing quantitative trading methods. The fund has been running live in the U.S. Market since 2020.
Performance
Trading results are characterized by a number of different performance metrics including the Sharpe, Sortino, Calmar, and Omega ratios.
2023 Trading Performance:
Jan. 1 to Dec. 29
How to Invest
As with other Hedge funds, the goal of the investor is to grow capital in an optimal way. Investors make an application and then can allocate funding to their respective accounts. Although there are no absolute guarantees, we expect investor returns to be commensurate with earlier trading results and performance. But based on finite liquidity in the markets, the Hedge fund will be closed to outside investors after a certain level of funding is reached. We are in the process of setting up the necessary infrastructure and licensing to put all of this into place before investor funding can be accepted. Check back here for updates and availability.
The animation below illustrates a strategy under development, running in the live market, opening and closing trades in an automated fashion.
The Full Story
Adversity:
Physics, mathematics, and the discovery of the natural world had always been the focus, going back to my childhood. But life can throw you curve balls and in 2016, I was going through a divorce. Being close to retirement, I realized that after everything was settled, I'd have less than half of the planned retirement, which obviously was not part of the original plan. At this point I realized that nobody was coming to save me, I would have to do this myself: I needed to learn about money, investing, and rebuilding financially to survive. As many people understand who have gone through this, divorce can be both emotionally and financially devastating. I couldn't do a lot about the emotional part except for the inner work, but I realized that I could actually take concrete steps to improve my financial situation.
Metamorphosis:
I remember asking myself, if I had X amount of dollars, what is the best way to invest it? I had to start somewhere so I called an old high school friend who had worked as a day-trader, and began asking about all of the details. With this new knowledge, my goal then became to learn about markets and trading. But as the old adage goes: "... it takes money to make money... ,"so I needed to raise capital. Finding myself in a midlife crisis months earlier, I had purchased a used BMW M5, and then realizing that a car wasn't the answer, I quickly sold it to raise the $25k in capital required to avoid violating the Pattern Day Trader Rule.
Quantitative Trading:
Being an algorithm developer, I learned about quantitative finance and began doing computer experiments with tiny transactions, to learn how the markets worked. I studied and tested every aspect of this, relentlessly. I worked at it for several years, but to no avail, nothing seemed to work in terms of making profits, with market friction and trading costs. But in 2019, I found something that did work and began making consistent profits. With this success, I liquidated my half of the retirement account (yes paying all the taxes upfront) and set out with my retirement as trading capital, with the goal of rebuilding the account to its original value, and perhaps someday more. I risked everything and have been successful in this approach. Along the way, I dreamed of building a Hedge Fund based on what I learned, and have now decided to offer this opportunity to outside investors.