Thanks to Dan for making the daily returns of the live trading available. As payback, I did a quick and dirty notebook that analyzes the returns. A few notes:
There are returns missing for 9/17, 9/24 and of course Simon's 8/25 performance the day after the market sell-off. For completeness, Q should fill in these dates.
Included are some different stats that might be of interest, including the batting average for each contestant. Daily returns and standard deviations are reported in basis points.
I computed the fund performance based on daily returns of the entire portfolio including new contestant capital on the day it was deployed. I did not remove the capital after Grant's strategy ended, improving overall performance by 10bps.
The correlation matrix shows a high correlation (0.76) between Grant's and Jeff's strategies.
If this was the Q Hedge Fund, it would be down -8.8% since inception.
The notebook won't run on Q's platform because I open a URL (with their data, go figure), but should run fine on your own Jupyter server. Apologies for the hack job, but you can check my assumptions this way.
