Short-Term Asian Trader

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Short-Term Asian Trader  Vegasoul Capital-Vincent Wong

“We’re a CTA located in Asia, trading global markets. There aren’t many CTAs in the regions doing that successfully.”Meet Vincent Wong as he explains why his Vegasoul Fund has an edge over its competitors in the Asian market. “We come to the game with a
different perspective than other CTAs located in the U.S. or Europe. We probably have more Asian market exposure than any CTAs out there,including some niche and emerging markets that are not accessible to them because of regulatory restrictions, such as the local Taiwanese stock index. Our first systems were initially developed on Asian futures data,and it still surprises me that the same systems seem to work across global markets.”In the two years it has been accepting outside allocations, Vegasoul has amassed $70 million under management, equally sourced from European and Asian institutions, funds of funds, banks and high-net-worth investors, and has generated a compound annualized return of 49%.
Mr. Wong opened Vegasoul Capital in 2004 in order to provide an infrastructure for his personal trading. He had returned to his native Hong Kong three years earlier after graduating from Monash University in Melbourne with a degree in economics, and with money borrowed from his family had begun experimenting with the futures trading program he’d developed. The trading, which soon expanded to 40 markets,went well, and after three years was taking up most of his waking hours. Being caught up with the routine maintenance of the systems,” he says. “I had no time to focus on the most important aspect of trading, which is research. Vegasoul was launched not so much to manage investors’ money, but to provide a platform to expand the scope of my personal trading.”Vegasoul invested heavily in IT and building a top-notch research team, which now includes several Ph.Ds. When the process was finished, Mr. Wong decided to consolidate his accounts and raise outside capital for the Vegasoul Fund,which started trading in June 2005.
Most of his own capital is also invested in the fund. Asset Allocation Is Key Vegasoul is predominantly a high-frequency trading program. Its 100% systematic program has two main components: 80% to 90% of assets are allocated to a short-term component with an average holding period of less than one day, and the rest goes to a long-term trend-following module. The short-term component,which has both trend-following and mean-reversion elements, tries to capture short-term momentum that manifests itself as a trend day: the market opening on a high and closing on a low, or vice versa.Although easy to spot on a chart, trend days don’t occur often, says Mr. Wong. The problem for the trader is to keep the losses as small as possible while waiting for those days to materialize. “We are old-school in this sense,” he says. Vegasoul uses pattern recognition and trend-following futures to identify the probability of such days happening.

For the reversal part of the short-term component, the firm’s traders try to find times when the trend days don’t materialize,when false breakouts may occur.These abortive trades will have a very good risk/reward. So if the trend-following trade doesn’t work out, the reversal usually does; together these two elements have a slightly negative correlation, nicely complementing each other at the portfolio level.

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standalone trend-following model like everybody does, we have incorporated it as one of the factors that influence our asset allocation. Hence, our asset allocation algorithm is the strategy itself.”Mr. Wong says that allocating capital across markets is the most critical investment decision at Vegasoul. “We have developed a robust asset allocation algorithm to do this. The traditional problem in mean-variance analysis is that portfolio weights are highly sensitive to expected return estimates and hence can be extremely unstable over time,limiting this cornerstone of portfolio theory’s applicability for practitioners.”He says there have been many attempts to remedy this problem in academic literature, but Vegasoul has found them to be unsatisfactory. “We believe we have found an elegant solution that takes into account all the factors that a practitioner would face in the real market. The process The long-term trend-following component of Vegasoul’s program, which is not correlated with short-term component, is unique in the sense that the strategy is embedded in the portfolio construction process, says Mr. Wong. “We have found that entry and exit points are relatively unimportant, and any reasonable trend-following strategy will provide you with an edge. By way of analogy, it’s close to impossible to build a better mousetrap. Instead of developing a mimics evolution as it happens in nature,and the portfolio is self-adaptive to changing market environment. Changes to the weights are size increments that are relative to the statistical significance of recent data The fund is active in 80 or so markets, covering a broad range of asset classes, including currencies, fixed income securities, equity index futures and agricultural-related securities and derivatives. It does not cherry-pick markets, but will trade any one that has sufficient liquidity.

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Toward Multiple Strategies Mr. Wong says he is not actively raising assets at present. “We should put our focus on building the track record, and if we have
the results, the money will just come in. Marketing, per se, will not increase the fund’s return, and is probably negatively correlated
to it.” As to the future, he says he sees a lot of interesting developments on the horizon. Vegasoul is actively developing an equity-trading model and an option-trading
model. The firm’s goal, says Mr.Wong, is to break out of the confines of a CTA box, and develop into a multi-strategy fund. Vegasoul Capital is staffed by 23 people—Mr. Wong considers the firm’s size another one of its distinguishing characteristics.
These include seven people in trading; two in back office; four in research and the rest in IT. The firm’s head of research, Lewis Chan, has a doctorate in econom-
ics from Harvard University, and senior research analyst Andy Leung has a doctorate in physics from Cambridge University. Mr. Wong is involved in both the business and the research aspects of the operation.

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為了快速看文。請出孤狗機器人翻譯。翻的不好請多見諒。

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短期亞洲交易Vegasoul資本黃福

“我們是稅務師位於亞洲，全球市場交易。 那個再不是很多註冊稅務師在該地區成功地這樣做。“會見黃福他解釋為什麼他的Vegasoul基金有優勢超過其競爭對手在亞洲市場。 “我們來比賽的
不同的觀點比其他註冊稅務師設在美國或歐洲。也許我們有更多的亞洲市場的風險比任何註冊稅務師在那裡，包括一些利基市場和新興市場是他們無法獲得由於監管限制，如台灣地區股票指數。我們的第一個系統初步形成亞洲期貨市場的數據，至今仍令我感到奇怪，同樣的系統似乎全球市場的工作。“在兩年內已接受撥款外，Vegasoul積累七千點○○萬美元管理下，同樣來源於歐洲和亞洲的機構，基金中的基金，銀行和高淨值投資者，並產生了複合年回報率49％。
黃先生打開 Vegasoul資本於 2004年，以提供一個基礎設施，他的個人交易。他回到他的家鄉香港3年前畢業後在墨爾本莫納什大學的經濟學學士學位，並借來的錢從他的家庭已開始嘗試與期貨交易他會發展計劃。該交易，很快擴大到40個市場，進展順利，3年後佔去了他的大部分醒著。正趕上了日常維護的系統，“他說。 “我沒有時間把重點放在最重要的交易，這是研究工作。 Vegasoul發起與其說管理投資者的資金，而是提供一個平台，擴大範圍，我個人的交易。“Vegasoul在IT投入巨資，建設一流的研究隊伍，現在包括幾個 Ph.Ds.當這一過程完成後，黃先生決定，以鞏固其帳目，提高外部資本的Vegasoul基金，該基金開始交易2005年6月。
他自己的大部分資金也投資於基金。資產配置是關鍵 Vegasoul主要是高頻率的交易程序。其100％的系統程序有兩個主要組成部分：80％至90％的資產分配給短期組成，平均持有期不到一天，其餘的都到了長期趨勢跟踪模塊。短期組成部分，既有趨勢跟踪和均值回歸的元素，試圖捕捉短期勢頭，表現出來的一種趨勢日：開放市場上的高，收盤低，或副versa.Although很容易看到的圖表上，趨勢天數不經常發生，黃先生說。對這個問題是保持交易的損失盡可能的小，而等待那些日子裡實現。 “我們是老朋友，學校在這個意義上，”他說。 Vegasoul利用模式識別和趨勢跟踪期貨，以確定這些天的概率發生。

為扭轉部分短期部分，該公司的交易員試圖找到時候趨勢天數不兌現，當假突破可能occur.These未遂行業將有一個很好的風險 /回報。因此，如果趨勢跟踪交易不工作時，通常不會逆轉，這兩個因素一起有輕微的負相關關係，很好地相互補充，在投資組合的水平。

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獨立的趨勢跟踪的，就像每個人做，我們已經將它作為一個因素影響我們的資產分配。因此，我們的資產分配算法是戰略本身。“先生黃說，整個資本市場的分配是最重要的投資決定在Vegasoul。 “我們已經開發出一個強大的資產分配算法做到這一點。傳統的問題均值方差分析認為，投資組合權重，高度敏感，預期收益率的估計，因此極不穩定，可隨著時間的推移，這限制了投資組合理論的基石的適用性從業人員。“他說，曾經有多次試圖解決這個問題在學術文獻，但Vegasoul發現他們不能令人滿意。 “我們相信我們已經找到解決方案非常出色考慮到所有因素，一個醫生將面臨真正的市場。這個過程的長期趨勢跟踪組成部分Vegasoul的計劃，這是不相關短期組成部分，是獨特的，也就是說，這個策略是嵌入在施工過程中的投資組合，黃先生說。 “我們發現，進入和退出點相對不重要的，而任何合理的趨勢跟踪策略，將為您提供優勢。通過這樣的比喻，這幾乎是不可能建立一個更好的捕鼠器。而不是模仿的演變發展，因為它發生的性質，以及組合自適應不斷變化的市場環境。更改的權數大小的增量是相對意義的統計數據，該基金最近活躍在80個左右的市場，涵蓋了廣泛的資產類別，包括貨幣，固定收益證券，股票指數期貨和與農業有關的證券和衍生產品。它不櫻桃挑選市場，但任何一個行業具有足夠的流動性。

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對多種戰略黃先生說，他並沒有積極提高資產的存在。 “我們應該把我們的重點建設的業績，如果我們
結果，這筆錢剛剛進來，市場營銷，本身不會增加基金的回報率，並可能是負相關
它。“至於未來，他說，他看到了很多有趣的發展，在地平線上。 Vegasoul積極發展股權交易模型和期權交易
模型。該公司的目標，黃先生說，是為了擺脫了束縛的稅務師框，並發展成為多策略基金。 Vegasoul資本的工作人員為 23人，議員。黃認為，公司的規模的另一個顯著特點。
其中包括七人交易，背面的兩個辦公室，4個研究和其他資訊。該公司的負責人研究，劉易斯成龍，有博士學位的經濟投資，
集成電路由哈佛大學和高級分析師安迪他擁有物理學博士學位劍橋大學。黃先生參與為企業和研究方面的運作。

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翻譯得怪怪的

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Vincent Wong=黃福
他看到了很多有趣的發展，在地平線上

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回復 7# hkcarnby


    機器人的水準就是這樣子。

google翻譯可以快速抓出keyword，對閱讀者還是很方便。
尤其是日文、韓文，這種完全看不懂的語言，
用google翻譯多少能看一些。