Search results

Firstly, boring cash isn't protected from inflation. I mean finding something boring, safe and yet inflation-protected is easier said than done. In fact, it's quite tricky. Glossing over this detail does NNT no credit. Secondly, what are "maximally risky" securities? How do you deal with...

Well, yes, but those are numbers which are either not available for peeps like RSJ, who don't publicize a lot of things. Alternatively, if they're published, one has to take them with a large pinch of salt. The only numbers where you can infer something meaningful come from the infrequent...

If you want a very rough calculation, you multiply the change in yield by DV01 to get the mark-to-mkt PNL. Against that, you need to add/subtract the carry and roll PNL, if you want to get a "total return". For a 10k notional position in these 10y bonds (assuming they're trading at par, so mkt...

The point of the article was that the US election had no impact on RSJ. That's hardly surprising, since RSJ is a high-freq market-maker. And yes, how does one define "size" for a shop like RSJ? It's certainly not AUM, since they have no need for ever larger amounts of capital. Turnover...

They're not a hedge fund. But yes, RSJ is massive.

You're right... Having read the other two pieces, I've concluded that the author has a very limited understanding (if any) of how the money mkts operate. That has led him to all sorts of grand conclusions which have very little to do with reality.

No insult was intended at all. I was actually quite happy that you summarized a lot of how I feel about NNT quite eloquently.

Did what?

This is precisely it. One difference is that, unlike yourself, over the years I have concluded that all his affectations and gimmickry are not harmless.

As I have stated many many times here, I am not now, and neither have I ever been, a banker. Thus I'd suggest to you that my industry and your industry are, broadly, one and the same. I don't disagree with the various ideas that he has discussed. I fundamentally disagree with the statement...

While you're certainly entitled to disagree, I confess I am a little curious about your view, Mav... Firstly, what is "my industry"? Is it different to your industry? Do you mean to say that you're NOT surprised that I hold the view I described?

The last time Taleb said something actually useful and insightful was in his "Dynamic Hedging" book. It's all been downhill from there, sadly.

The author is a pretty good writer. Overall, not a bad piece, in spite it being rather simplistic and, occasionally, a little inaccurate.

Assuming it's always 1 contract, the only thing that looks suspect is the fixed EURUSD exchange rate fixed at 1.10 for the Eurex futs.

An extremely poor chart, which isn't surprising, given the source...

Well, again, it depends... Some investors care about risk-adjusted returns, while others have a very different set of preferences. For instance, an investor could value liquidity and/or diversification so highly that they could be willing to accept a lower return. So it's reasonably difficult...

There is no real consensus among the professionals... There is a lot of variation, partly because investors' preferences differ.

For the seasonal adjustment: https://blog.bea.gov/2015/05/20/accounting-for-seasonality-in-gdp/ For some guidance on the multiple estimates: http://www.bea.gov/newsreleases/national/gdp/gdpnewsrelease.htm https://blog.bea.gov/2015/07/13/why-does-bea-revise-gdp-estimates-2/

Sure, that's fine... This here thread just made me chuckle, is all.

Indeed... OP's frequent references to the Dunning-Kruger Effect in this context are, how to put it, meta-ironic, maybe?