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27/06/2016 2015 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov YTD
Percentile Net Exp Today 1wk before
NDX 7.20% 0.27% -0.16% 1.46% -0.22% 2.90% -0.96% 3.29% 98.52%
98.58% Source: Uncia AM
Contact:
27/06/2016 2015 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov YTD
[email protected]
NDX 9.55% 1.04% -0.78% -0.02% -0.06% 2.32% 0.30% 2.80%
The PEAD methodology focuses on the overreaction of the
investors on the earnings releases. In the extremes of the range of
the net exposure (5% / 95% percentile), earning l l :
-> if investors overreaction focuses more on positive
earnings than on negative, it entails a positive net exposure.
HFRXEMN au 23/06/2016 HFRIEHI au 31/05/2016
-> if investors overreaction focuses more on negative
earnings than on positive, it entails a negative net exposure.
-4.56% 0.20%
Data retrieved since 2003, Jan, 3rd. Abstract of the paper may
be found:
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2612459 HFRXEMN:
HFRX EH Equity Market Neutral
* Should you need more information about the methodology, or to
discuss the acamedic paper, contact the author HFRIEHI: HFRI Equity
Hedge (Total) Index
HFR Benchmarks YTD
PEAD Strategy Market Neutral YTD Performances
Strategies face 1% (yr) mgmt fees + 10 bps per trade (except
CCMP+NDX 5bps). NDX and SPX short positions are charged 1% (yr),
RTY, CCMP and SXXP 2% (yr). The CCMP+NDX is UCITS compliant.
PEAD Strategy Non Market Neutral YTD Performances Earnings
Overreaction - a
mood signal?*
-
8%-6%
-4%
-2%
0%
2%
4%
6%
8%
10%
12%
14%
16%
YTD Performance: NDX Earnings Strategy
No nMa rk etN eut ra l Ma rke tN eu tra l
-
40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
Net exposure: NDX NonMarketNeutral
MarketNeutral
-10
-8
-6
-4
-2
0
2
4
6
8
10NDX: Buy and Sell signals per week
mailto:[email protected]://papers.ssrn.com/sol3/papers.cfm?abstract_id=2612459http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2612459mailto:[email protected]
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2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
2003-2015 Sharpe
NDX Perf. 1.2% 1.4% 7.0% 10.5% 9.5% 16.5% 0.5% -0.7% 11.5% 9.6%
2.7% -0.3% 7.2% 5.8% 1.27
Vol. 1.9% 3.8% 4.1% 4.3% 4.4% 8.8% 2.9% 2.7% 4.3% 3.9% 3.3% 3.8%
6.4% 4.5%
RTY Perf. -0.6% -0.2% 4.1% 1.2% 9.5% 1.4% - 0.5% -0.1% 9.1%
-1.4% 2.8% -2.1% 0.5% 1.8% 0.37
Vol. 1.4% 2.1% 3.3% 6.5% 5.8% 5.7% 1.8% 3.4% 5.4% 3.7% 5.0% 6.1%
7.3% 4.8%
CCMP Perf. 1.5% 9.0% 5.5% 10.8% 12.9% 1.9% 0.8% 5.4% 11.0% -2.0%
5.2% - 6.3% -1.2% 4.0% 0.85
Vol. 1.4% 3.0% 3.2% 5.1% 6.0% 6.9% 2.4% 3.0% 4.8% 4.0% 6.2% 5.6%
6.1% 4.7%
SPX Perf. -2.6% 0.4% 4.9% 5.7% -0.1% 6.9% -6.3% 2.2% 2.6% 5.0%
-0.5% 0.6% 14.9% 2.5% 0.52
Vol. 2.9% 5.3% 5.7% 6.7% 4.3% 6.2% 5.6% 3.4% 3.6% 3.8% 2.7% 2.7%
6.2% 4.8%
CCMP+NDX Perf. 1.8% 5.3% 5.9% 10.4% 10.9% 8.3% 0.9% 2.5% 10.5%
3.4% 4.4% -2.6% 2.9% 4.9% 1.36
Vol. 1.2% 2.6% 2.9% 3.4% 4.1% 6.2% 2.1% 2.4% 3.7% 2.7% 3.6% 3.8%
5.0% 3.6%
SXXP Perf. 3.5% 5.4% 4.3% 2.5% -0.3% 3.1% 12.2% 1.2% 9.9% 3.8%
6.2% 4.7% 1.13
Vol. 1.0% 2.7% 3.7% 4.0% 3.7% 3.4% 8.8% 2.0% 4.3% 3.1% 3.5%
4.1%
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
2003-2015 Sharpe
NDX Perf. 1.0% 3.5% 7.8% 8.1% 10.4% 6.9% 2.1% 1.5% 10.9% 6.1%
2.7% 1.5% 9.5% 5.5% 1.47
Vol. 1.7% 2.4% 3.8% 4.0% 4.2% 5.7% 3.0% 2.4% 3.5% 3.8% 3.2% 3.6%
5.1% 3.7%
RTY Perf. 0.3% 1.4% 5.1% 3.0% 10.1% -0.4% 1.5% -0.8% 8.1% - 0.7%
-0.6% -1.7% -1.4% 1.8% 0.42
Vol. 1.0% 1.7% 3.1% 4.5% 5.5% 4.6% 1.4% 3.2% 4.5% 3.1% 4.8% 5.3%
6.6% 4.2%
CCMP Perf. 2.3% 8.7% 6.5% 9.0% 14.6% -5.1% 3.0% 5.4% 11.6% -2.8%
-0.3% -6.4% 2.1% 3.5% 0.86
Vol. 1.6% 2.8% 3.0% 4.6% 5.6% 4.9% 2.4% 3.1% 4.3% 4.0% 4.8% 5.2%
4.8% 4.1%
SPX Perf. -2.4% 1.8% 5.6% 6.8% 0.4% 2.7% -1.7% 4.0% 2.3% 3.1%
1.7% 1.8% 13.2% 3.0% 0.75
Vol. 2.6% 3.9% 4.4% 5.7% 3.7% 4.5% 4.6% 3.3% 2.9% 3.4% 2.7% 2.7%
5.4% 4.0%
CCMP+NDX Perf. 1.8% 6.3% 7.1% 8.4% 11.9% 1.7% 2.5% 2.5% 10.2%
1.6% 2.0% -2.0% 4.5% 4.4% 1.43
Vol. 1.2% 2.2% 2.8% 3.2% 3.8% 4.0% 2.1% 2.3% 3.3% 2.8% 3.2% 3.5%
4.2% 3.1%
SXXP Perf. 4.0% 2.9% 3.3% -1.2% 1.1% 4.3% 4.7% 1.3% 8.7% 4.3%
5.3% 3.5% 1.12
Vol. 1.1% 2.1% 3.5% 3.0% 2.1% 2.4% 5.7% 1.8% 3.7% 3.1% 3.0%
3.1%
These performances have to be perceived as very defensive
compared to real market conditions, as the real holding period
should be longer than the one used in the simulation. For more
explanations, contact [email protected]
Strategie s face 1% (yr) mgmt fees + 10 bps per trade (except
CCMP+NDX 5bps). NDX and SPX short positions are charged 1% (yr),
RTY, CCMP and SXXP 2% (yr). The CCMP+NDX is UCITS compliant.
Non Mkt-Neutral
Mkt-Neutral
mailto:[email protected]:[email protected]
