One has recently read a provacative article by Taleb and Mandelbrot on the errors and problems that investors make by relying on the normal distribution rather than the power law distributions for analyzing market behavior. They point to the inordinate number of large 12 sigma events they note in past market behavior, and how risk exposure is much greater than would be ascertained by naive or Rube Goldbergesque extensions of the normal distribution. And yet, the distribution of the sums of many different kinds of random variables converges under various degrees of restriction to the normal distribution, both theoretically and empirically.One wonders what are the predictive properties of these opposing views. Recently ,for example, we have had a spell of 4 years without a decline of 10% from top to bottom in the market, a duration longer than any since 1997,while at the same time the normal measures of volatility based on squared changes have decline from an average of say 20% retrospectively to 10%. Is there any such movement in markets that is consistent with one theory or the other and does this have any relevance to the very pointed discussions on the original thread of the waiting time till disaster. Sincerely, Proturf
Niederhoffer still on top !
- Thread starter marketsurfer
- Start date
Quote from snow:
Give a monkey some cash, a buy button, a sell button and some over the top leverage and even it may turn a good profit. In the end ,of course , it will blow up.
Much like dear Victor...
Too bad none of you monkeys will ever get a single chance to do that, never mind two chances.
Quote from marketsurfer:
Niederhoffer's Matador fund is listed in the latest Futures Magazine with a 56% gain in 2005 with 240 million AUM. Listed 4th on the list of all CTA's over 10 million.
Like a phoenix, VN continues to rise from the ashes.
nice going!
best,
surfer
I was just look up a few hedge funds and their YTD returns. So I looked up Matador just out of curiosity. All returns are annualized:
Feb-05: 5.86%, Recent Quater: 15.95%, YTD: 15.95%
AUM: 287M
the proper question should be, given the generous history of performance tables of hedge funds, is how can future and existing funds use this information to continue generating alpha or simply just survive.
i take from hedge fund history that flexibility is key to survival-- the fund must evolve across strategies and methods as the markets change. the funds that are stagnant, regardless of the past are doomed to failure eventually as the market evolves. Meaning a fund should not have a strategy set in stone, but rather be constantly reevaluating its methods and perhaps, as an extreme measure, its own structure to better serve the partners/investors.
signing off from central park,
surfer
i take from hedge fund history that flexibility is key to survival-- the fund must evolve across strategies and methods as the markets change. the funds that are stagnant, regardless of the past are doomed to failure eventually as the market evolves. Meaning a fund should not have a strategy set in stone, but rather be constantly reevaluating its methods and perhaps, as an extreme measure, its own structure to better serve the partners/investors.
signing off from central park,
surfer
That's why Soros called his book, "Staying Ahead of the Curve".
signing off from present coordinates,
rm+
Quote from RedManPlus:
That's why Soros called his book, "Staying Ahead of the Curve".
signing off from present coordinates,
rm+
yes. i would say mr. soros knows of which he speaks in the markets.
politically may be another story.
50th and 5th--midtown
surfer