We are getting closer ... Sosnoff mentioned on last night's show that ...
"We will disclose how we did last year, just don't have a number yet."
What does Karen the Supertrader and her results say about volatility? Oversold?
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We are getting closer ... Sosnoff mentioned on last night's show that ...
"We will disclose how we did last year, just don't have a number yet."
Aren't there liquidity premiums in off the run bonds but they can be put in the CAPM framework.
If the risk adjusted returns are better to sell options then why isn't every Long only overwriting or underwriting?
That is an easy one, nowhere.
What did I win?
There is a ambiguity what year her 50% return on the 100K refers to, but I think that is 2007, because I really can't believe she would have achieved 50% in 2008. And if my posts aren't clear that is because the interview isn't clear on that point. If there is an exact reference, I got it right... But feel free to go over 3 hours of talking and correct my summaries....
Next challenge?
No, nobody so far has managed to create a model for liquidity or, for that matter, to incorporate liquidity into any asset pricing model. Not to my knowledge and not in a way that is more or less accepted. I imagine there's a Nobel Prize waiting for whoever comes up with a good theory.
As to the other question, it's 'cause risk-adjusted returns aren't the only thing that people care about. Specifically, and this is even more relevant for leveraged institutions, your portfolio's risk is constrained not just by the "central scenario" measures (most commonly some flavor of historical VAR), but also by the "stress" measures (i.e. drawdown in a particularly adverse, liquidity-impaired scenario). This means that you can't just overwrite/underwrite, as you will bust your stress limits. If you could avoid marking-to-mkt/stress limits (a la the Warrenator), you could harvest these tasty returns all day long.
Question for anyone able to find these stats easily: Has the market (SPX for that matter) been down +50% in a 40-60 day period of time? It seems that if she trades having an idea of what here margin requirement would be (not guaranteed, but an idea) base off of what options she already has on the table, she may be able to withstand (in theory) these moves in the time period she trades in.
What was the largest % move in the market in a 30 day (month) period of time? Also, whatâs the chance that it occurs two months in a row?
I haven't verified but don't forget during that time period the VIX was greater than 30 (maybe even 50). A 2SD move during that time frame may have encompassed the move you speak of. SD is a moving target.
A long only doesn't have to worry about risk parameters. And the long only community is 1000x the vol community. If risk adjusted returns were better they should all be selling puts rather than being just being long stocks. Why is the long only community a net buyer of puts?
I know for a fact that traditional long only real money investors care very much about their risk of loss, regardless of whether they measure it in a formal manner. That's precisely why the "protective put strategy" and, more generally, the concept of "portfolio insurance" has always been one of the most basic and popular ones. I mean I could go on about the gory details, but that's neither here nor there in the grand scheme of things. In summary, the real money community ARE buyers of puts, based on my knowledge and experience.
Nice, totally agree.. with no risk, we only get 3% annually. Satisfied? go for it and good luck. Me, i REFUSE 3% and taking more suitable(for me) risk in order to gain more.