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I happened to find this LJM performance summary from the end of 2007. http://www.ljmpartners.com/downloads/BarclayRankingReport_December2007.pdf 3-yr Sharpe was "only" 2.3 or so. Actually this other report shows a much lower sharpe over the same period...

Oh, and I should add... if he does manage to shoot 65 or less every time he plays Pebble Beach, then he should get ready to be a super star. Nike sponsorship, million dollar paydays, women parachuting down from the skies... name it, it's all yours. Same is true if you can maintain a...

No, if you read carefully, the two criticisms can be easily merged: - Sharpe is a very flawed measure of skill (or attractiveness of investment) for some strategies, - for those strategies in which Sharpe is even useful as a measure, there are years (and decades) of publicly available...

Perhaps it's all just a coincidence, then, that trading superstars all seem to fear public scrutiny and "becoming an employee".

True, so you can use Sortino as an alternative if you'd prefer. But from everything I've seen, Sharpe and Sortino are closely correlated with enough trading history. That is, no reason to think there are a lot of strategies out there with a positive skew.... trend followers tend to argue otherwise.

The financial rewards of managing OPM is obvious (it's free upside leverage: increase your gains without affecting downside), which is not to say choosing to manage OPM is the choice for everyone, for any number of reasons. Again, I have no idea what rallymode's performance is. I will just...

I'm not going to debate your "intent", as the time and effort needed to audit your records isnt worth the ego boost I get from winning an Internet debate. I have no idea what your performance is. As far as capacity, CTAs listed on those sites range from the tens of thousands to the tens of...

I don't think you can blame the rest of us for not being aware of your performance. What I think is amazing, is that the people who can achieve a Sharpe of 4+ for the past 5 years are always anonymous online posters, and never managers with publicly audited performance records. Feel free...

Just my 2 cents... Sharpe ratio is meaningless from a manager evaluation point of view, (especially on a short time frame) without a deep understanding of how/what you're trading. Simple example: if you're doing some kind of mean reversion / martingale / doubling down on losses... every...

If the ICE makes one simple decision, they'll get at least part of my business: open up trading between 8:15 AM - 10:30 AM EST, avoiding the ridiculous gap in time the CME continues to perpetuate. How many market-moving reports are published in that time frame, USDA and beyond? And we can't...

Of course every investors high water mark is calculated separately. This is so obviously common sense.

Floor traders have always cheated, which is exactly why there are so many rules about trading on the pit. Electronic trading eliminates a lot of the easiest ways to cheat. I believe I read the CFTC enforcement release on this case. One pit trader executed a large order (treasuries?)...

Haha I wish. No one will pay to read an interview with me. I'll settle for an investment from his fund... :). Up in the air.

I've had the opportunity to talk at length with Jack in recent weeks (he's working as a portfolio manager on a soon to launch FoF). I don't know how he "used" to be, but he certainly seems very, very sharp to me. He had a better understanding of my strategy, and asked far more insightful...

CL dropped $10 in a single day last May, which caused BlueGold to lose a ton of money... but the move last year was very gradual/measured, no major falls (until panic around close as they finally broke $100). This is totally different. A $3 move in the span of 2 minutes (with much of it in a...

Yes, I believe the answer is lease = assignment. Don't hesitate to reach out to the CME directly to ask; they have staff which will ultimately be looking at your application... so doesn't hurt to have them involved now.

Heh, I'm kind of embarrassed to admit this... but no, I never went through with it. I got the initial paperwork done, but they had a few bureaucratic issues they wanted me to follow up with (pseudo-silly stuff like organization chart, etc, etc). And I just got caught up in other stuff, so...

Instead of buying a dedicated laptop + UPS... I'd suggest you look into a collocated solution. If not a dedicated server, then something like Amazon EC2 would be a great option. Much lower startup cost, and you only pay for what you use. You also have much greater confidence your feed/power...

OH MY HOLY. Why didn't I know this existed!?

I use it, specifically for the built-in RFQ support. My other chosen front end doesn't support Globex RFQ, unfortunately. What's your question...? It's not flashy, but it gets the job done.