How *scalable* is this beastie? How *variable* are the returns? Are we selling nuggets to a panner, or the Mother Lode vein to Newmont Mining? Sheeeeesh, guys.
That's very little information. Target volatility? Expected capacity? Is it 40% return on AUM, margin or some form of risk adjusted capital? If you have experience running capital in a professional setting, you should be more or less familiar with the structures. 10% can be very reasonable in some setting (e.g. global macro with 0.7 Sharpe and infinite capacity) and very unreasonable in other (high sharpe, capacity constrained type of stuff, like HFT).
The system rebalances the portfolio once per day so not really HFT, therefore capacity is deemed very large (100M+), Sharpe ratio is currently at 2.5, virtually no DD at all, only traded it for 3 months though but backtesting since 2006 have indicated similar return.
If you join the firm, I'd be interested to know what the CTA is, If you do not, I'd like to learn more about you directly. I might be able to find you a backer.
Hi Bob, thanks for the note, in this case it's actually for the Chinese market. We're running tests for similar strategy for US equities that looks equally promising.