Case File
efta-efta01098760DOJ Data Set 9OtherDAISUKE FUJITA
Date
Unknown
Source
DOJ Data Set 9
Reference
efta-efta01098760
Pages
1
Persons
0
Integrity
No Hash Available
Extracted Text (OCR)
Text extracted via OCR from the original document. May contain errors from the scanning process.
DAISUKE FUJITA
Strategy Summary
Performance Statistics (2012)
3 different, statistical arbitrage strategies in US equity
Sharpe
Gross
Notional
Max
Drawdown
Max one
loss
Profit of $3.5m and Sharpe of 5.0+ (2012)
$3.5m
5.0+
$50m
"400k
"100k
Positive in every month
Skillsets
Turnover: - 100%
Holding period: 10 minutes to 24 hours
Alpha idea generation
Research with historical tick data
Strategy Breakdown (2012)
C++ implementation
Strong understanding on US auction mechanism
Descriptions
Gross
Notional
Sharpe
Experience in latency reduction
#1
Intraday; Reversion
$2.3m
$25m
—5.0
#2
Overnight; Reversion
$0.5m
$20m
—2.5
#3
Intraday; Momentum
$0.7m
$15m
-7.0
EFTA01098760
Forum Discussions
This document was digitized, indexed, and cross-referenced with 1,400+ persons in the Epstein files. 100% free, ad-free, and independent.
Annotations powered by Hypothesis. Select any text on this page to annotate or highlight it.