Tom Rollinger was a portfolio manager for the legendary quantitative hedge fund manager, Edward O. Thorp.
He's now owns & runs the multi-award-winning systematic commodities hedge fund firm, Red Rock Capital.
During his tenure with Dr.Thorp,
Rollinger co-developed & co-managed the
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Rollinger studied quantitative trading system development & analysis under Edward Thorp. While with Thorp, Rollinger was co-portfolio manager and director of trading for a $9 billion institutional investor for whom they implemented the secretive System X.
"Thorp had decided to take the reins himself once again. He'd developed a strategy that looked promising. (What was it? Thorp wasn't talking.) In early 2008, he started running about $36 million with the strategy. By the end of 2008, the strategy - which he called System X to outsiders - had gained 18 percent, with no leverage."
Did you ever use a trend following strategy?
“I did. We began the research project in 2006, and launched the trading program in late 2007. It was promising, and we were thinking of bringing it up in large scale with institutional money. But in early 2010 my wife was diagnosed with brain cancer, and my heart wasn’t in it. Life is too short. I didn’t want to launch another major activity, so we gradually wound down the program."
What kind of Sharpe ratio was your program running?
“It was a little better than 1.0 annualized.”
“…it would have been a good product, and it seemed to be better
than most of the other trend following programs out there that were managing a lot of money.”
The strategy Rollinger co-developed & co-managed with Edward O. Thorp was also referred to as "System X" in the New York Times Bestseller The Quants:
Disclaimer: Past performance is not necessarily indicative of future results. Futures trading involves substantial risks. The information on this website is for informational purposes only.
quantitative trading strategy that Thorp describes in Jack D. Schwager's best-selling Hedge Fund Market Wizards:
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