Stained glass light
Prague - 2019
seen from United States
seen from Türkiye
seen from United States
seen from United States
seen from China
seen from United States

seen from Malaysia
seen from China
seen from United States
seen from United States

seen from United States
seen from United States
seen from United States

seen from United States
seen from Canada
seen from Hong Kong SAR China
seen from Australia

seen from United States

seen from Martinique

seen from United States
Stained glass light
Prague - 2019
Opalescence
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…
View On WordPress
Vintage Art Deco Opalesque Cocktail Shaker