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GloMo and CoMo on QuantNetwork?

jimkliew

jimkliew

Professor
Joined
4/19/10
Messages
31
Points
18
Who wants to see daily performance of our Global Momentum Strategy (GloMo) and Commodity Momentum Strategy (CoMo) on QuantNetwork? (Available on www.AlphaQuantClub.com )

We have launched two of our hedge fund barometers, to help investors gauge the opportunities of momentum across different sectors of the global markets. We're going to launch more, on-deck: classic "pairs-trading" and mean-reversion models, and much, much more...

Please let me know your feedback/any comments. Also, I'm always looking for smart engineers/programmers to work with, I'll teach you Quant Strategies in exchange for your programming assistance. We have lots to do, and just not enough time. :)

-Jim Liew
 
What do you mean "on Quant Network"?
I click on the index on your website and it asks for a login.
 
I'm envisioning a place where people can easily see the daily performance of efficiently constructed hedge fund barometers. Many of these barometers happen to be correlated to the historical return streams generated by some of the largest hedge funds. For example, our GloMo is correlated to some of the biggest CTAs (or Managed Futures), like AHL, Aspect, Winton, Graham, Millburn, etc. So, my hypothesis is that many hedge funds are doing the same thing or very similar things, for these large CTAs it appears that they are trying to gain exposure to the global momentum factor (or trend-following if you wish). If one can provide a product that is more efficiently priced, meaning lower fees and produce a same/similar exposure to this global momentum factor, (i.e. generate similar returns from trend-following), then in the long-run this product should do well in terms of gaining market share from those existing CTAs/Hedge Funds that have underperformed net of fees, right? Fees in hedge funds are extremely high typically 2% management fee and 20% incentive fee. Net of fees this should be a good product if constructed well. Note that Fama-French have shown that in the active investing world of Mutual Funds very, very few managers have exhibited "skill" net of fees over a long period of time. What if this holds true for hedge funds? I believe it will.
 
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