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PAIRS TRADING PANEL

PAIRS TRADING PANEL. Steve Slavin - Co-Founder of PairTrader.com Ron Schelling - Founder of 2Hedge.com Douglas Ehrman – CEO and Co-Founder of PairsTrading.com John Greeley - Moderator. Global Hedge Fund Industry Assets Exceed $1 Trillion.

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PAIRS TRADING PANEL

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  1. PAIRS TRADING PANEL • Steve Slavin - Co-Founder of PairTrader.com • Ron Schelling - Founder of 2Hedge.com • Douglas Ehrman – CEO and Co-Founder of PairsTrading.com • John Greeley - Moderator

  2. Global Hedge Fund Industry Assets Exceed $1 Trillion • The $25 billion Pennsylvania State Employees' Retirement System pension doubled its allocation to hedge funds to 20% last year. • Massachusetts' state pension fund has allocated $1.6bn to hedge funds in one of the largest single block allocations in the US.

  3. Arden Asset Management Ivy Asset Management K2 Advisors Silver Creek Pacific Alternative Asset Management Company Blackstone Alternative Asset Management Pacific Alternative Asset Management Morgan Stanley Alternative Investment Partners Mesirow Financial Advanced Strategies Funds of Funds

  4. ALTERNATIVE INVESTMENTSSTYLES • CONVERTIBLE ARBITRAGE • DEDICATED SHORT BIAS • EMERGING MARKETS • EQUITY MARKET NEUTRAL • EVENT DRIVEN • FIXED INCOME ARBITRAGE • GLOBAL MACRO • LONG/SHORT EQUITY • MANAGED FUTURES • MULTI-STRATEGY

  5. Equity Market Neutral: Statistical Arbitrage utilizes quantitative analysis of technical factors to exploit pricing inefficiencies between related equity securities, neutralizing exposure to market risk by combining long and short positions. The strategy is based on quantitative models for selecting specific stocks with equal dollar amounts comprising the long and short sides of the portfolio. Portfolios are typically structured to be market, industry, sector, and dollar neutral

  6. EQUITY S & P 500 MARKET TOTAL NEUTRAL RETURN AVERAGE MONTH BEST MONTH WORST MONTH MONTH STD DEV ANNUAL STD DEV BETA (vs S&P 500) SHARPE

  7. Manager of managers Frank Russell has appointed Jacobs Levy, who is widely recognized as one of the top firms in the quant industry, both in terms of theory and practice.”

  8. D. E. Shaw group has made a conscious effort to build a small team of extraordinarily gifted professionals, each among the very best in his or her profession. • recruitment of world-class mathematicians, computer scientists, researchers, traders, and high-tech entrepreneurs • has been described as “the most intriguing and mysterious force on Wall Street.”

  9. PAIRS RELATIVE (CBRL-IHP)

  10. 50 DAY ROC (CBRL-IHP)

  11. 50 DAY ROC DIFF (CBRL-IHP)

  12. PAIRS RELATIVE (GP/MWV)

  13. 50 DAY ROC (GP-MVW)

  14. 50 DAY ROC DIFF (GP-MVW)

  15. PAIRS RELATIVE (K-GIS)

  16. 50 ROC (K-GIS)

  17. 50 DAY ROC DIFF (K-GIS)

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