• 15% ** 4 * 22% = octuple
  • but they grew from $4M to $1B. So it was almost all new capital.
  • (note the furnishings, and the working-desk (water bottle))
  • history at credit suisse (5 + 5 yrs on sell side)
  • move from selling VIX before VIX to FoF, to trading both sides (after two years)
  • 85% OTC before 2008, now all exchange-traded
  • most option buyers are choosing based on the strike level, not the price of that level
  • “typical insurance is a put”; put protection is “overpriced”; “puts and calls are generally overpriced (structural alpha)”
  • cross-asset vol reduces drawdowns
  • variable maturity dates
  • couple weeks to shift all assets
  • 1 month straddles
  • from “feel” to a decision tree
  • big-name equity indices, sovereign (no corporate), commodities, euribor, libor, currencies
  • used to have a macro overlay
  • (says only one-month straddles, but also said variable maturity … so ……)
  • algo just implements human chosen levels
  • built its own high quality database
  • 3 programmers
  • risk management = no more than 5% of short-vol budget on any one symbol
  • (but they force the algo to pick more than 20 short-vol bets, rather than reducing the short-vol budget when the algorithm doesn’t find 20 good-enough bets.
  • having Lehman in recent memory means all traders have a major crash in their risk-management backtest/dataset
  • most new trading ideas don’t work; most years only one new idea gets added
  • regulated in hong kong & london, SFC + SFA
  • 13 staff
  • 30-30-30-10 is the strongest across asset classes, 25-25-25-25 being neutral.
  • 16 rules to the model right now
  • each year gain and lose one, “slow rocking boat”
  • delta hedging
  • 14-day redemption with new publicly-traded strategy
  • smaller clients with public-traded 1-mo straddle strategy
  • clients want explained to them how your strategy works, and understand why it should work for themselves
UCITS - the new brave world of Hedge Funds

UCITS – the new brave world of Hedge Funds

The deeply interesting, if difficult and sophisticated Hedge Fund industry, is going through important changes. UCITS, the acronym for Undertakings for Collective Investment in Transferable Securities Directives, became the main staple for the industry following the tremendous hard times of the 2007-2008 subprime Financial Crisis. I would like to join here with the Digital Edge a reproduction of…

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Mona Arshi, ‘Ghazal’

Not even our eyes are our own…
– Federico Garcia Lorca, The House of Bernarda Alba

I want to tune in to the surface, beside the mayfly,
listen to how she holds her decorum on the skin of the pond.

I want to sequester words, hold them in stress positions,
foreignate them, string them up to ripen on vines,

and I want to commune with rain and for the rain to be
merciful, a million tiny pressures on my flesh.

I refuse to return as either rose or tulip but wish
to be planted under the desiring night sky.

I want to be concentrated to a line under the pleat of your palm
and for it to radiate opalesque under shadow.

I want God’s fingers to break and for you to watch as I
fold over my sleeve, reveal the detail of my paling wrist.