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I am not sure what question are you asking. Why would someone want to run a 100+ million fund and only generate 10% for his investors? Well, that's simple - he's getting paid 2mm in AUM fees and another $2mm in performance fees on each 100mm, pretty good bang for the buck. I doubt anyone can...

Yeah, all true, except generating Sharpe of 1 on 100+ million is way harder then generating Sharpe of 4 on 500k. It's relatively easy to generate 100%ish returns with very reasonable risk on a couple hundred thousand (I can think of 5-6 strategies right off the top of my head) and it is way...

I wounder if anyone else has bumped into this problem or maybe one of the sales reps would chime in. Apparently, for a number of exchange-listed products (even if they are liquidly traded), if they are not "front-month", IB uses its own proprietary formula to mark them to market at the end of...

252 is the US market convention (for thins like variance swaps). Multiplying daily vol by 16 works well enough.

Ok, am I looking at some OTHER Apple? I see your execution ref 667.8ish (can't see your odd-lot on ALLQ, but more traded around that level vs that ref) and close of the day at 656.22. The option acted in perfect accordance to the delta, vol change was neglibible (see attached graph): execution...

Yeah, except in the end none of them actually started truly on their own. Usually, when an institutional guy with a senior pedigree starts a fund, he would get enough funding commitments day one to hire a few guys. Even with a smaller capital base, like ours (we are still under $50m), we are not...

Actually... unlike miners, most farmers (producers of aggs) go long - ergo they buy calls or buy futures. "I will leave it to the reader to work out" the reasoning why, but it's pretty counterintuitive at first and very intuitive once you think about it.

I am just thinking - in an institutional environment, you have people doing a lot of stuff that you end up doing yourself if you are a one-man show. Just the system administration and DBA duties should be taking significant amount of your time, I am not even talking about juggling...

I have an interesting question. The ones of you who run multiple systems in different asset classes all by yourself - how do you handle the IT/data and other organizational aspects? How many computers do you have? Do you run your own data DB and data collection?

I am not sure that's the right approach. Lets imagine that you have two strategies, one buys S&P 500 when Obama farts and another that sells DAX when Merkel smiles. The two strategies are hedging each other rather well, so you should be more comfortable trading on Obama system when you already...

The two dimensions of re-sampling are (a) boolean 1/0 for each strategy for each day (b) the sequential position of a particular day on the joined equity curve For example, assume that I have two strategies, A and B, with 100 co-linear days of p&l each. I would first generate N combinations...

To quote my old boss (an old CBOT trader): When I got started in this business, there were three kind of people on the floor - the Ginnies, the Irish and the Jews. Irish would drink like fish, Italians would do coke. Jews? Jews would do both!

Sorry, I am confused here - what do you mean by "monte-carlo", re-sampling or actual generation of price paths? // actually, you seem to have replied above, still trying to undestand the methodology I usually look at the 2-dimensionally re-sampled multi-strategy paths - positional re-sampling...

Or, as an alternative, you can assign capital allocation based on market risk factors (that's how I do it). In short, you figure out market factor sensitivity for each strategy and allocate new trades to keep the whole portfolio more or less factor neutral. The two main improvements over any...

No, the idea is to pick a portfolio of stock with limited upside and let it ride. For practical purposes, in the form I've described it, it's a collection of covered calls protected with longer-dated index put. Return on capital depends on the size of your testicles, i.e. depends on how much...

Yeah, thats about right. This said, a strategy like this might be a good part of a balanced portfolio of strategies (truism alert).

It is a form of reverse dispersion, no question about. I know people who do this sort of stuff, even. The return target looks totally unrealistic, I think your cash returns are going to be around 5-7% p/a and on average you are going to outperform in a selloff (assuming you are buying index vega...

Something along these lines a. buy put options on the portfolio/index for 1 year, 10%-12% OTM b. sell call options on the single names for 1 month, 5%-7% OTM c. keep rolling (b) over every month for a few months and then liquidate (a) The strategy is pretty involved and requires either...

Anyway, pm me and I will send you VBA code for option greeks, pricing and implied volatility.

This is probably only one of the reasons. There might be an error in your formula two, but I am too lazy to check. ps. wanted to attach some VBA code and don't know how to attach files here! help puhleeze!