Self-Tuning Trading Strategy for S&P 500 (YK0101), Russell 2000 Small-caps (YK0102), and Emerging Markets (YK0103)

Strategy Description:

These strategies aren't programmed with rules per se - rather, they're designed to "learn" from the markets. Each day the strategies scrap all of their assumptions and reanalyze the markets based on the newest available data. In timer parlance, this is called "self-tuning" and in theory, the strategies should adapt to not just changing market conditions, but changes in the fundamental way the markets work.

These strategies trade the S&P 500, Russell 2000, and Emerging Markets (BONY 50) both long and short with leverage, allocating between 0% and 100% of the portfolio on any given day depending on the strategy's confidence in that day's analysis.

These strategies were designed to be additions to a well-balanced portfolio, not core holdings. They exhibit significant daily volatility, and for all intents and purposes, no correlation to the broader equity markets.

Y. Kuo is a graduate student from National Taiwan University. She began developing trading models as an undergraduate after being exposed to quantitative analysis as part of her coursework. She credits her strength in advanced mathematics (a cornerstone of the Chinese education system) for her success in strategy development. She prefers to focus her research on the U.S. markets because of their maturity and liquidity.