EFTA01098760.pdf

DAISUKE FUJITA Strategy Summary Performance Statistics (2012) Sharpe Gross Max Max one 3 different, statistical arbitrage strategies in US equity Notional Drawdown loss Profit of $3.5m and Sharpe of 5.0+ (2012) $3.5m 5.0+ $50m "400k "100k Positive in every month Skillsets Turnover: - 100% Holding period: 10 minutes to 24 hours Alpha idea generation Research with historical tick data Strategy Breakdown (2012) C++ implementation Descriptions Gross Sharpe Strong understanding on US auction mechanism Notional Experience in latency reduction #1 Intraday; Reversion $2.3m $25m —5.0 #2 Overnight; Reversion $0.5m $20m —2.5 #3 Intraday; Momentum $0.7m $15m -7.0 EFTA01098760