Category Archives: Hedge Funds

Jane Street

Interesting look at Jane Street Capital, quant shop du jour. I’ve heard of their difficult interview process. Interesting they have the capacity to do some discretionary trading as well.

http://www.nytimes.com/2016/02/23/business/dealbook/a-new-breed-of-trader-on-wall-street-coders-with-a-phd.html?_r=1

 

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DrawDown Fever

Everyone, everywhere has no tolerance for draw down. More than rate of return, drawdown seems to be the ultimate optimization metric. “If I reduce the drawdown I can increase the leverage and viola!” This usually ends badly. I love this article because it shows that no matter who the manager is or what the strategy is, drawdowns are inevitable. Institutions manage money because they are supposed to be more sophisticated, only to do exactly what retail does (panic at the wrong time) and charge you a nice fee for it.

https://blog.thinknewfound.com/2016/02/god-buffett-three-oenophiles/

Take Down of Universa (Taleb’s old hedge fund) in WSJ

Stop looking at me swan

Awesome takedown of this poorly written paid advertisement by WSJ on Universa returns:

https://www.tastytrade.com/tt/shows/you-gotta-be-kidding-me/episodes/black-swan-fund-09-03-2015?locale=en-US&utm_campaign=archive&utm_medium=twitter&utm_source=social-share

And they (Empirica, Universa, Taleb, etc) seem to do this often:
http://www.businessinsider.com/watch-out-investors-the-black-swan-funds-arent-that-good-2009-6

Apparently for 2-5k, you too can be an ‘amazing’ or ‘smartest guy I know’ in the WSJ!

Good Post on Position Sizing

Believe it!
Believe it!

Good post on position sizing techniques of qualitative managers. Good quantitative managers spend a lot of time on this, but their strategy with robust historical data lends itself to it. By now I’m sure most people have heard of kelly betting? I think most qualitative PM’s utilize some form of fixed position sizing based on trial & error….I think there is room for improvement.

https://whatheheckaboom.wordpress.com/2010/10/30/position-sizing-in-value-investing/

Edit: 7/14/15

Another excellent post/pdf on position sizing h/t @rjs2006

http://www.grizzlyrockcapital.com/Diworseification_GrizzlyRock.pdf

We’re All Doing the Same Thing

The Thundering Herd
The Thundering Herd

I think even fundamental guys have to be thinking this too:

Quantitative Blow-Ups: We are all doing the same thing.

You can still get rich but it becomes more lottery/musical chairs then an intellectual endeavour or learning a skill