Looks like his style wasn't robust enough, thats why I think the combination between Leitner and O'Shea is what makes sense. Judging by O'shea 2013/2014 returns, it looks like he didn't had enough of these passive investments that make you money most years and clients got pissed (as people usually do when the benchmarks are doing great). Then he had a bad trade and people had it
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Global Macro Trading Journal
- Thread starter Daal
- Start date
Looks like his style wasn't robust enough, thats why I think the combination between Leitner and O'Shea is what makes sense. Judging by O'shea 2013/2014 returns, it looks like he didn't had enough of these passive investments that make you money most years and clients got pissed (as people usually do when the benchmarks are doing great). Then he had a bad trade and people had it
I know quite a few people who used to work at Comac. Things were going downhill well before the CHF debacle. It was a relatively typical progression, where, as time went on, Colm just got too large, too concentrated and too impatient. In the end, that's the sort of thing that kills you. So, indeed, his style wasn't robust enough, especially for the amount of capital that he ended up running eventually.Looks like his style wasn't robust enough, thats why I think the combination between Leitner and O'Shea is what makes sense. Judging by O'shea 2013/2014 returns, it looks like he didn't had enough of these passive investments that make you money most years and clients got pissed (as people usually do when the benchmarks are doing great). Then he had a bad trade and people had it
http://www.zerohedge.com/news/2016-...r-rousseff-cries-coup-olympic-ad-sales-top-1-
Brazil fiscal situation getting worse. The amount of primary deficit reversal that needs to be done now is very large. An austerity package that would take a -2% primary deficit to a 2% primary surplus is just unprecendented in Brazil's history. Especially after the 88 constitution which made about 90% of the budget hard to touch
I'm quite skeptical such package could pass even in a new government, most likely scenario is that a small package passes and the rest of the problem is solved through inflation. That's usually what happens according to Carmen Reinhardt and her collegues
This is why even though I'm bullish in the stock market, I'm not so bullish in the currency. short-term is likely to head higher as foreign inflows are strong but longer-term I'm bearish
I plan to lighten up on my FX hedges at some point and ride the currency down but I don't want to be early
Right now I got 45% in USD, 45% in BRL and the rest in gold
Brazil fiscal situation getting worse. The amount of primary deficit reversal that needs to be done now is very large. An austerity package that would take a -2% primary deficit to a 2% primary surplus is just unprecendented in Brazil's history. Especially after the 88 constitution which made about 90% of the budget hard to touch
I'm quite skeptical such package could pass even in a new government, most likely scenario is that a small package passes and the rest of the problem is solved through inflation. That's usually what happens according to Carmen Reinhardt and her collegues
This is why even though I'm bullish in the stock market, I'm not so bullish in the currency. short-term is likely to head higher as foreign inflows are strong but longer-term I'm bearish
I plan to lighten up on my FX hedges at some point and ride the currency down but I don't want to be early
Right now I got 45% in USD, 45% in BRL and the rest in gold
http://business.financialpost.com/i...-over-and-you-can-thank-janet-yellen-for-that
Rosenberg also thinks this market will be somewhat contained in a range
Its probably time to start to get a more defensive posture. I have a hard time seeing this market going to new highs with the Fed on exit mode
Rosenberg also thinks this market will be somewhat contained in a range
Its probably time to start to get a more defensive posture. I have a hard time seeing this market going to new highs with the Fed on exit mode
Is Bill Ackman a gambler with no clue of risk management?
Well to answer that one has to do some analysis on position sizing. When VRX was at $250, Ackman seemed to be valuing the upside at $100 or more. The downside was $250, in reality, its less than that because sometimes you will liquidate before it goes to $0. What is the appropriate size for a bet like that if you think there is a 80% chance of you being correct? Its about 30% of your capital according to Kelly Criterion. This is also the Optimal F because its one of the situations where they coincide (where the worst loss is the entire investment and its a long)
This type of situation betting closer to Kelly/Optimal F is not crazy because you are already assuming you will lose your entire investment if wrong (so a black swan can't really hurt you beyond that, like it could in a short)
Well to answer that one has to do some analysis on position sizing. When VRX was at $250, Ackman seemed to be valuing the upside at $100 or more. The downside was $250, in reality, its less than that because sometimes you will liquidate before it goes to $0. What is the appropriate size for a bet like that if you think there is a 80% chance of you being correct? Its about 30% of your capital according to Kelly Criterion. This is also the Optimal F because its one of the situations where they coincide (where the worst loss is the entire investment and its a long)
This type of situation betting closer to Kelly/Optimal F is not crazy because you are already assuming you will lose your entire investment if wrong (so a black swan can't really hurt you beyond that, like it could in a short)
So while Ackman deserves critisicm for oversizing his VRX position, people take that way too far. It wasn't that wrong mathematically, its more that it was too high compared to what most people can tolerate in terms of drawdowns especially (and here was the problem) that a concentrated portfolio has multiple bets at the same time. His VRX problem turned into issues in other stocks as some of the funds who mimic him started to liquidate and shorts pilled in. So the bet 'poisoned' other bets. However, that is mean reverting over the long-term (Burger King/Mondelez and other companies couldn't care less about VRX's trouble's).
So if he oversized VRX, it wasn't by all that much (I'm assuming the goal is to maximize wealth growth over the long-term). The problem was that he was wrong (about the % chance to win by underestimating business risk). But to take that mistake outside of the context of all the right decisions he has made over the years (when he got the % chance right), its just to want to be wrong about him going forward
And with regards to Gotham Partners, there you have a similar situation, its not that the investments were bad or that he sized them wrong. Its that there was a mismatch between his goal to maximize wealth compounding (effectively his max tolerable drawdown) and of his investors. That does not mean that his picks didn't had positive expectation (in excess of the what the S&P500 returns) or that he is gambler. Its that he has a far higher tolerance for risk while betting in a overall context of positive expectation. Most of his observers and critics also dont have that kind of risk tolerance, so their tendency is to be uncomfortable when they see him behaving that way.
So if he oversized VRX, it wasn't by all that much (I'm assuming the goal is to maximize wealth growth over the long-term). The problem was that he was wrong (about the % chance to win by underestimating business risk). But to take that mistake outside of the context of all the right decisions he has made over the years (when he got the % chance right), its just to want to be wrong about him going forward
And with regards to Gotham Partners, there you have a similar situation, its not that the investments were bad or that he sized them wrong. Its that there was a mismatch between his goal to maximize wealth compounding (effectively his max tolerable drawdown) and of his investors. That does not mean that his picks didn't had positive expectation (in excess of the what the S&P500 returns) or that he is gambler. Its that he has a far higher tolerance for risk while betting in a overall context of positive expectation. Most of his observers and critics also dont have that kind of risk tolerance, so their tendency is to be uncomfortable when they see him behaving that way.
People don't seem to understand that because they don't seem to get that he is a Buffett follower. Buffett recommends that people put 100% of their money in stocks (and he got rich doing it himself), thats because he is willing to tolerate big drawdowns in order to maximize wealth accumulation. Ackman is doing something similar but instead of index funds he picks stocks. Overall he has been a good picker. He made one big pick and that turned out to be wrong but I see no reason why his picks going forward would start to suck
What the critics don't seem to understand is that there is a lot of wealth that can be created by risking bigger than 20% drawdowns. You cant run a typical HF doing that but he does not have a typical HF so he can go for it.
The typical HF underbet alot in order to please investors, Ackman doesn't have to
What the critics don't seem to understand is that there is a lot of wealth that can be created by risking bigger than 20% drawdowns. You cant run a typical HF doing that but he does not have a typical HF so he can go for it.
The typical HF underbet alot in order to please investors, Ackman doesn't have to
I don't think there is any point arguing about this now... IMHO, your positions bias you, such that you seek justifications, excuses and benign explanations for the phenomenon that is reasonably clear. Let's talk when/if you're out of the trade.
I'm presenting arguments based on math and logic. You don't seem to be doing the sameI don't think there is any point arguing about this now... IMHO, your positions bias you, such that you seek justifications, excuses and benign explanations for the phenomenon that is reasonably clear. Let's talk when/if you're out of the trade.