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Oh sorry, neglected your question about different leverage levels in the same fund. It must be possible, since I know other funds do something similar; many CTAs advertise a 3x type leveraged program. But when I wanted to explore the option, my legal, admin, and audit teams all balked. They...

I would say that there is certainly better risk management, and learning what investors need to hear from me. But really, what was needed more than anything else is just time. If you can deliver performance for an extended amount of time, while other managers/strategies are seen as struggling...

The more I go through the process (wrapping up my 3rd year now)... and as I find some success (tripling my AUM in the past 12 months, doubling over the past 3-4 months alone)... I really see it from both sides. The rewards are so obvious, but the challenges are also huge. My first piece...

No one "audits" an IRA account. Or any other individual account, really. A full on audit entails a study of your operations, cash-flow procedures, and generates full year financial statements. This is what larger investors want to see before they invest. But you can get an accountant's...

That's actually a different topic, although the standard reason why correlation is studied. It's the core of modern portfolio theory. If you look at the expected return of a portfolio (or any random variable), it's just the weighted expected return of each instrument of the portfolio. So...

Because you can trade some form of mean reversion. If relationship deviates from historical correlation, then you place a bet it will reverse itself. (You can phrase that in other ways.... I.e. if A and B are usually correlated and A goes up, then you think B will "follow".) You can also...

Nope, nothing. Only option is to renounce citizenship and move elsewhere. Other than state taxes, nothing else you do will save you a penny from the IRS. (Legally.)

Old thread! Prop firms need just one. Corporates trading investor funds (ie all hedge funds) need 2, but one can be leased. Even so, small, finite number.

This is just a slight, random aside. I have no issues with Mr. Trout... never met/spoken to the man, and know little about him besides what was in the Market Wizards book. But why is it just about every other manager (usually trend-following) I've met, not to mention all those wanna-be...

Really not true. You can't lean long only in a COMMODITY trend following fund and expect to make money. Just take a look at what the NewEdge index did in 2008.

Nonsense. Anyways, more details about both typical components of trend following strategies, as well as performance of top CTAs in this space ($50 billion in AUM), see: http://www.automated-trading-system.com/resources/trend-following-wizards-fund-performance/

Exactly. Horrible article, and I groaned when I read it. Vast majority of trend-following CTAs could do their work with pencil and paper. In contrast, Aug 2007 really was a melt down of (and exclusive to) many quant funds.

I personally don't worry about it very much. In my specific case, the strategy has quite a few moving pieces, and I don't think it'd be trivial for someone to copy it even if I gave them the source code to the primary automated piece. If I were a little more paranoid, I'd probably be careful...

That's kind of the point, yes? I'm saying the exchange has failed in making the financial markets redundant enough to survive (at least temporarily) without human capital. And yes, that IS a failure. I wasn't trying to draw an analogy to Spanish default. I'm saying that we (6.3 billion...

The two choices shouldn't be: - shut down, - have another flash crash. The alternative choice to shut down should be a functioning electronic marketplace. What if some macro event occurs tomorrow..? What if Spain suddenly defaults, and there are no functioning markets for anyone to...

This is beginning to annoy me. CME just announced they're using Friday's settlement numbers for Tuesday as well. What if the markets can't open in time on Wednesday either? Are we gonna go through the end of the month with these bullshit marks? What am I going to tell my investors? This...

Nobody needs to "manipulate" theta or vega or any other parameter. Common mistake is to think of these parameters as inputs that can be manipulated... they're outputs, you calculate them based on what options are currently priced at. So, how are options priced? Market-makers aren't going...

IV doesn't decline to zero as an option expires. The value of the option does, but not IV. Option pricing formulas have a separate time parameter, and most (simpler) models assume static IV. As far as trading underlying, the no-arb proof for Black Scholes says exactly that: the value of an...

For a couple of reasons, which may not apply for all cases: 1) is the taxation issue. Many foreign investors don't want to deal with filing taxes in the US, for ANY reason. 2) regulatory issues with foreign ownership of some securities. But in my case, since I'm a futures only fund...

There are no legal problems with doing this at all. Foreign investors might be the ones complaining about taxation issues (since they have to send in their equivalent of a 1040 - they have no US tax id number + deal with withholding).... But the US otherwise welcomes foreign investors...