Two Plus Two Publishing LLC Two Plus Two Publishing LLC
 

Go Back   Two Plus Two Poker Forums > >

Notices

Business, Finance, and Investing Making money, investing in markets, and running businesses

Reply
 
Thread Tools Display Modes
Old 10-29-2014, 07:38 AM   #301
Crane
old hand
 
Crane's Avatar
 
Join Date: Jun 2007
Posts: 1,226
Re: Hedge Fund Manager welcomes your questions

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?
Crane is offline   Reply With Quote
Old 10-30-2014, 11:32 AM   #302
Salats
old hand
 
Salats's Avatar
 
Join Date: Dec 2009
Location: Latvia
Posts: 1,472
Re: Hedge Fund Manager welcomes your questions

Did he mention what are the operating expenses and average trading costs for his hedge fund?
Salats is offline   Reply With Quote
Old 11-02-2014, 12:27 PM   #303
Allinlife
veteran
 
Allinlife's Avatar
 
Join Date: Sep 2004
Posts: 3,497
Re: Hedge Fund Manager welcomes your questions

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
Allinlife is offline   Reply With Quote
Old 11-02-2014, 08:38 PM   #304
David Sklansky
Administrator
 
David Sklansky's Avatar
 
Join Date: Aug 2002
Posts: 13,885
Re: Hedge Fund Manager welcomes your questions

Quote:
Originally Posted by Crane View Post
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?
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.
David Sklansky is offline   Reply With Quote
Old 11-02-2014, 09:06 PM   #305
Hatelijk2
enthusiast
 
Join Date: Feb 2014
Posts: 90
Re: Hedge Fund Manager welcomes your questions

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!
Hatelijk2 is offline   Reply With Quote
Old 01-25-2017, 08:50 AM   #306
Atlantis1
adept
 
Join Date: Mar 2013
Posts: 1,005
Re: Hedge Fund Manager welcomes your questions

Did the book ever come out!?
Atlantis1 is offline   Reply With Quote
Old 01-31-2017, 01:17 AM   #307
Two SHAE
old hand
 
Join Date: Aug 2012
Location: life
Posts: 1,749
Re: Hedge Fund Manager welcomes your questions

Quote:
Originally Posted by Atlantis1 View Post
Did the book ever come out!?
+1
Two SHAE is offline   Reply With Quote
Old 02-13-2017, 11:01 PM   #308
ParkerBond
stranger
 
Join Date: Jun 2016
Posts: 8
Re: Hedge Fund Manager welcomes your questions

Quote:
Originally Posted by hedgefundguy View Post
In general, hedge funds are not great investments for all but a handful of individual investors--they are better suited to institutions.

There do exist some exceptions to this (hedge fund investments that DO make sense for more individual investors--see GLRE and TPRE)
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.
ParkerBond is offline   Reply With Quote
Old 02-13-2017, 11:15 PM   #309
ParkerBond
stranger
 
Join Date: Jun 2016
Posts: 8
Re: hedge fund fees

Quote:
Originally Posted by hedgefundguy View Post
The ratio of win rate to standard deviation is known as the "information ratio" or "Sharpe ratio"--in this case, 3. The fund I manage has had a realized information ratio of over 3 for over 6 years now. For that to be from luck, the odds would be 741^6.
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.
ParkerBond is offline   Reply With Quote
Old 02-16-2017, 03:00 PM   #310
Two SHAE
old hand
 
Join Date: Aug 2012
Location: life
Posts: 1,749
Re: Hedge Fund Manager welcomes your questions

Quote:
Originally Posted by ParkerBond View Post
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.
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.
Two SHAE is offline   Reply With Quote
Old 02-16-2017, 04:26 PM   #311
PocketInfinities
old hand
 
PocketInfinities's Avatar
 
Join Date: Aug 2008
Location: Philadelphia
Posts: 1,459
Re: hedge fund fees

Quote:
Originally Posted by ParkerBond View Post
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.
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.
PocketInfinities is offline   Reply With Quote
Old 07-10-2017, 05:07 AM   #312
David Sklansky
Administrator
 
David Sklansky's Avatar
 
Join Date: Aug 2002
Posts: 13,885
Re: Hedge Fund Manager welcomes your questions

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
David Sklansky is offline   Reply With Quote
Old 07-10-2017, 06:03 PM   #313
PocketInfinities
old hand
 
PocketInfinities's Avatar
 
Join Date: Aug 2008
Location: Philadelphia
Posts: 1,459
Re: Hedge Fund Manager welcomes your questions

Quote:
Originally Posted by David Sklansky View Post
I wouldn't be surprised if some of the posts on this thread had a little something to do with it.
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?
PocketInfinities is offline   Reply With Quote
Old 07-10-2017, 06:23 PM   #314
river_tilt
adept
 
river_tilt's Avatar
 
Join Date: Apr 2006
Location: Swimming with sharks
Posts: 1,068
Re: Hedge Fund Manager welcomes your questions

It looks like his leaving the fund was acrimonious:

https://www.bloomberg.com/news/artic...er-exit-payout
river_tilt is offline   Reply With Quote
Old 07-10-2017, 07:53 PM   #315
David Sklansky
Administrator
 
David Sklansky's Avatar
 
Join Date: Aug 2002
Posts: 13,885
Re: Hedge Fund Manager welcomes your questions

Quote:
Originally Posted by PocketInfinities View Post
This is an interesting inference to make; what type(s) of posts do you think had any influence (even if such influence was small)?
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.
David Sklansky is offline   Reply With Quote
Old 07-10-2017, 08:59 PM   #316
adios
Carpal \'Tunnel
 
Join Date: Sep 2002
Location: Russian Troll
Posts: 20,822
Re: Hedge Fund Manager welcomes your questions

Quote:
Originally Posted by David Sklansky View Post
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.
adios is offline   Reply With Quote
Old 07-11-2017, 11:32 AM   #317
Rikers
veteran
 
Rikers's Avatar
 
Join Date: Feb 2009
Location: in a moment
Posts: 2,325
Re: Hedge Fund Manager welcomes your questions

Quote:
Originally Posted by adios View Post
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
Rikers is offline   Reply With Quote
Old 07-12-2017, 02:09 AM   #318
PocketInfinities
old hand
 
PocketInfinities's Avatar
 
Join Date: Aug 2008
Location: Philadelphia
Posts: 1,459
Re: Hedge Fund Manager welcomes your questions

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").
PocketInfinities is offline   Reply With Quote

Reply
      

Thread Tools
Display Modes

Posting Rules
You may not post new threads
You may not post replies
You may not post attachments
You may not edit your posts

BB code is On
Smilies are On
[IMG] code is On
HTML code is Off


Forum Jump


All times are GMT -4. The time now is 02:16 PM.


Powered by vBulletin®
Copyright ©2000 - 2017, Jelsoft Enterprises Ltd.
Copyright © 2008-2010, Two Plus Two Interactive
 
 
Poker Players - Streaming Live Online