Korean Index Fractal Strategy

Korean BBQ, fried chicken, pop groups, dictators, movies (The Host!).

Korea has everything.

Except well performing large cap stocks.

The KS11 index has had a Sharpe of 0.17 since '97.

(Sharpe Trajectories)

Want to put '08 into perspective? See how it pales in comparison to the Asian financial crisis in the '90s.

The fractal strategy doesn't perform as well as when I applied it to the Jakarta Index, but everything's relative.

The Sharpe is 0.46 using the same Hurst strategy code.

Almost a x3 improvement - which is the same order of magnitude of improvement as the Jakarta counterpart.

Making money during the Asian crisis and limiting losses during '08 are very aesthetically pleasing.

It slowly bleeds money for a decade however. Now would be a good time to up with that mythical rotational strategy.

Perhaps it's time I watch Morishigae again to get a little inspiration.