2016 Year in Review

While there were many things to be negative about in 2016, this year saw the birth of my first child which was an experience that has exceeded all my expectations and then some. While there is less time for reading, blogging, etc the trade off is gladly made. As one can imagine, my free time is scarce so while I will try to continue writing on this blog, updating the book list, twitter, etc my…

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Fun with Leverage

An old post regarding a simple asset allocation model that beat the average performance of the top ten hedge funds of the past 15 years got me thinking. As an aside, the average performance will be highly biased upwards as we only know in hindsight what the top 10 hedge funds were. Thinking can be dangerous. So can leverage. In the previous Python post, I tested a simple RV timing tool in VXX and combined…

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The Performance Question

“How much are you up this year?” Ummm, in investment management you can usually answer this question without hesitation. In prop trading at a broker-dealer, this is a much harder question to ask without crossing into dollar amounts. Which is slightly awkward, it’s like asking someone at a cocktail party what their salary is, a cringe worthy question. To compound the difficulty, my capital was increased a number of times making percentage calculations a mind…

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Turn and Face the Strange

In October there were 2 very large life changes for me, one was my marriage to @FoxyQuant: 2nd was my departure from my firm of the last 5 years. I guess in Wall Street terms, 5 years is a good run. As part of my exit, I signed a confidentiality clause, a non-compete, and non-disparage clause so the reasoning I can offer here is limited. I can say that I had my personal best performance…

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Capital Allocation

  It seems there has been far more focus on Capital Allocation and specifically with Hedge Fund seeding/incubation in recent years. It has always been difficult to attract capital but are those with the capital actually doing a good job? How is investing in a fund any different, on the surface, from investing in an equity or CEO?

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2013 Year in Review

The Good- I had my best year trading from an absolute profit standpoint. I had my capital allocation bumped 3x this year. I just found out last week on #3. Trading volatility, especially in the last quarter of the year, was excellent. The Bad- Although I had some great stock and risk arb deals (Rue21, ChipMos, Digital Generation, Focus Media) I had some equally phenomenally bad calls (NamTai, Brookfield Property Partners) When looking at the…

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Outperform your benchmark

This fund was pointed out to be my @unrelatednonsense, again showing quite clearly short vol trade outperforming the S&P 500. LJM Partners More info on short vol funds here and here. Speaking of outperforming the S&P 500, how about outperforming some of the best hedge funds in the world according to brand name? The blog Turnkey Analyst did a fantastic back test on a very simple portfolio allocation strategy, see for yourself:   So simple…

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One Wild Week!

Readers should know by now I am a fan of short volatility strategies in a risk defined manner. Despite having defined risk, the P&L on adverse volatility event can be quite substantial! Last week we saw an explosion of IV and RV that we haven’t seen in awhile: My P&L gyration was wild to say the least. My position was short SPX OTM puts hedged via short SPY. During the 40 handle sell off on…

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2012 YE Review

It’s that time of year again and I’ll keep the structure similar to 2011: Note – All numbers are after fees. Rather large commission fees I would add…. The Good: – I ended the year in the green thanks mostly to a successful risk arb in NXY that hit in December. – Volatility Trading was a bright spot in the book and despite some Draw Down during the summer euro crisis, the remainder of the…

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The stat arb spread between Tesoro & Valero unfortunately widened even further with news of  an acquisition of a refinery from British Petroleum at attractive prices. I had an opportunity to close the spread at what would’ve been an large but acceptable loss but instead held out further. These sort of things happen in stat arb world. Volatility Trading Update Volatility trading continues to be a bright spot after a very trying summer. My general…