“ Together Everyone Achieves More ”
ABOUT
LION FUND is a virtual trading game investment fund. Its partners are graduate students of the Master 203 (Paris Dauphine University), MSc in Financial Markets.
With EUR 100M in AUM, we strive at combining a quantitative investment approach with fundamental and technical analyses over European stocks (EuroStoxx50). Lion Equities was launched on Tuesday January 20th, 2015.
We rebalance our portfolio on a weekly basis. Daily and weekly reports on our performance and exposition breakdowns are put online every week.
Game objectives and rules:
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7% Return by March 27, 2015
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Max drawdown < 10% (Max 2% per position)
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Max absolute exposure = 200%
Philosophy
" All models are wrong but some are useful. "
- Georges E.P. Box
" An investment operation is one which, upon thorough analysis, promises safety of principal and an adequate return. "
- Benjamin Graham
“ Honesty is a very expensive gift. Do not expect it from cheap people. ”
- Warren Buffett
INVESTMENT APPROACH
3-Step Process
1. Long term Quant Approach. We first rank the EuroStoxx50’s components with their respective adjusted Sharpe ratios computed over the past 2 years (risk adjusted). We then cross these results with a CAPM regression between each stock and their benchmark ranking Alphas and Betas. We end up with Max 10 “Best” Stocks and Max 10 “Worst” stocks based on these indicators. These stocks stand as our Filtered Universe.
2. Short term Fundamental and Technical approach.
3. Final allocation based on a risk minimization (min VaR).
Technical Analysis Example: Intesa Sanpaolo SpA
At the fund's inception, the price crossed the 50 and 200-day moving averages, which exhibits a perfect market timing for a buy, supported by the Relative Strength Index (RSI). First positive exposure set to 18%, later increased to 30% since we believed it held more upward potential.
4 weeks later, we saw that the price is still above the 30, 60 and 90-day moving averages and broke the upward trend channel as well as the resistance level at 2.63.
Additionally, volumes were piling up again, crossing both the 10 and 20-day moving averages. Which led us to hold our position.
" Securing Precision "
DISCLAIMER
This website is being provided to you solely for information purposes and does not constitute a real offer or solicitation of an offer or any advice or recommendation to purchase any securities or other financial instruments and may not be construed as such.
All written content is for information purposes only. Nothing on this website should imply that past results are an indication of future performance. LION EQUITIES is not registered as a UCITS IV compliant fund, nor any other regulatory body, since it is a virtual trading fund designed to simulate real performances within a virtual UCITS framework.
The information set forth herein has been obtained or derived from sources believed by LION FUND, it is not guaranteed as to its accuracy and is not to be regarded as a representation or warranty, expressed or implied, as to the information’s accuracy or completeness, nor should the attached information serve as the basis of any investment decision.
This website is intended exclusively for the use of the person to whom it had been delivered by LION FUND. The views and opinions expressed herein (including the reports’ comments) are solely those of the virtual fund’s partners.
