Hearts and Minds IPO Oversubscribed?

I just got an email with my allocation of shares in this IPO. It's 82% of what I requested and the settlement dates and first trading date have been brought forward. So looks like the IPO is oversubscribed and closing early.

Overfitted

When I started trying to backtest the model with my new program the performance was bad, worse than I expected and worse than backtests I'd done previously. Recent changes to the model seem to have overfit it to the recent data. Therefore, we can't rely on the model going forward. This will need thorough investigation and in the mean time I'll stop trading.

Hearts and Minds IPO

Another Australian IPO of a listed investment company (closed end fund). This one has a twist – there are no management fees and the directors have waived their fees too. Instead of receiving a fee, the managers will donate 1.5% of NAV each year to charity. The board of directors include local investing luminaries like Geoff Wilson and a long list of wealthy Australian families (such as the Lowy family) have agreed to make investments in the fund.

The fund is a long only fund investing in Australian and international stocks. Each year several Australian investment managers present at the Sohn Hearts and Minds conference their best investment picks for the coming year. 40% of the fund will be allocated to these picks. 60% will be allocated to "high conviction ideas" from a number of other "core" investment managers. In total the fund will invest in about 25 securities.

The picks from the last two conferences have done very well:

One of the core investment managers is Regal, whose hedge funds have done extremely well.

In summary, I think this looks like being another good investment opportunity.

Results for the S&P 500

These are the results of the year to date for the S&P 500 model, again without stops. As volatility is lower than the NASDAQ index, returns are lower but are still very good:

Alpha       0.47948 Beta      -0.22355 ror       0.46115 Sharpe       2.62376

Again these are annualized values. Annualized rate of return is 46% for this year.

P.S.
I've now written all the code including stops for NQ and ES. Stops only detract a little from performance for ES but quite a bit for NQ. This suggests that we should use wider initial stops, just to avoid catastrophe, rather than to get out of ordinary bad trades.