Applying quantitiative econometrics and bioengineering to investment finance
testing - volatility strategies
Proteom volatility strategies have been
extensively tested since October 2002 in the Caissa Capital hedge
fund, which licensed the technologies from
Investment Analytics. The volatility strategies proved
very successful in practice and assets under management grew to
$170M in the period to July 2004. The strategies produced
gross returns in the range from 15% to over 1500% per annum, in line
with the results of extensive historical back-testing over the
period from 1999.
testing - volatility strategies