Since it is a known fact that David Sklansky thinks that technical analysis is hogwash, and it was David Sklansky who got you to start this thread, then obviously, you do not use technical analysis.

Correct?

Did he mention what are the operating expenses and average trading costs for his hedge fund?

Could you link us to a few blogs where the blogger eventually got hired to a fund? or any blogs with research process you'd approve of.

thanks

I'm pretty sure that for the most part he also thinks its hogwash. But that doesn't include the buy now and sell eight seconds later variety.

Thank you for this thread, enjoyed the read, too bad you stopped answering, but you probably have a very busy life.

As a regular finance student you've certainly taught me a few things that don't come up during our studies (or at least so far) like alpha, beta and information ratio, thanks for that!

Did the book ever come out!?

+1

Working my way through this thread, but found this interesting. Since September 3, 2014 when hedgefundguy wrote GLRE and TPRE were hedge fund investments that make sense for invdividual investors:

SPY up 22%
Berkshire up 20%

TPRE down 22%
GLRE down 35%

Ouch. David Einhorn and Daniel Loeb have stunk it up in their reinsurance offerings.

Sharpe and information ratio are similar calculations but measure different things. Sharpe measures absolute returns over volatility of the absolute returns.

Information ratio measures relative or excess returns (versus a benchmark) over the volatility of the relative/excess returns.

Active investment management is forecasting. Forecasting requires information. The information ratio measures the quality of the information you use to forecast.

A true information ratio of 3 is incredibly high assuming proper benchmarking. Information ratios over 1 are outstanding.

It makes me wonder if you really mean Sharpe. And if you mean information ratio, then it makes me wonder what your benchmark is.

Understood this as saying they wouldn't necessarily go up, just that they were much more tax efficient.

I've read that on GLRE you're still essentially paying Einhorn a performance fee whereas on BRK-A or BRK-B you're not.

Elsewhere in the thread he claimed his firm produced ~2x S&P500 returns with half vol. Depending on the time period (even during short 5 year spans, large cap equities can have realized Sharpe ratios above 1), a realized Sharpe and/or IR above 3 could be possible.

Of course, someone claiming an ex-ante or expected Sharpe ratio or information ratio of 3 (for the given AUM) is pretty ridiculous (even if you're Izzy E). Having a realized Sharpe and/or IR >3 for only a few years of operation sounds more plausible (and obviously is still impressive).

That said, I know this was an informal message board thread and some anonymity is to be expected, but OP's answers and content were pretty disappointing. Some explanations of basic stuff had me rolling my eyes a few times. Not questioning his talent/intelligence - just saying that he's not a great communicator. Not holding my breath for whatever book was in the works.

I've lost touch with him but given what you are about to read I don't think he would mind my disclosing his identity. He apparently changed paths and I wouldn't be surprised if some of the posts on this thread had a little something to do with it.

http://www.reuters.com/article/us-he...-idUSKCN0X22K8

This is an interesting inference to make; what type(s) of posts do you think had any influence (even if such influence was small)?

Are you not surprised that the book project didn't (apparently) pan out?

It looks like his leaving the fund was acrimonious:

https://www.bloomberg.com/news/artic...er-exit-payout

Those questioning the ethics of hedge funds and those wondering whether his type of talent would help others to a greater degree if applied elsewhere.

Always wonder if market anomalies/inefficiencies is the main reason for these trading strategies to cease being profitable.

1. yes
2. most likely spurious due to size requirement

Capacity constraints definitely exist. Though to be fair, some recent (in the past ~5 years) high quality research suggests that the capacity of some of the more commonly known anomalies (e.g. value, momentum) is a lot higher than many critics might suggest/guess.

Said somewhat differently, if lots of people already know about (for instance) value+momentum, it's certainly reasonable to ask "well then why hasn't everyone who knows about such anomalies already piled in their $$" - certainly many folks continue to pile in, but the capacity may well indeed be a lot larger than what's already been invested.

Of course, determining the precise "upper limit" of such capacity is a bit of an art and involves a great deal of measurement error.

In the case of Pine Ridge, I wouldn't call their biggest successes (that is, being on the right side of the MBS movements that gave them such high realized Sharpe ratios) a result of trading "anomalies" or "inefficiencies" (unless of course one uses a very general/broad definition of "anomaly").