ENHANCED DECISION SUPPORT SYSTEM FOR PORTFOLIO MANAGEMENT USING FINANCIAL IND...
Analytical Investments Aug10
1. Analytical Investments, LLC Riding the Trends, Not Fighting the Market: Equities, ETF’s, Options, Arbitrage (August 2010) Proprietary Market Scanning, Trading and Portfolio Management System Nick Tishchenko, PhD Analytical Investments, LLC (212) 664-1730 nick.tishchenko@analytical-investments.com 1
2.
3. Quant System Is A Powerful Tool for Trading and Portfolio Management, Not Just a Supplement to Fundamental Research. It Identifies Early Changes in Market and Stocks Trends – Both Long and Short, Sets Entry/Exit Points for Portfolio Positions with Near-Term and Long-Term Targets
4. Real-Time Computerized System Helps Automatic Position Scaling and Portfolio/Sector Rotation With Risk Management and Discipline in Entry and Exit 2
11. Best/Worst Market Sectors - 2010 Best - Long Sector Music & Video Stores Worst - Short Sector Home Health Care 5
12. Portfolio Scan and Positions’ Scaling Longer-Term Trend – You Don’t Want to Trade Against It Customer’s Stock List System Ratings on Stocks Dynamic Stop for Each Trade Your Profit if You Followed the System’s Last Signal on Weekly Trade Direction on Daily, Weekly and Monthly Time Frames Duration of the Trade (Bars) 6
15. In both cases the System provides selection of Long and Short candidates within pre-determined list of stocks. Each trade setup includes Entry point and targets for the current and the next Week, Month or calendar Quarter with a dynamic stop for each trade/position7
16.
17. The system selects stocks for portfolio as well as sizes of positions depending on available cash, desired number of positions, strength of uptrend/downtrend, trading volume or other investment objectives 8
18.
19. Similar Algorithms are Used to Calculate Dynamic Stops for Each Position Providing Effective Risk Management and Profit Protection
20. The System Calculates Price Targets for the Next Week, Month, Quarter and Calendar Year Allowing Effective Hedging of Positions with Derivative Instruments9
22. System Generated Targets: SPY Target for calendar Year Target for calendar Quarter Target for calendar Month Targets are generated beforethe beginning of respective period 11
23.
24. Scanning the market for stocks with strong reversal signals near Monthly/Quarterly targets
32. Selling NFLX Puts with strike price near Aug’10 High-target of $116.89 or 3Q’10 High-target of $135.80
33. Buying NFLX Calls with strike price near Aug’10 Low-target of $88.20Writing Options with Strike prices near High and Low Monthly targets Buy Signal on Aug 2, 2010 13
34. Portfolio Management Setting the number of portfolio positions Setting frequency of real-time portfolio scan Setting size of trade (less than 0.5% of weekly/monthly trading volume) 14
35.
36. Annual returns for SPY exceeded 20% in 83% of years during 1998-2009
37. Highest return was 56.9% in 2008; Lowest return was 8.4% in 2006
38. Back test assumes cash account and commissions of $0.03 per share15
39.
40. Annual returns for QQQQ exceeded 30% in 92% of years during 1998-2009
41. Highest return was 163% in 2001; Lowest return was 28.7% in 2005
42. Back test assumes cash account and commissions of $0.03 per share16
43.
44. Annual returns for CTXS exceeded 70% in 83% of years during 1998-2009
45. Highest return was 475% in 2002; Lowest return was 37.1% in 2005
46. Back test assumes cash account and commissions of $0.03 per share17
49. Highest return was 305.7% in 2004; Lowest return was 114.6% in 2007
50. Back test assumes cash account and commissions of $0.03 per share18
51.
52. Dr. Tishchenko has worked on real-time quantitative and technical trading for the past 15 years. The latest generation of his system has been successfully implemented for real-time portfolio analysis and market scanning, resulting in effective stock picking, trading, and portfolio risk management. The System was successfully deployed since 2006 at several large technology funds for real-time monitoring of equities trading in the US, Europe, Japan, Taiwan, Korea, Thailand, India, and China. The System has been used to trade commodities and index futures – Oil, Gold, Nasdaq, S&P500 and DJ.
53. Dr. Tishchenko holds a Ph.D. in Theoretical Physics from Institute of Atomic Energy (Moscow) and a M.Sc. in Theoretical Nuclear Physics from Moscow Institute of Physics and Engineering. During his scientific career Dr. Tishchenko’s achievements were recognized by multiple prestigious scientific awards, including the All-USSR Young Scientist of the Year Award and three Kurchatov Awards in Theoretical and Mathematical Physics.19