Gladiator Hedge Fund

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The Real American Gladiators Miguel Abugattas • Kathryn DeStena • Bill Erickson • Catherine Garza Kathryn Keith • Jeffrey Nelson • Jordan Scribner • Regan Spence

description

For our Finance 421 class we developed a hedge fund managing $30M based on FCF/EV, ROIC and Reversal.

Transcript of Gladiator Hedge Fund

Page 1: Gladiator Hedge Fund

The Real American Gladiators

Miguel Abugattas • Kathryn DeStena • Bill Erickson • Catherine Garza

Kathryn Keith • Jeffrey Nelson • Jordan Scribner • Regan Spence

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Strategy

• FCF/EV

• ROIC

• Reversal Factor

• Market Cap

• Long-Short

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Research

Joel Greenblatt

• FCF/EV

• ROIC

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Research

0%

0.75%

1.50%

2.25%

3.00%

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Average Monthly Reversal Returns by Decile

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Reversal Return (no transaction costs)S&P 500 Return

$1

$10

$100

$1000$706

$10

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ResearchJa

n-83

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84Ja

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86Ja

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88Ja

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90Ja

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92Ja

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94Ja

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98Ja

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02Ja

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06Ja

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Reversal Return (with transaction costs)S&P 500 Return

$1

$10

$100

$1000

$144

$10

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Implementation

• Composite Score

• Rank and Eliminate

• Trade - Market Cap, Long-Short

• Reversal

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Performance

27,000,000

29,750,000

32,500,000

35,250,000

38,000,000

1/24/0

8

2/1/08

2/12/0

8

2/22/0

8

3/4/08

3/13/0

8

3/25/0

8

4/3/08

4/17/0

8

Gladiator ReturnsS&P Returns

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Performance

-4.00%

3.25%

10.50%

17.75%

25.00%

1/24/0

8

2/1/08

2/12/0

8

2/22/0

8

3/4/08

3/13/0

8

3/25/0

8

4/3/08

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Gladiator Daily ReturnsS&P 500 Daily Returns

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Performance

0

1,625,000

3,250,000

4,875,000

6,500,000

S&P 500 Gladiator

Return on Investment

$761,596

$6,382,028

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Performance

ROI 21.1%

Annualized ROI 115.1%

Our Fees $1,460,400

$182,550 per person

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What We Learned

• Views on Industry

• Validity of Efficient Markets Hypothesis