Vertical Spreads for Aggressive Growth

Quote from Cache Landing:



I think the highest return I saw from a hedge fund last year was like 115%. Not sure what the drawdowns were though. I don't have to be at the top of the list, as long as my drawdowns aren't severe, and I'm in the top 10-15% consistently.:p
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Just curious as to what risk adjustment numbers are you aiming at annualy or perhaps monthly with your OPM $?
 
Quote from Cache Landing:

Are you asking me for a Sharpe Ratio?
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Sharpe, annual gains vs max draws, or whatever it is that you use or plan to use to compare yourself to others. If its not a secret of course :)
 
Quote from momoneythansens:

One strategy is to have a portfolio of 50% bull verticals and 50% bear verticals choosing appropriate stocks to give you perhaps some kind of edge.
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Mav's verticals deja vu. Not a bad strat if you can pick enough symbols to match the paramaters.
 
Quote from rallymode:

Sharpe, annual gains vs max draws, or whatever it is that you use or plan to use to compare yourself to others. If its not a secret of course :)
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Not sure if I want to open myself up to all the cynics out there, but I'll give you some basic targets.

I don't like the common Sharpe ratio because it counts gains as volatility and thus penalizes you for getting returns. I guess a more accurate measure would be the downside risk ratio, but I'll just make it easy and say that we are targetting 80-90% annually with a max monthly draw of 5%.

Admittedly, the strategies we will be using are different than this journal, but the returns should be comparable. The problem with trading OTM credit spreads is that you can't brag about risk adjusted returns unless you only take samples on expiration friday. If you were to do it daily/weekly there will be many paper losses to consider.
 
Quote from Cache Landing:

I'll just make it easy and say that we are targetting 80-90% annually with a max monthly draw of 5%.
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Do this consistently and the U.S. government will forget about Microsoft and come after you with their anti trust litigations. :D

Much success in your endevour and keep us posted!

Back to your normal program. How about them bear call spreads? Would be nice to get another push for the highs this month.
 
Rally,

Another thing I forgot to mention is max NAV for the fund. The strats we'll be using are more conservative, but not necessarily better performing than the more aggressive strats that we use. When discussing the potential future of the fund, we decided that a certain strat that we originally intended on using would start becoming less effective after about $50MM. So the question is...

Do you want to manage <$50MM and target 120-150% returns, with larger draws.

Or do you want to be able to manage >$100MM and target 80% returns, with smaller draws.

We opted for the latter.:)
 
Quote from rallymode:

Do this consistently and the U.S. government will forget about Microsoft and come after you with their anti trust litigations. :D

Much success in your endevour and keep us posted!

Back to your normal program. How about them bear call spreads? Would be nice to get another push for the highs this month.
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One year at a time. I just hope that next year isn't one of my bad years. It would be nice to get some attention after the first year's numbers come in.

An associate of mine who was one of 20 managers at a very large fund, said to count on 3 years of top quartile performance before FOHFs and others with real money start to notice.

Anyway, yeah if we hit highs again I will be loving the bear calls again. Man those things lose value fast.:)
 
Given the fact you dont sell premium naked or take low r/r positions, if you keep your max monthly draws in the single digits and yield 50%+ annually you will be among the very few in the industry.

Throw us mere mortals a bone every now and then. :)
 
Quote from Cache Landing:


Anyway, yeah if we hit highs again I will be loving the bear calls again. Man those things lose value fast.:)
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You don't want to sell the put spreads with this setup? Or are you talking about some other index/equity?
 

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