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If you look at the S&P web site, they have a TR comparison too. It shows similar results (10 year p/a returns of 18.5% for the index and 14.99 for SPX). This said, a cursory look shows that the index has a beta of about 1.5-1.7 (simply judging by the depth of the drawdowns) so I am not that...

To be fair, the common critique of this survey is that self-reported net worth tends to be higher. I recall someone estimating it to be as much as 2x inflated. For comparison (an imperfect one, since they count liquid net worth only), there are a few PWM recent studies that gave a number of...

Where do you read that? "completing", which to me means "we are still reducing, but we are going to keep an eye on the markets".

Where are these floor traders now? I have bumped into one driving a cab a few years ago. Quants, while having some difficulties of late, seem to be doing much better.

Dude, these are the people that will inherit the earth, be nice to them. On a serious note, I could think of several edge cases when you want to have a box or an equivalent across two accounts. The two classic examples are voluntary corporate actions such as tenders(i.e. you are thinking that...

As I said, the bigger the scale, the higher is the multiple. A 100k/annum laundromat is selling at 2x the annual revenue, but almost every company in S&P 500 trades at 10+ times EPS and then some. So the right answer is somewhere in between depending on the scale. Well, that's probably because...

If anything, from the Fed perspective, it's probably better to keep it consistent. They don't care about the actual unemployment, but more interested in the numbers compared to the historical level. Unemployment as a single number is a model, and any model would have some shortcomings. These...

I would certainly pay more than a 2x multiple if I like the business model and the intrinsic attributes of the business. Management and employees are far less critical in a physical business (location, for example, is the key to all of the above), while for a trading business the moment your...

The key caveat there is the causality of inflation. One can easily imagine a cascade of inflation expectations brought on by large debt issuance, that causes an increase in borrowing costs that produces a drastic increase in the debt servicing payment. It's a vicious circle that can be hard to...

Do you think it's true for all values of 1, though? :D If you have multiple strategies, once in a while these strategies will cross assets between themselves (which, btw, is a good thing usually), but you are only keeping them as separate positions for alpha attribution. Keeping them in two...

That is not true, though. The asset market (as opposed to a derivatives market) is not a zero sum game, so your profits do not really equal someone else's loss. That sad experience is that most trading strategies are not robust, especially the discretionary ones. Not only the trader is dealing...

Participation rate is NOT simply working age population, it's a fraction of the work-able population that is WILLING to seek employment. Here is a quick rundown. Working age population is 258 million, from them "Not in Labor Force" is about 95. Then there are "Marginally Attached" people...

Interesting bit is that you can impute the average bonus from these numbers. First, you assume that the regular weekly wage is 3k-ish, so the balance is due to the single bonus check. There are 13 weeks in a quarter, so ($9440 * 13 - $2750 * 13) = 86 grand would be an estimated median bonus for...

Even an automated strategy is more or less worthless without the person who developed it. To give you a sense, HFT firms are usually valued at 2-4x their annual revenue (a friend of mine tried to sell his small-scale MM firm and the best he was offered was 2x the annual PnL, for example).

LOL:

Some of it is probably unique and a lot of it is probably just reinventing the wheel. On a similar note, there is a group at Virtu that looks at options purely from arb and market-making perspective. Once you start playing microstructure games (especially if you have the latency to make...

Smart trade.You probably only catch these dislocations when the open is very volatile and your orders go unfilled most of the time. It does not really scale so most of your alpha decay will come from MMs gradually improving their opening process, not trying to fix this issue specifically.

Out of curiosity, what do you think of these research reports?