Search results

The reverse is also true, FoF and Pension funds would maintain a good relationship with banks to get access to top tier hedge funds (not to mention other benefits like structured products). For instance, Citadel stopped taking in even normal institutional money for years now, how does...

Oops, you might be asking how much investment banks charge for capital introduction. The number ranges from zero (friends, or important clients), to a norm of 50-125 bps. Sometimes the bank would structure a different deal, the bank can invest (or get a call option) on the LP interest in...

Well, Banks are not *supposed* to screen their customers. Clearing and asset mgmt supposed to have a "chinese wall" between them. But this guy just became a Myth, so people would gossip about him, that's why he was p*ssed off, since it is supposed to be confidential. For $3-4M, prime...

This is a funny story, he made the mistake of first clearing all of his business with the clearing arm of an investment bank (he really didn't know any better) and soon their asset management division started calling him, offering him a split to manage money. So he was angry, switched...

This person is not a hedge fund, but a strictly proprietary investment pool, mostly his own and *maybe* family money. I just know him, not that well. Obviously this person is incredibly secretive, you will never catch him talk about trading, ever. I believe he started with around...

A lot of the return is strategy dependent. Especially in today's environment, 15/10 for a hedge fund book (say around 1-10M) would be considered respectable. In fact, a friend's convertible arb fund made 2% for the year, and was considered to be impressive by some pension funds...

The main point is "consistent", try computing the Sharpe Ratio (or Sortino) on your periodical returns. Anything > 0.5 can be considered pretty good, anything > 1.5 is fantastic, I have never seen anything > 2.5 that is credible. The best I have ever seen (not mine, not even close), is...

Absolutely agree, but they also suffered from liquidity risk. Read Roger Lowenstein's book, "When Genius Failed', LTCM was accounting for 70-80% of Italian treasury note auction at one point. The credit market has matured significantly since then, but you still have the Ford/GM...

Disclosure, I am Chinese, and have somewhat of a passing interest in China. The China securities regulation is problematic, securities fraud is rampant. As someone pointed out, most of the well run firms would go public in Hang Seng anyways, where the financial disclosure rules are...

Lacoon, I am a member of exchange, so no broker is involved. I know it is not the norm. So my system would directly send orders into the exchange gateways. It is fully automatic, open orders, close them, stops, etc. Myself, or the operator, would just monitor the risk parameters...

Let me see: I used a mixture of C/C++ (mostly C for raw speed), on Windows, should have used Linux, one of my library wasn't available for Linux when I started, but has linux since then. My system would stay up for about a week, or 2-3 months in stress testing. CPU usage is minimal...

A lot of the firms on this list won't accept any proprietary traders, such as: DRW, Donnie Wilson, good futures and options MM, Wolverine (option MM firm), Citadel Derivatives (obviously), Medallion, Moore, are hedge funds, Quiet Light is focused on cross-market products, index MM, Ronin...

I was talking to head of Product management and head of Technology for CME about a year ago, this same topic came up. CME Globex is clearly experiencing congestion (the order ack time is getting longer and longer). So CME introduced the cancellation over 10:1 penalty, which I believe is...

Wow, reading through some of the posts, most of the ppl are much better than me. Let me see: a) 5 years b) Around 100-150k, probably more. Was choppy for a long time, what Sharpe ratio? c) $0. I always worked on Wall Street, so I learned from some of the best...

To some extent, OBI and their derivatives are being used. Probably mostly because the algorithms are so simple to implement (heh). I have several variants, similar to WMA, EMA, you can create different order book analytics. Purely my own opinion, but OBI based trades are not good, but...

In some ways, the classical TA people are pioneers to high freq analysis. I have John Murphy's book, while somewhat basic by today's standard, I still flip through it from time to time. It is refreshing that some concepts and their derivatives are still being improved on, even today. A...

Definitely measurable, naturally both systems are using the historical sims for say, correlation calculations. Let's say my scenario DB has 50000 5-10 minute scenarios, and we run through 10% of them for relevance (which is about norm), the net calculation will be about 500 ms for me, plus...

Here is an old list I have from late 2003, interms of AUM. I would think that some the larger ones like Moore, Citadel would be 20-25% larger now, due to returns. 1. Moore Capital Management (New York, NY) 8,000 2. Farallon Capital Management (San Francisco, CA) 7,794 3. Andor...

A couple of things, Erlang is an interesting language, but probably won't be used to write the low level data scrubbing code. One thing Erlang can probably do well is schedule across a cluster of compute servers, it won't replace TIB (or ACE or something of that sort), but can probably...

Richard, there are quite a few high frequency hedge funds. Steve Cohen of SAC investment, DE Shaw, are two better known examples. Two Sigma is one of the newer ones. Difference between the couples are the instruments they trade, Renaissance is / was (at least 2-3 years ago) primarily...