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Yeah, indeed, which is why I struggle with all such strategies...

I have another misgiving about CTAs (and similar) that I find difficult to let go of, about which I'd be curious to hear peeps' thoughts (if any). Specifically, it appears that these strategies are inherently of the 'greater fool' variety. In other words, the economic significance of the...

I agree that there are challenges regarding the data... I recall one of the asset allocation papers arguing that property is better than gold, but I can't be certain that my memory isn't failing me. My point, broadly, is that there's an obvious trade-off that one needs to make when judging the...

My only problem with this logic is the arbitrary choice of gold as a "diversification" tool. Why not find other assets that may not be as liquid, but offer better real returns?

One of the big doubts I have about the perceived attractiveness of strategies like CTA (and some others) has to do with the promise of liquidity. Surely, liquidity which is assumed to be readily available to a CTA mkt participant depends not just on the choice of instruments, but also on how...

Bluetrend, when it spun out into Systematica, was a pretty big one. I think they raised new money then, but I am not 100% certain.

Based on my personal experience, investors love CTAs with their low SR's. In fact, they often welcome a lower SR that can arise due to higher vol. Diversification is the main reason, but CTAs are also supposed to have the advantage of liquidity. Personally, I am not a fan of the CTA space...

I think any space where there's likely to be a large amount of betting based on emotion is bigly good. But then again, all of this is pretty well-known and covered Moneyball stuff, innit?

Again, you can also add Endeavour to the list of the RV blowups... But yeah, I think RV, as a strategy, has some "short vol" features. Moreover, it's remarkably easy for one of those BSDs to end up with a feeling of overconfidence and omniscience when doing RV. Et voila, the end result is...

It's a pretty competitive mkt for a liquidity provider... On the other hand, it's also quite inefficient if you're a participant, at least for now.

Excessive leverage is a symptom of the same underlying problem that has always been at the heart of these blowups. Specifically, a lot of the characters involved (and I would also add Endeavour to the list) could never imagine that they might be wrong. The biggest lesson for me: no matter how...

I am reasonably sure that there are all sorts of rather traditional techniques for that. One of the main purposes of various vol models out there is, among others, the sort of "arbtirage free" inter/extrapolation that you describe. Unfortunately, I don't know what the standard methodology is...

I disagree with this characterisation... @sle might have more specifics of how these were structured.

I just picked a couple of papers at random and I am a little confused... The first section lists papers that suggest that greenhouse gas emissions are not the cause of rising temperatures (there are other proposed causes, e.g. specific seismic activity). The next section has some papers that...

It was probably a lot less asymmetric for an investor than what you get nowadays with smth like that ginormous SoftBank Vision Fund... Everything is relative, innit?

Yeah, I should add that a vehicle like this wouldn't be my cup of tea either...

As long as all the investors are happy with the possible losses implied by this sort of risk management approach, it's all good... Horses for courses and all that jazz.

In an overwhelming variety of cases, stocks are better as a store of wealth.

Well, the Squid's other desks haven't been doing so hot recently, so why not crypto, eh?

I can see the Dec - Mar effect and it's curious... Not sure it's significant, since it's so small.