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From: Michael Fowler To: Lesley Groff <1 Subject: Re: ATorus - Daily Portfolio Report
From: Michael Fowler To: Lesley Groff <1 Subject: Re: ATorus - Daily Portfolio Report 2/6 Date: Fri, 07 Feb 2014 19:20:00 +0000 Attachments: Atorus_BacktestNAV_020614.pdf Lesley, My
distribution of returns, IN VOL DAYS and over a given interval of time, follows a Pareto-like distribution. By "indexing" our position sizing (e.g. Kelly Criterion like) to vol, we are always "in" the positions that represent the majority of returns and scale those returns by adding to them, without dollar cos
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From: Michael Fowler To: Lesley Groff <1 Subject: ATorus - Daily Portfolio Report 2/6 Date: Fri, 07 Feb 2014 18:57:21 +0000 Attachments: Atorus_BacktestNAV_020614.pdf Lesley, Please
From: Michael Fowler To: Lesley Groff <1 Subject: ATorus - Daily Portfolio Report 2/6
distribution of returns, IN VOL DAYS and over a given interval of time, follows a Pareto-like distribution. By "indexing" our position sizing (e.g. Kelly Criterion like) to vol, we are always "in" the positions that represent the majority of returns and scale those returns by adding to them, without dollar cost
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From: Lesley Groff Sent: Friday, February 7, 2014 7:25 PM To: Jeffrey Epstein Subject: Fwd: ATorus - Daily Portfolio Report 2/6 Attachments: Atorus_BacktestNAV_
From: Lesley Groff Sent: Friday, February 7, 2014 7:25 PM To: Je
distributio= of returns, IN VOL DAYS and over a given interval of time, follows a Paret=-like distribution. By "indexing" our position sizing (e.g. Kelly Criterion=like) to vol, we are always "in" the positions that represent the majority o= returns and scale those returns by adding to them, without dollar cost
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