#opalesque

[rysinka]

Stained glass light

Prague - 2019

[erdjie]

Opalescence

[notes-on-business-models]

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

[nunofernandes12t]

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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[ein-bleistift-und-radiergummi]

Vintage Art Deco Opalesque Cocktail Shaker