Search results

In utility space scaling in is analogous to widening a stop-loss. It's risk-affine (convex coefficient). At least that's how I think of it. Scaling out is consistent with risk-aversion (concave). It doesn't mean you have to do it, but it's consistent with maximizing terminal wealth. This...

I'm in the US so IB isn't a viable option for forex. I think the account minimum is like $10 million, I'm not sure tho. Also, when a forex broker creates a LOB it's only as good as the market makers submitting quotes. That is, it's a limit order book, but it's not a _central_ limit order book.

What you want is called a central limit order book (CLOB). I don't know if you'll find that for a retail account, but the ECNs offer them. Keep in mind that there's no forex exchange so don't expect activity in a forex ECN CLOB to have the same behaviors you'd see in, say, a futures exchange CLOB.

First time I've seen Raoul Pal's name mentioned on a forum anywhere. Are you an RV subscriber?

I never claimed that we are always on our best behavior. I'm sure you'll find me being aggressive at times, too.

I'll add to what DiceAreCast had to say. I don't know this for certain, but I know other people running factor models (e.g. FF3/Carhart) on US equities and they've all done poorly in recent years. Traditional factor models using accounting objects to ascertain what is rich vs cheap in US...

It's true. It's human nature that our pride gets in the way. Fortunately, we both held that in check. Thx for keeping things civil and making me think a little.

I understand what you're saying. HFs _shouldn't_ be paid for beta. Yet they are. It seems like we've both been around HFs a long time. HFs are a fee structure, not a strategy. Most L/S funds, in particular, add no value to the investor. What they really get paid for is alpha plus a timing...

DiceAreCast: "What makes you think anyone gets paid for beta?" bluelou: I'm not really sure why you want to make this argument when you've already argued that HFs are getting paid for beta. Consider your own statements and the link you cited. I can help explain if it isn't clear how hedge...

I guess we'll agree to disagree. I've invested $ hundreds of millions in HFs. I've interviewed the managers of countless HFs and analyzed their daily returns, prime brokerage risk reports, audited financials, etc. I feel pretty comfortable with my knowledge of the space.

A low correlation with US equities isn't a necessary condition for a HF portfolio. Unless the stated objective of a HF is equity market neutral I'd expect HFs to harvest equity market beta (within the fund mandate), just like any other beta.

There's some truth in what you're saying. Let's see if we can unpack the ideas. The largest component of the HF universe is L/S equity. The hedge ratio used by a L/S equity fund is a random variable. When markets are trending up strongly they reduce their hedge ratio to capture more beta...

If you click thru to the index provider the methodology is "available upon request". The idea of an equity quant index does sound suspect. Are we talking about factors, tactical, systematic, market-neutral, etc? It's a lazy article. (FWIW, one of my many past jobs was a HFOF investor -...

Where are you located? I'm in NYC, left "Wall St" about a dozen years ago.

FX is probably impossible without an edge. OTOH, with equities you've got a drift term as part of the process; that covers up a lot of b.s.

Thx. Have a good night. See you tomorrow :)

60% of the time it works every time. Amirite?

Thx for the counterfactual and it's a pleasure to meet you. I just checked out your profile. You don't appear to be a trader. All of your many posts this week are about politics. Are you finding this site and this particular forum to be useful with respect to understanding politics?

Oh, there's plenty of getting stopped out by a single tick, entering on top ticks, just like discretionary traders. Just automated and driven by a recipe (i.e., algo). I'd be a horrible discretionary trader. But, if it's working for you, that's awesome.

LOL. I appreciate your candor. Perhaps you're right that it's mostly bored day traders. I'm trading 100% systematic. Hoping to add a more qualitative global macro strategy soon (well, mix of quant/qual). I'll stick around here for awhile and maybe I'll find a comfortable spot.