This Forum overtrades options

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Quote from Soon2Bgreat:

Go sell crazy elsewhere, we're all stocked up here.

/mental hospital
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Nice As Good As It Gets reset.
Love that one!

Female Admirer: How do you write about women so well?
Melvin Udall (played by Jack Nicholson): Easy, I start with a man, then take away reason and accountability

(pardon me if didn't get it exact, just going from memory)

I don't know why you guys are wasting time on this. Presenting logic and reason to the irrational is not going to result in the other side saying "Oh yes I see your point and perhaps I'll reconsider my position"

ok 1 more AGAIG quote:

Carol Connelly: OK, we all have these terrible stories to get over, and you-...
Melvin Udall: It's not true. Some of us have great stories, pretty stories that take place at lakes with boats and friends and noodle salad. Just no one in this car. But, a lot of people, that's their story. Good times, noodle salad.
 
Quote from bwolinsky:

Oh, yeah, how'd I do right?

Well, time weighted return indicates we had a -8.69% loss since we started trading 11 days ago.

We lost another 6% today, and my main goal is to get up 20-30% before the end of November.

CNBC reported this as the worst 6 day period <b>IN ALL OF 2011</b> so what a great time to start a new company KC Capital Management Holdings LLC.

We've turned it into an investment pool and keep track of each investor's funds accounting for it as you would a closed-end fund which would work very similarly.
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Pooling funds? That's a no-no. So the Master of the Universe is down 15 already? So do as you say not as you do?
 
Quote from Kevin Schmit:

WTF? You are down 15% in your first 12 days and you think you are on the way to $1 billion?

I thought arbitrage was supposed to be market neutral? Or is "Capital managemetn Arb" somehow different?
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Arbitrage is a hedged bet but it is not risk free when trading directionally.

We made 16% in one day, but multicharts doesn't merge real time datasources and historical correctly.

Apparently we only have data for gc #f historically but gc #f=1 from e-signal only has the last 30 days of data. Since we haven't ever actually traded gc since I applied these settings then we've been lagging, but I'm sure when we do trade all of our markets we'll hardly ever have a losing day.

Happy Thanksgiving to all!
 
Quote from bwolinsky:

Arbitrage is a hedged bet but it is not risk free when trading directionally.

We made 16% in one day, but multicharts doesn't merge real time datasources and historical correctly.

Apparently we only have data for gc #f historically but gc #f=1 from e-signal only has the last 30 days of data. Since we haven't ever actually traded gc since I applied these settings then we've been lagging, but I'm sure when we do trade all of our markets we'll hardly ever have a losing day.

Happy Thanksgiving to all!
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So paper-trading using e-signal data has you up 16%! I take it all back! Fire-up the BC Bud and thorazine!
 
Quote from atticus:

Pooling funds? That's a no-no. So the Master of the Universe is down 15 already? So do as you say not as you do?
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We established legal documents to support this. You do not understand the rules.
 
Quote from atticus:

Epilogue. His white-paper on CMA:

http://www.advisorworld.com/2010/03/23/capital-management-arbitrage


Home » Blogs » Capital Management Arbitrage

Capital Management Arbitrage
Submitted by beau on Tue, 03/23/2010 - 23:15



My interpretation of the theories of value creation I've studied are fundamental to my allocation decisions. I have learned that being a capital management contractor is on the order of being a "Financial Mercenary."

Arbitrage is explained simply as the natural progression and push towards a theoretical efficient point at which all investors agree on the price. Unfortunately, transactionalism, not necessarily the unethical kind of churning brokers do sometime, puts too much emphasis on the frequency of trading.

International Capital Asset Pricing Model Arbitrage Pricing Theory of Capital Management (iCAPMAPTCM) would indicate that our assumption of risk free rates in our portfolios needs to be re-considered in light of the jump in M1. The RFR is not simply an interest rate that can be held to maturity for a guaranteed profit b/c inflationary pressures will reduce the value of long term bonds substantially. I would like to say bonds are attractive, but being at what is likely a 20 year low in interest rates, I don't believe our bonds are anymore "risk free" than any other government bond you can buy. It is for that reason I suggest TIP for an "Inflation Plus 4" return.

With the advent of inflation protected bonds, I think we need to re-examine the implications of the RFR in our Capital Allocation Models. If we eliminate "inflation risk", a leveraged account in TIP should have no problem doing 2 digit returns regularly.

The idea I had about an Arbitrage Pricing Theory of Capital Management came when I made the connection that the CAPM denotes under- or overvaluation. The question is not necessarily what to buy than it is "What is the most efficient way to Arbitrage this mispricing?" Put that way, the CAPM becomes the iCAPMAPTCM if we add an exogenous assumption that we can count on foreign inflows into our country to exploit our capital markets inefficiency, which is not bad b/c the price usually increases when new money comes in. The CAPM can be used to measure "Arbitrage Efficiency" if it becomes a daily value that gets calculated, and if we experience "positive risk adjusted returns", the question I believe goes back to whether "these positive risk adjusted returns" were "earned too quickly." I think an Alpha-Like Measurement of CAPM model trading adds a level of clarity to the CAPM when it accounts for international inflows.

I think that's enough lecture, and I'm working out the math and didn't think equations on my blog post would be too attractive.

Read more: http://www.advisorworld.com/2010/03/23/capital-management-arbitrage#ixzz1eZxbW0JB


ICAPMAPTCM bitches!
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I'm going to try laying the ground work for this. I know what it should show, but I need to present it similarly to the icapm with exploitation variables that form the additional construct of arbitrage pricing theory of capital management. Introducing cma is a step to completing the theories of economic profit and financial science which takes a bit of Econ math and differential equation mathematical modeling and numerical methods.
 
Quote from bwolinsky:

I'm going to try laying the ground work for this. I know what it should show, but I need to present it similarly to the icapm with exploitation variables that form the additional construct of arbitrage pricing theory of capital management. Introducing cma is a step to completing the theories of economic profit and financial science which takes a bit of Econ math and differential equation mathematical modeling and numerical methods.
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PDEs? Really? Can't wait!
 
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