Vincent Kwong

BBG Index Ticker: QMN - Qualis Market Neutral Index

[Vincent Kwong @qualisvalue]

Happy to share the Qualis Market Neutral Index 1-year performance.

Metrics are daily return basis.

Sharpe: 1.85
Vol (unlevered): 2.1%
Beta to US Equities: -0.03

[Vincent Kwong @qualisvalue]

@jaysyoon Rated 5 which is very high for VIC. Most ideas don't even get enough votes for ratings and the usual rating is around 3-4

[Vincent Kwong @qualisvalue]

@orrdavid Check your long factor exposure and short factor separately during the underperforming period, that should tell you something.

[Vincent Kwong @qualisvalue]

Game recognizes game. Respect!

[161phi @161phi]

@orrdavid @MikeFritzell Strong several years

[Vincent Kwong @qualisvalue]

@rev_cap DM a factsheet

[Vincent Kwong @qualisvalue]

@rev_cap So you are saying you have a Sharpe of 2.3? If it's true, I will invest.

[Vincent Kwong @qualisvalue]

@SowingAlphaSeed Ah got it.

[Vincent Kwong @qualisvalue]

@SowingAlphaSeed The sample size will be too small for beta to meaningful no?

[Vincent Kwong @qualisvalue]

@PythiaR @sevencornerscap @OnodaCapital @CorneliaLake You can't. Look at their vol and drawdown profile.

[Vincent Kwong @qualisvalue]

@SingularityRes @SowingAlphaSeed @MidwestHedgie Not a knock on the fund. Return has been strong.

The issue is the near 10% vol and 40% correlation to equities make it a difficult allocation for many institutions.

[Vincent Kwong @qualisvalue]

@Mr_Neutral_Man How did you arrive at $1k/door maintenance capex?

[Vincent Kwong @qualisvalue]

"High vol" gives you a shot is gambler's fallacy.

It conflates the upside of one bet with returns, which is driven by multiple bets compounded over multi-periods.

When you have no edge (avg negative outcome) and introduce high vol, the vol drag ensures financial ruin.

[Vincent Kwong @qualisvalue]

@Mr_Neutral_Man How much of that EBITDA goes to maintenance capex?

[Vincent Kwong @qualisvalue]

@KevinLMak @ptuomov Check your kurtosis

[Vincent Kwong @qualisvalue]

@orrdavid Vol captures the effects of leverage already. Kurtosis measures tail risks, where leverage truely bites.

[Vincent Kwong @qualisvalue]

@cometcalls Jesus is real. God is real. Speaking from personal experience.

[Vincent Kwong @qualisvalue]

@Quant_Kurtis @yuvaltaylor Is the 46% cagr audited?

[Vincent Kwong @qualisvalue]

@ALBACapMgmt These are really good numbers. What's the Sharpe and kurtosis on daily marks if you don't mind?

[Vincent Kwong @qualisvalue]

@DMTCapital @MikeFritzell Going long or short on normalized earnings is a great way to generate alpha as the market always overreact and extrapolate recent trends.

Not easy to get normalized earnings right tho.