Starting Quantitative Fund
I had started this in the CFA Forum, but people told me to move it over here. Anyway…
I devised an outstanding quantitative strategy and I’m running my own (meager) money in it now. Does anyone have any idea how to start getting an audited track record or putting together official documents to show to potential investors? What do funds/investors like to see?
Just curious how to get started. Thanks.
Strategy results are below…
Futures based, but currently there are simple ETPs which can be used to run the strategy as there is very little trading (max 13 trades a month over 8 years), but I’m looking into how you could run this with capacity & with a prime broker, etc.
The returns are epic. I did some risk adjustments to offer 3 versions (history Mar 2004 - Jan 2012):
Version 1: 77% Annualized Return (yes, annualized, not cumulative), 62% Std Dev. (yes, massive)
Version 2: 47% Annualized Return, 27% Std Dev.
Version 3: 31% Annualized Return, 21% Std Dev.
And yes, if you are wondering, that Version 1 would have returned around 93x your original capital invested in Mar 2004 by Jan 2012.
Been running it live since last year and I’m up 60% or so.
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