Quantedge - 30% annualized returns

A

AvantGarde

Hi all,

I came across Quantedge some time ago and noticed their stellar returns. They have a Sharpe ratio of 1 and run at 30% volatility and manage to hit their return target / expected Sharpe quite frequently (most years, which is more frequent than most CTAs).

I note they were founded by a university professor, who has done work on yield curve mean reversion. Rhetorical: Should alarm bells be ringing that there is another professor out there running leveraged fixed income mean reversion strategies? ;-) Thinking of 1998....

Seriously, does anyone have an idea what they are doing? I only read they're running a "term premium" strategy and use "ultra diversification". Any thoughts on what they might be doing?
 
AvantGarde said:
Hi all,

I came across Quantedge some time ago and noticed their stellar returns. They have a Sharpe ratio of 1 and run at 30% volatility and manage to hit their return target / expected Sharpe quite frequently (most years, which is more frequent than most CTAs).

I note they were founded by a university professor, who has done work on yield curve mean reversion. Rhetorical: Should alarm bells be ringing that there is another professor out there running leveraged fixed income mean reversion strategies? ;-) Thinking of 1998....

Seriously, does anyone have an idea what they are doing? I only read they're running a "term premium" strategy and use "ultra diversification". Any thoughts on what they might be doing?
More...

Ponzi Scheme/fraud off the top of my head
 
looks like they had a 45% drawdown in 2008 and ended the year down 23%.

Seems like a fairly typical multistrategy fund that is doing highly leveraged convergence trades (relative value) across various asset classes. Like you said - seems similar to LTCM but they are spreading their risks across more markets.
 
I don't care if you are a math genius or if you have dozens of quants with phds working for you. This is a great cover so investors think he's some prophet genius. I wouldn't be surprised if this is madoff 2.0
 
It will work for them until it doesn't.

As Stan Druckenmiller admits: "he lost it in the market; and he no longer understand the markets as before"
 
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