Updates

There are no changes to the small or hedge fund portfolios.

Here is a summary of the performance of the hedge fund portfolio:

Trades 24
# Profitable 10 (41.7%)
# months tracked 12
Profitable months 7 (58.3%)
Avg trade duration 152.8 days
Annual return (compounded) 12.4%
Average win $4,682
Average loss $1,303
Profit factor 3.0:1
Max peak-to-valley drawdown (historical) 5.75%
drawdown period Nov 05, 2010 to Nov 16, 2010
Correlation w/ S&P 0.575
Sharpe ratio 1.194

Here is a summary of the performance of the small portfolio:

Trades 13
# Profitable 7 (53.8%)
# months tracked 12
Profitable months 6 (50.0%)
Avg trade duration 153.9 days
Annual return (compounded) 10.2%
Average win $572
Average loss $278
Profit factor 2.8:1
Max peak-to-valley drawdown (historical) 7.4%
drawdown period May 02, 2011 to June 30, 2011
Correlation w/ S&P 0.581
Sharpe ratio 0.952

Note that I have closed all positions in the futures portfolio. I will no longer be maintaining this portfolio. I created this portfolio as an experiment to determine if the current system used for ETFs in the small and hedge fund portfolios would work for a small futures portfolio. I must conclude that the experiment failed as I believe that there is too much volatility. It appears that this portfolio is not diversified enough, thus it would take a very large (~$millions) portfolio to fully replicate the hedge fund ETF portfolio with futures. Also, I have an entirely new system that will be ready for testing on collective2 next Monday.

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