Search results

It doesn't even have to be malicious - just survivorship bias. A boat load of people took huge, highly risky positions. The losers are all losers. The one winner gets the super impressive return. If you adjust for risk and leverage, I wonder how much of that return is really there.

I'm reasonably sure that his strategy wasn't to just buy otm put. Sorry, his hedge funds shut down because of poor performance? that's news to me: http://lawandmore.typepad.com/law_and_more/2008/11/those-black-swans---talebs-hedge-fund-up-65-to-115-oct.html Furthermore, I'd hesitate to...

He made bank before he wrote his books as an options trader. Then, he had his hedge fund which did fairly well. So, it's hard to call him a hack judging by his performance. Unless you narrowly define "trader" as someone who has to trade every few minutes to make a living, it's hard to make a...

Go to hedge world or any major hedge fund index provider; look at the sub categories of funds. Do you see any technical analysis driven funds, other than momentum strategies (which, in the way it's usually applied, has very little in common with technically analysis) ?

I'm not sure about your definition of black swan. Having actually taken several lectures from him at NYU, I'm pretty sure he meant black swans as improbable events that are usually too remote to hedge, not un-imaginable. His point is, I believe, before you actually see a black swan, you have...

This is a remarkably smart way of structuring the arrangement. Covestor is going to get a decent cut of fees doing this. I'm sure (hope) they got some sort of compliance system in place to make sure they meet all the various fiduciary duties that are required of them. Anyone who invest with...

Oh no - now you are going to get it - :p

You could use a delta-gamma approximation to model options are linear payoffs; However, your basic problem remains - if your strategy is vol based, your VaR model doesn't explicitly model the relationship between the change in IV and price. Therefore, you'll lose a very important (and probably...

Assuming you are using a variance/covariance style VaR method, VaR is completely inappropriate to measure the risk of a dynamic strategy that rebalances to vol. Unless you are trying to measure very short term VaR (day or shorter) as a proxy for gap risk. If your strategy is algorithmic, it...

Isn't risk of ruin just VaR? That the probability that a loss greater than certain severity occurs?

conditional var, maximum draw down distributions, loss maximization analysis, cmetrics, scenario analysis, etc etc etc. Each has benefits and draw backs. depends on what you want to do.

(1) the securitization market for auto ABS is not nearly as dried up as the one for home equity (2) it's a lot easier to repossess a car than to foreclose on a house (3) it's a lot easier to sell a repossed car than it is to sell a foreclosed house. As usual, credit analysis on a bond is a...

that's an interesting point; the fitness function, so to speak, has decoupled; In any case, it doesn't seem that taleb is fundamentally disagreeing with dawkins, but holds certain extension views.

what's taleb's beef with dawkins?

See, that's where you went wrong; perhaps you should have said that instead call other people names when they pointed out it's pretty irresponsible for you to manage other people's money at this stage. - or, just ignore them if you think they are wrong and add no value But instead, you went...

.... So, you want to manage other people's hard earned money, you go one an internet forum and ask for advice how to do so; some one tells you that you are probably not qualified and it's a very complex business; you disagree (oh no! someone on the internet disagrees with you!!) - gets angry...

Oops. sorry. You are clearly qualified to manage other people's money.

... so I'm guessing the answer to whether you know the regulatory framework of giving financial advice as a profession is, no. I'm not a lawyer, so I'm going to not give you advice on your legal responsibilities. Speaking of which, it seems highly irresponsible for you to give "market" advice...

Word of advice - financial advice to the general public is a heavily regulated area; both federal and state governments will have quite a say about it. hopefully you are more familiar with these regulations than you are with general business law.

So ... you are planning on starting a business on giving financial advise, but don't understand basic corporate structures or the regulatory regime of your area of business.