Quant Macro Investing

Risk Taking Disciplined

Market Folly portfolio ranked No.1 in …

I wonder what the others are doing (rank No.2, 3, 4, etc).

Full text

http://www.marketfolly.com/2009/11/market-folly-custom-portfolio-ranked-1.html

 

We have some fantastic news to report in that our very own Market Folly custom ‘hedgefundesque’ portfolio is ranked #1 on Alphaclone’s leaderboard for all fund strategies! Upon checking out their leaderboard, we discovered that if you select the ‘max’ date-range and search for 50% hedged strategies, our clone is ranked #1 out of all the various funds they track with a total return of 878.3%, an annualized return of 26.1%, and Alpha of 23.4 all since January of 2000. This of course is the portfolio we post updates on each month. The portfolio takes positions from 3 handpicked hedge funds we’ve selected and combines them into a cohesive hedgefundesque clone by taking the top 3 holdings of each fund, equal weighting them, and then employing a 50% market hedge.

Read more: http://www.marketfolly.com/2009/11/market-folly-custom-portfolio-ranked-1.html#ixzz0Vtg7L4UQ

November 4, 2009 - Posted by | Indicator setup

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