Updates

Here are the new positions for the hedge fund portfolio:

short: 252 IJR, 428 SCZ, 135 SPY, 1162 VNQ, 385 VWO.

Note that I did not renew the subscription for the small portfolio, as I mentioned would be the case in a previous post.

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

Trades 24
# Profitable 10 (41.7%)
# months tracked 13
Profitable months 8 (61.5%)
Avg trade duration 164.5 days
Annual return (compounded) 11.3%
Average win $4,733
Average loss $1,303
Profit factor 3.0:1
Max peak-to-valley drawdown (historical) 21.52% (incorrect, see below)
drawdown period May 02, 2011 to Aug 19, 2011
Correlation w/ S&P 0.537
Sharpe ratio 0.979

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

Trades 13
# Profitable 7 (53.8%)
# months tracked 13
Profitable months 6 (46.2%)
Avg trade duration 168.2 days
Annual return (compounded) 9.2%
Average win $573
Average loss $278
Profit factor 2.8:1
Max peak-to-valley drawdown (historical) 9.15%
drawdown period May 02, 2011 to Aug 08, 2011
Correlation w/ S&P 0.555
Sharpe ratio 0.792

Note that the 21.52% drawdown for the hedge fund portfolio is incorrect. I have contacted collective2 asking them to fix this, but they have not responded. I computed a drawdown of 1.9% from the intraday high of 8/18 to the intraday low of 8/19, the period in which collective2 claims there was a 21.52% drawdown.

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