Sure. The expected annual return range is the result of a Monte Carlo simulation of monthly returns. We used a normal distribution for monthly returns with a mean of 3.4% and a 22% standard deviation. For each iteration we generated 12 monthly returns and compounded them. The 3.4% mean return was our actual realized geometric average return as of the end of March, as I recall. The 22% standard deviation is a function of our position sizing and is somewhat larger (and gives a larger chance of a drawdown) than our realized 15.9% monthly standard deviation.
so this year your fund has seen a drawdown? Ive seen many day traders get blown out of their accounts this year. My sense this has to do with 2 main factors. 1) Lack of real volatility 2) Lack of institutional participation. What is your sense on this subject and would you care to elaborate on the cause of your drawdown?
Each month there is some chance of having a down month. Put a few down months (four in my case) back to back by the luck of the draw and it turns into a sizeable drawdown. I think it is just chance as I don't know of any particular market environments that are any more or less profitable for our strategies. Nevertheless, during the lead up to and actual Iraq war, there were a lot of unpredictable events that caused sudden large moves both up and down. Whether we were on the right or wrong side of those moves (or even in the market or not) was pure chance. It wasn't a pleasant environment to trade in.
No it wouldn't, I said 110% becouse the traders that blow out refund and blow out again. So it could very well be 200 or 300%. Not trying to be a pecimist, I just am telling it like I see it. I do have several traders that are really good and most of them lay dormant during uncertain times. It is the trader that allways trades that seems to have trouble. They throw good money at bad trades and do not look at there trading as a buisness. Once again this is only my opinion and any critisism is welcome.
I honestly doubt that Aaron will or should close his fund based on an internet message board. I know that he has put his life into the fund. This is obviously a difficult period for the fund (and probably for him). Managing money for others makes it so much more stressful and difficult. (Much more so than I could have imagined). I am confident that Aaron will make it back and then some. You don't have up years like 2002 without a pretty damn good system. My only suggestion is that maybe the leverage needs to be taken in just a tad. When down months do pile up, it can do way too much damage to the fund if leverage is too high.
Good point Prae. Or during times of war etc. you just sit on the sidelines and wait for a somewhat normal market to come along. Making money on interest counts 2.
I agree, my fund traded at about 20-30% of its normal risk level from the last week of jan until the first week of april. This meant that quite often the fund was over half cash. I didn't make that much during that period (I think it was like 25% gain only), but I didn't have many drawdowns when our market would mysteriously swing 20 spx pts in a 15 min period.
Closed... lol. It just started this year. I am definately taking in new capital (though it has some notariety to be the smallest fund out there).