Friday, July 5, 2013

Trust no one?

I'd written quite extensively about the dark side of the Polish discretionary investment funds (the term in vogue is absolute return, now), but I had some hope in the emerging class of Polish quantitative funds.

So far, they rather disappoint, what frankly I much regret :(

The largest of them, UniSystem 1, managed by Union Investment, is down -8.5% YTD.


It has been falling systematically since the opening of the fund to the public in late 2012.

Unfortunately, it doesn't quite look like a simulated results presented in the fund's marketing materials:

One may say, that the fund is just following the trend:

Source: stooq
Note: fund certificates traded on open market are highly discounted (by some 18%)

Indeed, UniSystem 1 seems highly correlated with WIG20, the main index of the Warsaw Stock Exchange.

It is a little strange for a fund marketed as a market-neutral vehicle, aimed at various markets around the world, and willing to benefit from geographical diversification.

There may be something wrong with the investment models the fund employs.

The poor performance of UniSystem 1 has probably been the reason for cancellation of the new issue of the fund's certificates.

The disappointing fund performance is quite sad, especially taking into account that heavily beaten in recent years SuperFund seems to be finally catching some breath this year. Even if it is still behind S&P500:

Source: SuperFund

Nevertheless, I still hope, UniSystem 1 can turn around, and at least stabilize. The case of Provide Able 2 Trend may be a faint hint of such possibility:


Thursday, July 4, 2013

Creating some real value behind digital currencies

While algorithmic trading is moving into the cloud, the cloud is moving into stock exchange :)

Deutsche Boerse is going to start Cloud Exchange, when it will be possible to trade processing power and storage.

It may be interesting to know what entities will be buying computing resources, and if the demand for the resources increases in volatile or in calm times on the markets.

As I wrote a little ago, it may be more difficult to generate higher investment returns in times of low market volatility.

Also, the computation exchange may give some more tangible value to Bitcoin and other crypto or rather digital currencies, that depend on spending processing power on solving difficult mathematical problems. It may even create some possibilities for arbitrage between the price of processing power and the price of the crypto currencies.

Still, I dislike the idea of spending processor cycles and hence burning electricty just for solving some artificial riddles, instead of doing some beneficial computing-intensive calculations, like Folding@Home.

Maybe the introduction of Cloud Exchange will be the first step for creating some more solid fundations for digital currencies.