Investment版 - Seeking Investors for a Low Risk Systematic Trading Strategy |
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d**********t
发帖数: 5 | 1 I represent a brokerage firm on wall street which raises funds for various
managed futures trading strategies. We are currently seeking investments for
a particularly robust managed futures strategy that currently has $32M AUM
(asset under management). The manager is a PhD from Harvard University and a
former global macro trader at SAC capital where he managed more than $100M
capital. This program started in Nov, 2009.
This program seeks to profit from short term directional and volatility skew
opportunities in the S&P 500. Proprietary system checks market
opportunities constantly and searches best risk reward trades in S&P 500
futures and options. The manager always places risk control as a first
priority and uses various stress scenario tests and stop loss controls to
achieve optimal risk reward. The program typically has low or negative
correlation with the S&P 500.
Return on 2010: 23.25%
Return on 2011: 20.21%
CAROR: 21.10%
Sharpe Ratio: 6.60
Sortino Ratio: 20.33
Sterling Ratio: 2.01
Max Drawdown: -1.55%
Corr. S&P 500: -0.12
If you are interested, email c***[email protected] and we'll provide more
detailed information related to this program to you. Thanks. |
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