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When I got out of school I thought the universe is a friendly place. Now I understand the advice about getting a dog.

How did you come up with 2500? Fed balance sheet SP500 800B 666 3T 2500

Thanks for the reply Smoker. No doubt the requirement to handle size makes alpha harvesting significantly more difficult.

Smoker, what performance metrics are expected of you, assuming you are uncorrelated with other managers. (stuff like MAR, sharpe, return, volatility, max drawdown, length of drawdown etc.)

The beatings will continue until morale improves.

Some good advice here. Taking a job in the industry will open her eyes as to what she is up against. To win at the speculation game you need to beat some of the smartest, most cunning, ruthless, well capitalized, mean SOBs on the planet at their own crooked game. You should not sugarcoat...

I would not call this slippage. Simply a better model, long term persistence enhanced with short term mean reversion. For me slippage is the pound of flesh you feed the market infrastructure. What does it cost to enter and immediately unwind the same position. It is never positive unless...

I do not know another simple topic wrapped in more sophistication and obfuscation than money. The vast majority of humans take the blue pill. Taking the red pill can get you severely depressed.

I agree that on an IB prop desk, due to virtually zero trading costs, cheap financing, access to order flow etc. one can implement "public" knowlege strategies and make money. You don't have to fear other capital competing your edge away because for most sell side firms prop trading is a...

I was referring to original research as valuable, something that is not yet "public" knowledge. The weak negotiating position comes from the fact that once revealed, there is no way to protect an original strategy. While it is true that many that play the alpha zero sum game (more like...

I think quant trading IP is valuable. Otherwise why is it impossible to find out what RenTech is doing, or why were the turtles bound to silence for so many years and as soon as they started talking their stuff stopped working, or why Goldman sued the russian guy that stole their HFT code...

Creating money/credit via fractional reserves plus control or advanced knowledge of the easing/tightening cycle of such reserves is as close as it gets to a Holy Grail.

Nowadays 20% just allows you to keep what you have. After taxes what you are left with barely covers inflation.

You do realize that even the mighty PTJ has 25% returns with a max drawdown of 17%. The Medallion was down around 40% during the Aug 2007 quant meltdown and if you look at the published CTA track records you can hardly find one with a sharpe above 1 that has been in business more than five...

I would make the distinction between someone trying to accumulate wealth versus someone trying to preserve and grow existing wealth perhaps accross generations. In the first case, time is short. A great investing/trading strategy has its "optimal" volatility and ensuing drawdowns past most...

Make sure your investors and you are on the same page with regards to expectations and acceptable pain thresholds. Once you know what drawdowns and how long a drawdown they can withstand without pulling the plug, make sure your program stays well bellow that. Once you know what return makes...

“I learned long ago, never to wrestle with a pig, you get dirty; and besides, the pig likes it.” G. B. Shaw

There is nothing theoretical about the issue I raised. If you make your money in a job and trade as a hobby then I agree, you can ignore what I said. But if you are a market professional that pays the bills with the money you pull from the market then what I said is relevant. Been doing...

Say someone wants to build a track record. They save enough to cover 10 years of living expenses. To cover the living expenses and to stay ahead of the true inflation (which according to shadowstats is north of 5%) one needs to make 15% after tax. If one happens to live in a highly taxed...

The inflation deflation cycle has been around since forever. You can go back to ancient Rome and see that Caesar had to deal with real estate bubbles bursting. Modern day central banking uses the deflation period as an opportunity to engage in debasement. Under the excuse of fighting...