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Thats why I mentioned 1/2 Kelly fraction of the max drawdown number. I believe that idea can be considered conservative

which formula is that?

Let's say you have $100,000 and your max tolerable drawdown is $25,000. You would then assume $25,000 is your total capital Then you would calculate the Kelly/Optimal F for your trades. You can then use 1/2 Kelly/Optimal F but you apply the fraction to the $25,000 not the $100,000 Correct me...

Since we are on the subject, which other papers, articles, books do you recommend on the subject of risk management?

I was thinking that exact thing. That fund, its just clear cut. They violated your principles and they guy running it risked his career in an investment he fell in love with. As a result he got fired and now the fund is extremely vulnerable to an avalanche of redemptions should the SPX drop 10%...

The big difference is, the US is so influential no one does a thing about it. Yet Panama was put on the FATF grey list. With these lastest developments, if they don't play ball, I'm sure FAFT will threaten to put them on the black list which effectively removes them from the world financial system

I just find that even if you are right, its ultimatly irrelevant for me. Of course, there is a certain drawdown percentage that anyone will redeem, so far it has not been reached and I believe there is still more protections there but even if they were to be breached, I'm not an investor to his...

Its funny, you, the writer of the paper should be actually a fan of Ackman's strategy (even if you don't like some of his picks). Here is a fund that managed to have 50% of its capital not be subject to redemptions and the 50% have a 1/8 per quarter gate (and a lot of that being long-term...

“Second, if the hedge fund has multiple PBs, its positions are likely to be distributed across different PBs and therefore there is a loss of margin efficiency in that risk across PBs can not be netted. The aggregate risk perceived by each of the PBs will therefore be higher than the portfolio...

So I read your paper. I got to say, its excellent, it should be required reading to anyone running/planning to run a hedge funds I agree with pretty much all of it The thing is, it looks to me that you don’t seem to know the Ackman funds structure deeply enough and that is leading to think he...

I havent had the time to read Martin's paper so let me answer your question which I believe its more clear cut. So you gave three pieces of info, you already have 50% of the assets in US real estate, you want to be "as aggressive as you want" and you have no investors Since capital growth is...

I'm curious, is there a law in the US the prevents a convicted felon from opening an LLC or a corporation? To my knowledge there isn't. Most of the KYC and DD work is supposed to be done by the bank that will deal with the judicial entity and not the law firm incorporating it

From the perspective of a prosecutor, knowing that someone opened a company in Panama is still miles away from being able to prove anything. Panama will take a lot of heat though and I suspect their banking secrecy will be weakned or they will suffer sanctions. They are already semi-sanctioned...

Its not a nobrainer because this is a bit like being long stocks and stocks seem overbought but its a interesting trade that is likely to work or at least not lose anything

Here is a quick trade idea. Short Jan 2017 Fed funds futures. If the Fed doesn't hike this year, you lose 23bps or so, if they hike once you are more or less flat. If they hike twice you make ~25bps, if they do it three times, you make 50bps. I think they will go 1 or 2, maybe 3. I see little...

I'm not sure this leak is all the significant. The swiss leak think came with a lot of banking data, which is far more useful than this. This only proved what everyone knew, certain jurisdictions attract a lot of people wanting quick incorporation with good secrecy. This doesn't prove wrongdoing...

I was sick saturday so I had plenty of time to ramble and discuss. Markets will open in a few minutes today so I can't reply but I will read that paper and answer when I have the time

My own financial plan is to continue day/swing trade and produce income while on the investing side be conservative with a risk party/balanced type approach looking to make 4-6% a year with 10-12% max DDs. I do plan to swtich that conservative approach to a more aggresive allocation if at some...

Of course, there are some further distinctions between emerging markets such as EMs in a currency peg (China), EMs with independent monetary policy (Brazil), dollarized EMs (Panama, Ecuador), etc. But I think my point is that if people in countries like that follow the risk parity theory without...

A typical allocation would be something like 35% in stocks, 55% in bonds and 10% in commodities. In countries like the US or other developed economies, this can work nicely because when stocks fall off a cliff, usually bonds rise, this provides a drawdown cushion to the investor and protects his...