I actually went to a presentation the RQSI guys gave at the Peninsula Hotel in NYC two weeks ago. It was very interesting. Basically, they are trying to find talent for their ECI (Emerging CTA Index) Fund. The idea is that, statistically, they have come to the conclusion that a diversified portfolio of CTAs with less than $50M in assets will outperform other fund of fund approaches involving CTAs. They attempt to diversify across trading styles (trend, countertrend, other), time frames (short-term, long-term), and asset classes (indices, metals, grains, currencies, etc). They also use realtime performance monitoring to insure that leverage limits, position limits, etc are being followed. They use the Star Search to identify good candidates for their index. Three of the funds in their index presented. At least one of them was added to the index after a period of outperformance in their Star Search. The ECI has $200M in assets and currently about 60 funds. I have no involvement at all with them except I went to the meeting to see if my fund would be an appropriate candidate for their index. Once a fund hits $50M in assets it gets removed from the index. Funds definitely raise money outside of the index and RQSI has no kickback on that (this question was raised during the presentation). The three funds that presented had assets ranging from $3M - $10M and had returns around the 5-11% level. Being a particularly competitive member of the audience I felt that the three funds tended to over use the "neural network" thing a little too much. I view neural nets as a marketing slogan at best and at worst a curve-fitting method. I will note though that I was biased towards being negative on the funds presenting. I think the idea of branding this as an index is very interesting rather than simply calling it a fund of funds and I commend them for that. Their performance this past year was basically flat but not enough data to make any determination on what that means for the overall approach.
Thanks for your great reply. I sent you a PM with a few questions. Please reply if you can. Season's Greetings
I did participate in the Q4 2003 CTA Star Search competition. Sorry I didn't respond earlier, but I just ran across your post. These were the full restrictions: - 35% maximum M/E Ratio - 30% target annualized daily volatility - 25% inception-to-date redemption point - 35% peak-to-valley redemption point - No reinvestment of profits I found the entire situation to be extremely professional, from beginning to end. Execution through TradePipe was second-to-none for all markets in which I traded (26 different markets). I entered the competition because it seemed to be more professional than the other competitions due to RQSI's reputation, the fact that actual capital was provided by RQSI, and the restrictions which prevented overleveraging and compounding. It was also a great way to build an initial track record in under fairly realistic constraints. (Building a track record was my primary goal; winning the competition was secondary.) My experience was obviously quite positive in all respects and as a result I am participating in the 1Q 2004 competition. jj