The Flyer FOREX Fund (FFF) began trading real money in 2010. The only student-run fund in the country, it currently has 20 students and an 18-member advisory board. It generates alpha by trading the four-hour euro and Australian dollar spot markets using a non-discretionary algorithmic model. The model, which is not coded and manually calculated, uses trend indicators such as exponential moving averages (EMA), momentum, volatility and the girth indicator (see “Adding girth to your profits,” December 2008). The techniques are technical. The students chase the crowd, using trend volatility as the primary trend indicator and timing techniques for identifying the sweet spot for profit.
Since inception, the FFF has produced a 30.73% gross return through Sept. 28. Capital under management has grown by 312%. While actively trading, the fund has had a maximum book leverage of 3.3:1 and a minimum book leverage of 2.2:1. We began trading with approximately $2,000 and we currently have about $12,000 under management.
Because of the ever-changing market environment, we are updating and innovating our model constantly to optimize it. Since 2010, we have developed 10 models in addition to the original. Model development has overtaken our risk capital and, at maximum leverage, we are over-leveraged slightly. With a maximum target risk leverage of 2:1, we would need to increase our risk capital to approximately $25,000. Actual results are shown in “Fund results and targets” (right).
While the FFF is run by students out of the Hanley Trading Center, University of Dayton School of Business Administration, the fund is owned by Professor Leslie K. McNew (leverage is beyond of the scope of money managed by the university). The primary sources of fund capital are McNew, student dues and dues from advisory board members.