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Alternative Market Briefing

Sydney firm eStats to launch high frequency strategy in October

Wednesday, August 25, 2010

From Precy Dumlao, Opalesque Asia:

Sydney-based private proprietary trading firm eStats Funds Management Pty Ltd has announced plans to launch an ultra-high frequency global futures trading strategy called eStats Revolution Fund in October.

Revolution Fund will not charge management fee and all possible fund operational costs are to be shouldered by the firm.

eStats added that the company has been operating the strategy on a proprietary basis approximately since 2007: “Over that time, the manager has generated an after fee return of 85% per annum with a Sharpe of 1.8 with 76% positive months. The track record since inception has recently been verified by the manager’s auditors - Ernst and Young in Sydney. The manager charges a 49% performance fee on trading profits above actual interest income earned on an end of month high water mark basis.”

A key feature in the eStats trading program is to gain from market microstructure dynamics, the company stated in a statement.

“The algorithms are generally ultra-high frequency liquidity making trading strategies, which profit from counterparties requiring immediacy and crossing the bid/ask spread. Liquidity taking is used to reduce risk. Trades are generated and executed automatically in the manager’s secure data centers on high performance servers co-located and directly connected to each electronic futures exchange matching engine, with specially designed software and network infrastructure enabling ultr......................

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