Search results

I assume we are talking about commodities here (cause rate futures would be yet another animal) so it's a a broad topic, but here are some discrete points: * options on futures usually have inverted volatility surfaces because prompt contract is the most volatile (so volatility ramps up as...

I am on a mobile and high as a kite, so take this with a brick of salt. It's a standard mandatory, conversion below the lower strike at lower strike and above the upper strike at upper strike. The upper strike is 111, which can safely be ignored. Effectively, you are long a $50 cash bond that...

That’s not exactly true. If you’re a fund asking for an investment, in general you not gonna attract bigger FOs unless your AUM is at least a billion. Smaller FOs do invest in smaller managers, but not into true “startup mangers”. However, there are plenty of FOs that who love to invest into...

The reason to use swaps is primarily a PnL transfer to the delta-1 desk of their mothership. Even if the underlying is perfectly liquid, the d1 desk will handle the operations, take on whatever slippage etc.

Well, authorised participants are “involved but not committed”. It’s the manager that actually does rebalancing to follow the index, do whatever else is mandated by the prospectus and, most importantly, monitors risk and makes rare but important risk management decisions. For example, making a...

The two are not the same. Ukraine was attacked by Russia. Gaza attacked Israel on October 7th, 2023. Regardless of what you think about the tactics/strategy/justification of either conflict, it’s obvious who was the aggressor in each case.

Maybe they (Gaza) shouldn’t have started a war they can’t win…

Back of the envelope, at 20% return you’d turn 1k into 240k after 30 years assuming zero volatility. Compounding is a miracle but not a big miracle :)

It’s a different game if you’re managing money. For example, at most hedge funds, they cut your risk in half if you lose 4% - so you have to be mindful of your drawdowns as much as you can

This market needs an enema!

If you exceed the maximum drawdown limit, your “investors” hunt you down and break your knees. So once you hit that number, you pack a bag and head to Uruguay.

Generally, you don’t want to overthink the expected PNL quality when allocating to different strategies (again, since you probably overfit etc) but definitely be mindful of liquidity constraints. For example, if you have a strategy that trades some agricultural futures, you don’t want to size it...

The general thought is that the worst drawdown is ahead of you, due to curvefit and liquidity issues. So you come with heuristics to protect yourself from getting knocked out. Eg if you worst DD is 15% based on the backtests or on some scenario analysis, you size the strategy to 3/4 of the...

Most of the "10 TRILLION" is the gross notional value of various interest rates derivatives (mostly interest rate swaps). The whole thing is monumentally stupid because the actual value of these derivatives is a very small faction of the notional value (which is why the value is "notional")...

You obviously have not seen my car - it’s basically a Ford Model-T but made by some Japanese people

You obviously don’t understand how restructuring works. Do you think Irwing Pickard was working for Madoff when he was doing restructuring of the fund? These are external specialists that are brought in to IRL - investigate, recover, liquidate. They are not friends of SBF any more than a guy...

Hey, definitely don’t judge someone for their car - I drive a beater and actually do this for a living. I am also a cheap person all over and in this business you have to be. One of the best PMs at Point72 drives a Honda Odyssey AFAIK. The issue is really the incentives. In most cases, unless...

There is a general methodology for this type of things. Assuming your position size is proportional to the strength of the signal, you want some sort of min signal size from where you can grow your position linearly while capping it at some max position. Ie min(limit, max(0, signal -...

I love discipline...

@Frederick Foresight obviously, BIS is just a bunch of no-coiners who are bitter that they did not buy BTC. Or, alternatively, they are in pockets of the banking system and shilling for them.