Yes, I’m planning to do so in an upcoming blog post.
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15% is a rough estimate of the average current value of the options. If they expired worthless, I’d lose 15% of my portfolio.
Dear all,
Congrats to everyone who have posted and beat Millennium and both D.E Shaw funds. Still waiting for the largest multi-strategy fund Citadel Wellington to post results (should be around 15% full year) and then Medallion and Bluecrest Capital.
Regards
James
Here are some full-year returns for hedge funds:
| Fund | 2023 returns (%) |
|---|
|Millennium|10%|
|Eisler|9.8%|
|D.E. Shaw Composite|9.6%|
|D.E. Shaw Oculus|7.8%|
|Source: Bloomberg reporting||
OTOH pershing square did 27% with basically no turnover.
+29%, but the main portfolio started working on Portfolio123 9 months ago. The portfolio consisted of 3 strategies they gave (~24%, 30% and 37%). Next year, the majority will switch to the one that gave 30%, since the results are good, there is more liquidity and better execution. All strategies are smallcaps.
Dear all,
With the returns from Bloomberg for
- Citadel Wellington
- Citadel Tactical Trading
- Citadel Equities
- Citadel Global Fixed Income.
Regards
James
How do you know when the momentum for crypto is reversing? Do you have a link for that paper?
I use a few time-series momentum rules and also overbought rules.
Here is the paper that carries ths screenshot that I posted the other day.
Regards
James
Here is the paper
Dynamic time series momentum of cryptocurrencies1.pdf (1.0 MB)
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Overall, a good year for me. My thanks go to Portfolio123 for providing good data and modeling capabilities at a reasonable cost.
Two IRA ports, long only, US stocks with no timing, hedging, leveraging or market cap rules. Mostly small, mid, and large cap holdings. Occasionally micro and mega cap stocks are held. Both portfolios were fully invested all of 2023.
My benchmark is RSP which was up 13.70% with max drawdown of about 13%.
10 stock portfolio: Up 30.91%, max drawdown 15%, requires purchases to be less than 1% of the minimum turnover during the last 15 days.
40 stock portfolio: Up 30.55%, max drawdown 11%, requires purchases to be less than 2% of the minimum turnover during the last 15 days.
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Dear all,
The performance of Bluecrest Capital for 2023 was just released. Billionaire investor Michael Platt had yet another year of gains, although muted by his own lofty standards only +20.3% last year. This is the lowest annual returns since Michael Platt gave back outside capital in 2016 to focus on managing his own wealth and that of his partners.
Still waiting for the performance of Medallion Fund. Here are the performance of the 3 external funds from Renaissance Technologies which are also released this morning. As expected, the external funds are not doing great at all. (RIDGE and RIDA are market neutral).
Regards
James
EDIT : A more updated table on hedge funds full 2023 returns.
Anson Investment (the best perfomring long/short fund in the past 5 years) post a 18.2% return
Bridgewater Associates (the largest hedge fund worldwide by AUM) Pure Alpha II post a -7.6% loss. - The size of the hedge fund does not always equal performance
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Interesting - how does one do this? IE., requiring purchases to be less than certain trading volume over a range of days. Thanks in advance
49% on the only model that was completely out of sample for the entire year. I made several other tweaks and strategy changes to two other live models mid year, so I can’t claim the out of sample returns for those. However, in all, my net worth CAGR was ~40% for the year. Needless to say, very happy for another successful year at P123. I finally have established a long and successful enough track record that my wife lets me run her retirement account. Trust me, this is a high hurdle to clear 
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Haha - both funny and relatable.
Dear all,
Pls see the update screenshots above.
EDIT : A more updated table on hedge funds full 2023 returns.
***All the return figures from Bloomberg are post fees. To get an approx return figure before fees, multiple the number by 1.25. (assuming 2% management fee and 20% performance fee)
Regards
James
The liquidity rule I use for the 10 stock model is:
LoopMin(“Vol(CTR)*Close(CTR)”,15) > TotMktVal/10 times 100. [I tried using an asterisk instead of the word “times” but it didn’t show properly]
So minimum turnover of a candidate over 15 market days is 100 times the average desired holding value of a stock in the portfolio. It’s not perfect but hopefully avoids most low turnover stocks regardless of market cap.
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So TotMktVal would be the typical holding amount for an individual position? Couldn’t it just be times 10 instead of divided by 10 then times 100?
If you don’t mind me asking, what’s your rebalance frequency and universe for the out of sample strategy?
TotMktVal is the current total market value of the portfolio, so I divide that value by 10 to get the target amount to hold in each stock, then multiply by 100 because I want to purchase a stock with a high turnover that is easy to get into and out of, hopefully.
I start with the United States including Foreign Primary universe then strip out ADRs and MasterLPs because they have undesirable tax effects in IRAs where my ports operate, confirm they’re not in merger talks and not OTC, and try to weed out companies that only report annually or had a huge revenue boost in the recent 12 months. I rebalance weekly on Mondays.
During 2023 I did change the 10 stock port Buy and Sell Rank rules in July. For the 40 stock port, I added a Beneish M Score rule at the end of January. So neither port went the entire year without change. I tend to analyze recent history periodically and sometimes make a change if I convince myself that the change is worthwhile.
Sure. United States (Including Foreign Primary). AvgDailyTot(60)>=50000. Close(0) > 1.5. No REITs or Utilities or Financials or MLPs. Rebalance daily, though I could probably do it weekly without much noticeable difference. Portfolio is 20 holdings. I it’s typically only 1 or 2 days a week that a stock falls into my Rank based Sell Rule.