Tag Archives: #HedgeFunds

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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Interview with MITIMco

Unfortunately, it's in Boston
Unfortunately, it’s in Boston

Insight into the process used by institutional asset allocator, the MIT Investment Management company.  Some highlights I found interesting:

  1. They look for younger emerging managers and focus on their process over quantitative returns.
  2. Looking for evidence of those ‘buzzwords’ like discipline and patience. Example being identifying great business and waiting four years to invest.
  3. Turning away capital
  4. LT business planning
  5. Incentives aligned with shareholders. In one case, paying expenses instead of flat management fee
  6. An environment that fosters ‘buzzwords’ like discipline, patience, etc
  7. Generalists for the most part but invests in specialists when needed.

Worth a read! Unfortunately these guys are probably in the minority of asset allocators. If the goal is to have a successful asset management business, it likely comes back to raising assets and sales/marketing.

MITIMco Interview

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

$23MM+ VIX Error

Not many image options for VIX futures unfortunately.
Not many image options for VIX futures unfortunately.

While I don’t know this individual personally, I know his shop and many former employees.

1) Outright 200MM notional VIX futures position is insane, perhaps if it’s hedging a 100B book or something. I know he likes to trade big but relative to the size and volatility…..

2) How do you forget expiration day with that kind of position size? Admittedly, when I first started out I screwed up an SPX expiration trade – thinking I could trade it on Friday when they actually stop trading on Thursday and price Friday morning.

3) More importantly, why would you trade a 200MM notional VIX futures front month INTO expiration?! Especially a vehicle that is known to be gamed often and easily, literally like playing roulette!

http://nypost.com/2015/04/12/incorrect-date-costs-broker-nearly-23m-in-liabilities/

Hedge Funds, WikiLeaks, and Insider Trading

Wonder if SAC was a  client back in the day?
Wonder if SAC was a client back in the day?

I come across some cool sh*t when researching job leads. I came across this totally random, from WikiLeaks regarding a Head Hunters pitch document to provide services to locate a CIO for Stratfor Cap. I had never heard of them before but apparently they were a Global “Intelligence” firm that has provided a lot of information to hedge funds, Gerson Lehman Group anyone?! I guess they thought they should be profiting from their info instead. I could be wrong but I don’t think econ data, especially foreign econ data, is considered insider trading? And wouldn’t you just know it – Goldman Sachs plays a big role! Started by George Friedman, I read his book “The Next 100 years” and found it to be quite entertaining actually, he’s very pro United States!

Read #4 first for some background:

http://mic.com/articles/4833/top-5-stratfor-wikileaks-revelations-so-far

Stratfor Site:

https://www.stratfor.com/about

And the pitch document:

https://wikileaks.org/gifiles/attach/139/139574_.pdf