Make your own free website on Tripod.com

Entropic Hedge Fund

 

 

 

Strategy: The Entropic fund follows a classic Long/Short strategy with a market exposure from -10 % to 50 %. The currency, countries and sector exposure is chosen according to the macro views of the manager. The fund has his own software in order to analyze all public information available on internet and to do his stock picking according to the value and quality of the information available about the underlying.  The fund also searchs for strategies with the help of automatic learning tools based on algorithm genetics of our proprietary hedge fund software.

 

You are willing to have a trading account at the same commission rate than

I am presently managing my own money with the classic long/short strategy.

 

 

 

 

 

 

 

 

 

I with a market net exposure from -5% to 50 % (with most time a net exposure around 20-30 %). I use a leverage of 1,7. The portfolio has a volatilily inferior to the indexes due to a lower market exposure.

My performance is computed on EUR currency is currently of 20 % on rolled 12 months return with a sharp ratio of 3 (see Excel sheet).

 

I am graduated with a master degree in software engineer (92) and another in financial mathematic (2003). Thus, I have developed a proprietary application in order to:

bulletCollect public data available on publicily available on Internet  about stocks,
bulletscreen the best market opportunities from the universes of 9000 stocks (AMEX, NYSE, NASDAQ, Euronext),
bulletBack test stock picking strategies,
bulletSearch for best stock picking possible strategies with a genetic algorithm.

I am also developing an expertise in order to evaluate the quality and statistic value of data available on internet.

 

Jan

Fev

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Year

2006

4.21

 

 

 

 

 

 

 

 

 

 

 

4.21

2005

8.9

6.74

1.47

-1.04

2.45

3.19

2.03

-2.81

6.65

0.77

-1.28

0.62

30.62

2004

13.03

-0.32

3.43

-4.15

2.35

-1.48

4.67

2.04

4.9

-2.86

7.04

-3.29

32.89

2003

 

 

 

 

 

 

 

 

 

12.48

-3.89

-3.82

4.77

 

Text Box: Portfolio characteristics:
# Long/# Short: 40/40
Long Holdings: 100 %
Short Holdings: 70 %
Gross Exposure: 170 %
Net Exposure: 30 %
Minimum investment: 30 000 EUR
 
 
 

 

 

 

 

 

erformance Fee: 10 %

Text Box: Net Performance Analysis:
Avg Annual (1): 22.44
Std (1): 5.9 %
Sharpe Ratio (2): 5.47
Max Down: -4.15
Max Up: 13.03
Management Fee (3): 0 %
P


erformance Fee: 10 %

 

 

 

 

 

 

 

 

 

 

 

Fact Sheet: Entropic-Hedge-Fund.pdf