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Is anyone *actually* doing this? I mean, not a <$10MM seed strategy sitting around hoping for a tracking record, but an actual, legit, marketed, fund that actually does this? I'm really curious - I've never seen an actual one, just tons of rumors.

You mean in-sample and out-of-sample? I don't think anyone has a definitive answer on that. Depends on what kind of strategy it's running.

You are not going to be building HFT. By the way, GHOST and SHELL isn't intuitive, but it's actually kind of catchy given the reference to the classic anime. Also, I like writing in all caps. Makes it feel like we are talking about much more important things than little bit of code that buys...

Yes, that's exactly why you have to normalize it. Benford gives you a baseline of expected distribution of digits. After accounting for it, you see what's 'abnormal'.

You need to normalize for Benford's law: http://en.wikipedia.org/wiki/Benford's_law

So... what you are saying is that you are not GIPS compliant? You might want to consider compliance (at least in practice, if not actually getting that cert).

And given SOMA is what the Fed actually holds, you are basically saying that you don't actually care to talk about what you are talking about. In that case, carry on with your rant...

TARP == Treasury, not the Fed. Look at SOMA, guy, and tell me if there's 'toxic' stuff in there. Go ahead.

Of course they did (to the extent that BoA and the others had the securities on in their trading inventory). But the VAST majority of assets in SOMA is sold to the Fed from the investor community. Are you confusing QE/SOMA with TARP? TARP was done by the Treasury, not the Fed. Of course...

No, I don't agree. The banks don't sell the MBS and treasuries out of their own inventory. They source it from the buy-side (pension funds, money markets, mutual funds, hedge funds). So, when a SOMA purchase is made, the money flows to the end-buyers, who are then (suppose) to use the money to...

I totally agree with you are rationale. (You are a python guy? I really tried to get into it; I like it a lot; but I found the lack of a good editor somewhat limiting; And the lack of good thread support. I'm spoiled by visual studio I guess. But having an interpreter rocks). Anyway, I think...

I'm totally confused by this... SOMA is part of the monetary policy. So is hiking rates.... why would one need to combat the other? Further, again, no more purchase in SOMA is actually contractionary. So, no SOMA purchase + hiking rates will work in the same direction.

Okay, maybe this is the part that's not connecting: the fed will WANT rates to go up when the economy is in solid expansion. The Fed will keep the rates down until that happens. We can't afford it? Why the hell not? We can easily afford a 4-5x increase in interest payment (not to mention...

When the Fed buys a 10Y note for its SOMA, it will pay the dealer cash. So, cash is released into the dealer's account. When the 10Y note matures, the Fed as the holder of that note, is entitled to the notional value of the note. That amount is then paid from the money supply(*) to the Fed...

OMS is technically challenging to do right, especially on a fund level. It *can* be trivially easy if it's done on a small scale and just enough that everything works for the strategy at hand. The GHOST is intellectually hard.

Again, I don't see how you are not understanding this: when a bond/MBS in SOMA matures/paysoff, the money comes out of the money supply to replace the security on the Fed Balance Sheet: the money supply decreases. As for what happens when they stop buying treasuries? My personal belief as a...

The shell is uninteresting. Most people on ET spend faaar too much time talking about it. I suspect it's because ET guys are more software development in background rather than quant/finance.

Why do you think they wouldn't? reserve requirement is explicitly one of their tools. You also didn't address my point that the balancesheet will effectively shrink when they allow their SOMA portfolio to mature. No action needed.

(1) Your statement was that you don't know what's in the MBS portfolio. Now it's that you don't know the quality of this stuff. Well, let me tell you, you aren't even asking the right questions: you should also want to know the LTV of these things, the repayment speed, the spread at which the...

I don't *think* I agree with what you are saying, but I don't know, because I'm having a really hard time understanding what it is you are trying to say. Um.... I *think* you don't understand how open market operations work. When it needs to drain the reserve, it will sell bonds (at a very...