Thank you for your kind words. It wasn't easy. I spent many sleepless nights in the office hedging us through LIFE securities when the US markets were closed on that horrible Monday! It did cost me a few more grey hairs, but staying true to our strategy paid off! It was a good test to our survivability! We had a big drinking party amongst us, Quants, when it was all over and we survived with glory! I had a hangover for 4 days! Itâs not like my young days when I could drink anybody under the table!
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The New Math: Quantitative hedge funds are pressing into new realms of science
- Thread starter makloda
- Start date
Thank you for your kind words. It wasn't easy. I spent many sleepless nights in the office hedging us through LIFE securities when the US markets were closed on that horrible Monday! It did cost me a few more grey hairs, but staying true to our strategy paid off! It was a good test to our survivability! We had a big drinking party amongst us, Quants, when it was all over and we survived with glory! I had a hangover for 4 days! Itâs not like my young days when I could drink anybody under the table!
Quote from Spaceman3:
Which of "these other quant strategies" are you referring to?
What about all of the other quantitative managers out there whose strategies have worked, are working, and will likely continue to work? You'll just dismiss them because one quant manager took too much leverage and blew up? Heavens to Betsy.
I thought you said there was an entire universe of quant strategies out there,you seemed pretty convincing.I was referring to these,I thought that was obvious.
I'm hardly dismissing them because one took too much leverage and blew up,the article listed quite a few that were under-performing(putting it mildly) and I know of more besides.You quant guys sure are defensive.
And trust me,I have trained and backed a LOT of traders and I don't see defensiveness as a virtue.
Quote from $preader:
I thought you said there was an entire universe of quant strategies out there,you seemed pretty convincing.I was referring to these,I thought that was obvious.
There is. I wanted to know if YOU knew what they are when you stated that they will inevitably implode, with the inference that they will implode merely because they are quant funds. For the record, I don't know what they all are either, but I know a few of them.
I'm hardly dismissing them because one took too much leverage and blew up,the article listed quite a few that were under-performing(putting it mildly) and I know of more besides.You quant guys sure are defensive.[/QUOTE]
Sure there are some that are underperforming, there always are, quant or no quant. Exogenous events happen. Would you surmise that some non-quant funds have been hurt by margin calls and higher haircut rates?
Besides, it's buyer beware out there. Nodbody is forcing investors to give these funds any money. They get money because they can tell a good story or because they have a proven track record of making money.
And of course, the article only discusses a few hedge funds. There are trillions of institutional money being run quantitatively in separate account and commingled funds.
And trust me,I have trained and backed a LOT of traders and I don't see defensiveness as a virtue. [/QUOTE]
Do you see schadenfreude as a virtue? How about prejudice?
I lost total faith in these quant guys and the level of their 'genius' when one said the pattern of events that took place which blew them out of the water should only happen once every 10,000 years.Ridiculous,and frankly arrogant.[/QUOTE]
The press calls them geniuses because they have no clue about investing, the managers don't call themselves that. Do they act arrogantly around you? What is the basis for calling them arrogant?
Quote from MAESTRO:
I don't know. The assumption that all the hedge funds run mean reversion strategies is questionable. We, for example, do not run those. There are other types of statistical arbitrage that are still popular in Quant Funds. We have never changed our strategy since 2000 and we have survived Low and High volatility times. We are up nicely (21%) in 2008. However, we did have a small "dip" in January, but nothing big (around 5% or so).
Hey MAESTRO, may I ask what your educational/mathematical background is?
Thanks
Quote from makloda:
âI think there is a law tying everything together,â says Fludzinski, 52.
âItâs important to cast your net as wide as possible, because you never know what youâre going to find,â says Dimitri Sogoloff, president and CEO of New Yorkâbased quant shop Horton Point.
[/url]
Looks like they are all looking for the traders Holy Grail.
As we know black boxes that work on historical data eventually blow up.
Quote from MAESTRO:
I don't know. The assumption that all the hedge funds run mean reversion strategies is questionable. We, for example, do not run those. There are other types of statistical arbitrage that are still popular in Quant Funds. We have never changed our strategy since 2000 and we have survived Low and High volatility times. We are up nicely (21%) in 2008. However, we did have a small "dip" in January, but nothing big (around 5% or so).
Isn't arbitrage a reversion to the mean of sorts?
Quote from Spaceman3:
There is. I wanted to know if YOU knew what they are when you stated that they will inevitably implode, with the inference that they will implode merely because they are quant funds. For the record, I don't know what they all are either, but I know a few of them.
I'm hardly dismissing them because one took too much leverage and blew up,the article listed quite a few that were under-performing(putting it mildly) and I know of more besides.You quant guys sure are defensive.
Sure there are some that are underperforming, there always are, quant or no quant. Exogenous events happen. Would you surmise that some non-quant funds have been hurt by margin calls and higher haircut rates?
Besides, it's buyer beware out there. Nodbody is forcing investors to give these funds any money. They get money because they can tell a good story or because they have a proven track record of making money.
And of course, the article only discusses a few hedge funds. There are trillions of institutional money being run quantitatively in separate account and commingled funds.
And trust me,I have trained and backed a LOT of traders and I don't see defensiveness as a virtue. [/QUOTE]
Do you see schadenfreude as a virtue? How about prejudice?
I lost total faith in these quant guys and the level of their 'genius' when one said the pattern of events that took place which blew them out of the water should only happen once every 10,000 years.Ridiculous,and frankly arrogant.[/QUOTE]
The press calls them geniuses because they have no clue about investing, the managers don't call themselves that. Do they act arrogantly around you? What is the basis for calling them arrogant? [/QUOTE]
I never called them arrogant,I used the word arrogant in the context of that particular scenario.If I was looking for adjectives,I'd probably say they have an over-inflated sense of their own self-importance.
To be honest I'm a little angry with myself for giving them more respect than they deserve.All these quants have their Achilles Heel,just lurking in their systems,it doesn't matter what sort of returns they generate,how many near-scrapes they have,one vicious,unpredicted move and there is the potential for it all to come crashing down like a house of cards,as has been proven.
And that is why they are so vulnerable and always will be.
I stand corrected http://www.bloomberg.com/apps/news?pid=20601087&sid=aMyQ3dld4Mc4&refer=homeQuote from makloda:
Anybody notice they stopped writing articles about trendfollowing/managed futures funds?
if that is not giving away too much, what is your avg holding period?Quote from MAESTRO:
Thank you for your kind words. It wasn't easy. I spent many sleepless nights in the office hedging us through LIFE securities when the US markets were closed on that horrible Monday! It did cost me a few more grey hairs, but staying true to our strategy paid off! It was a good test to our survivability! We had a big drinking party amongst us, Quants, when it was all over and we survived with glory! I had a hangover for 4 days! Itâs not like my young days when I could drink anybody under the table!
simmons once said theirs was about 15 minutes ... thnx.
Quote from $preader:
Sure there are some that are underperforming, there always are, quant or no quant. Exogenous events happen. Would you surmise that some non-quant funds have been hurt by margin calls and higher haircut rates?
Besides, it's buyer beware out there. Nodbody is forcing investors to give these funds any money. They get money because they can tell a good story or because they have a proven track record of making money.
And of course, the article only discusses a few hedge funds. There are trillions of institutional money being run quantitatively in separate account and commingled funds.
And trust me,I have trained and backed a LOT of traders and I don't see defensiveness as a virtue.
Do you see schadenfreude as a virtue? How about prejudice?
I lost total faith in these quant guys and the level of their 'genius' when one said the pattern of events that took place which blew them out of the water should only happen once every 10,000 years.Ridiculous,and frankly arrogant.[/QUOTE]
The press calls them geniuses because they have no clue about investing, the managers don't call themselves that. Do they act arrogantly around you? What is the basis for calling them arrogant? [/QUOTE]
I never called them arrogant,I used the word arrogant in the context of that particular scenario.If I was looking for adjectives,I'd probably say they have an over-inflated sense of their own self-importance.
To be honest I'm a little angry with myself for giving them more respect than they deserve.All these quants have their Achilles Heel,just lurking in their systems,it doesn't matter what sort of returns they generate,how many near-scrapes they have,one vicious,unpredicted move and there is the potential for it all to come crashing down like a house of cards,as has been proven.
And that is why they are so vulnerable and always will be. [/B][/QUOTE]
How "hedged" are those quant funds in fact ? (remember LTCM)