Atlanta, GA (PRWEB) January 22, 2015
Two hedge fund strategies powered by algorithms designed at Lucena Research, Inc., a Georgia Tech startup founded by GT Computing Professor Tucker Balch and entrepreneur Erez Katz, recently placed first and second in the Pro Division of BattleFin's international trading competition.
The tournament, called BattleFin (http://www.battlefin.com), was designed by Wall Street traders Tim Harrington, Brian Tomeo, and Marc LoPresti as a way to find new hedge fund talent.
According to Bloomberg, hedge funds returned only 2 percent on average in 2014, their worst year since 2011. As 2015 begins, funds are shutting down at a rate not seen since the financial crisis with 461 funds closing in the first half of 2014. BattleFin is one way Wall Street is seeking new talent.
"We run the tournaments to find the best investment talent across the world. We are willing to work with early stage managers and strategies that show the most promise," says Tim Harrington.
"We decided to address the massive brain drain from Wall Street to internet start-ups by building an incubator. The platform allows them to trade their investment strategies in a fun and competitive way," says Brian Tomeo.
The trading competition which ended December 31st, ran for three months and attracted participants from around the globe. Lucena-designed strategies snagged the top two spots in the Pro division.
The two strategies, codenamed "BlackDog" and "TieBreaker" are tactical asset allocation and long/short market neutral strategy were built by Balch, Katz and their team at Lucena using Big Data and Machine Learning. The strategies significantly outperformed the market and topped the competition performance metrics of 15 other funds. BlackDog, for instance, returned over 25% in 2014, while TieBreaker returned 9.42% with a Sharpe ratio of 2.47.
According to Balch, "We've built a sophisticated software and supercomputing infrastructure that allows us to quickly build and test candidate strategies. BlackDog and TieBreaker emerged as the best among many hundreds we’ve tested over the last few years."
Awards for the top finishers will be presented in Miami on January 27th.
About Lucena Research
Lucena Research is a leader in decision support technology for investment professionals Lucena delivers quantitative analysis and statistical forecasting based on machine learning technology that enable our customers to exploit market opportunities with precision and to reduce risk in their portfolios.
QuantDesk®, Lucena's flagship product, provides advanced, yet affordable, subscription-based portfolio optimization tools designed to scientifically validate and augment our clients' investment strategies. The product includes five portfolio management modules - Price Forecaster, Portfolio Optimizer, Hedge Finder, Event Analyzer and Back ester. Lucena also provides investment strategies in the form of model portfolio from which customers can derive their own implementation.
Headquartered in Atlanta GA, Lucena supports a wide range of investment professionals worldwide.
To learn more about Lucena, please visit http://www.lucenaresearch.com or email us at: info(at)lucenaresearch(dot)com