Barron whats your r.o.r??
 

Your insight into the market is phenomenal,

I feel I am a stock newb with handling my own investments (although i did a whole year of following a mock portfoilio with research prior to jumping in)

but have been quite happy with my results 13% return April - July)out of the market in August and 5.3% in Sept.

Maybe Im on the good side of variance and running hot.

So here's the ultimate question,
Whats your avg return?
Whats this years return?

Re: Barron whats your r.o.r??
 

[ QUOTE ]
Your insight into the market is phenomenal,

I feel I am a stock newb with handling my own investments (although i did a whole year of following a mock portfoilio with research prior to jumping in)

but have been quite happy with my results 13% return April - July)out of the market in August and 5.3% in Sept.

Maybe Im on the good side of variance and running hot.

So here's the ultimate question,
Whats your avg return?
Whats this years return?

[/ QUOTE ]

r.o.r. isn't the best measure to go off of.

information coefficient (or information ratio) is a far more telling measure of your skill. it is the excess returns you get (your nominal total return minus say, 3 mo tbill rates) divided by some measure of the risk you take (usually the compound standard deviation of your excess returns). it tells you how many units of return you generate for every unit of risk taken.

i currently don't have a trading book as i took my poker profits and invested a ton in private companies (basically venture capital investing on a very small scale. like $10k here or there etc. in exchange for convertible promisary notes and other types of claims on their businesses) and a lot in undeveloped land for extremely expensive country club resorts in FL at below mkt value 2 years ago (i.e. they are still worth far far more than i paid).

had i know 2 yrs ago that i'd know what i know now about investing, i wouldn't have done that since i could use the real world practice and could have an actual track record of my trades rather than a general idea.

for instance, this year, i've posted about many trade ideas. i've had some big winners (the yen at 123.18 at an 80% signal, goldman and lehman CDSs when they were trading at junk levels and have since come back a ton at an 80-90% signal, short the USD/EUR at a 40% signal, US and UK steepener bets long the 2year short the 10yr, long crude oil at 40% signal since december- this was a big one for me at my old fund too and where i got some nice returns, long the Yuan synthetically via my old fund)

and some big losers (outright shorts on the US 10yr at a 50% signal at 4.7% yield. though this one is special since i was managing it through posting. i advised covering the short at 5.25% yield and initiated the short again at 5.01%...still by far the biggest loss though i would have likely closed out at 4.8% or so, outright short on gold at $654- big loser though i changed my tune when it got to $680 when i realized i mis-weighted and misunderstood the drivers, thanks Mr. Now.... that coulda been a lot worse).

finally, others i don're really know how i would have done. i advised steepener bets on gold futures curve and diff bets on gold vs. silver that i don't have data in front of me to tell me how they played out).

i'm also probably missing some that i would have made and can't remember off hand right now lol.

anyways, i dont' have my own book right now.

while at my last job though, i was given a book to trade on my own. i could trade in most securities that the fund traded (a ton of things to do here) and if you win, they'd add it to my bonus, and if you lose they take it out of your bonus.

they said " you can lose up to 1/3rd of your bonus before we pull the plug" so i had a stop loss to worry about.

i ended up having an IR of something like .35 in the months december - may. not great, but respectable for a newb.

ideally in my next job i'll get a real money book to trade as well and can build on what i've learned.

i got 2 calls from recruiters yesterday for 2 unbelievable opportunities. i pray i get those interviews (either one). they are both for research analysts at hedge funds less than 2miles from where i live in the suburbs of NY.

one is starting in Jan 08 w/ 200mil and the other is a european quant fund from london w/ a new american office in greenwich started last year w/ $1bil.

both positions would be working very closely w/ the top portfolio managers of the funds. the $1bil fund is far far more quant oriented and has the systems built and in place. the recruiter said the fund manager was looking for a kind of right hand kid to train who was sharp, could use matlab and was passionate about markets. he also noted that since he'd be working so closely w/ the kid he'd like to get along w/ him/her and be able to get a drink w/ him/her. that would be a better fit for me ithink.

the former would be joining an 8 person team and getting in on the ground floor of a global macro hedge fund. i think as a business development experience that would be fantastic but riskier.

anyways, enough rambling about me. i hope i answered your question and thank you for your kind words. personally i don't feel i have ANYWHERE near a phenomenal understanding of markets (for one thing, i'm not quite sure how to spell phenomenal). i just want to learn and learn and learn.

Barron

Re: Barron whats your r.o.r??
 

wait, isnt this the sharpe ratio?

"information coefficient (or information ratio) is a far more telling measure of your skill. it is the excess returns you get (your nominal total return minus say, 3 mo tbill rates) divided by some measure of the risk you take (usually the compound standard deviation of your excess returns). it tells you how many units of return you generate for every unit of risk taken."

Re: Barron whats your r.o.r??
 

[ QUOTE ]
wait, isnt this the sharpe ratio?

"information coefficient (or information ratio) is a far more telling measure of your skill. it is the excess returns you get (your nominal total return minus say, 3 mo tbill rates) divided by some measure of the risk you take (usually the compound standard deviation of your excess returns). it tells you how many units of return you generate for every unit of risk taken."

[/ QUOTE ]

sharpe ratio typically refers to strategic allocations (beta) whereas information ratio refers to tactical allocations (alpha)

Barron

Re: Barron whats your r.o.r??
 

[ QUOTE ]

one is starting in Jan 08 w/ 200mil and the other is a european quant fund from london w/ a new american office in greenwich started last year w/ $1bil.


[/ QUOTE ]

If you get a job in the startup is there any chance poker players could get money into the fund at ground level?

Re: Barron whats your r.o.r??
 

Barron's newb status depends on his answer to this question:

Are markets efficient? This is a yes or no question... and to be clear, obviously i'm talking about major markets, not some little niche market that billyjoe and john doe are playing in

Re: Barron whats your r.o.r??
 

[ QUOTE ]
Barron's newb status depends on his answer to this question:

Are markets efficient? This is a yes or no question... and to be clear, obviously i'm talking about major markets, not some little niche market that billyjoe and john doe are playing in

[/ QUOTE ]
lol, thats like asking "is grey black or white? this is a binary question. answer now"

Barron

Re: Barron whats your r.o.r??
 

Do you have an example of a market that is efficient?

Re: Barron whats your r.o.r??
 

[ QUOTE ]
Do you have an example of a market that is efficient?

[/ QUOTE ]

do you have an example of a market that is entirely inefficient?

Barron

Re: Barron whats your r.o.r??
 

ok ok crushin, i'll stop beating around the bush.

i'm pretty sure you know my views on this and are probably joking or being funny or difficult. i really can't tell which.

i'm probably being levelled but anyways i'll bite here and state my view again.

i believe all markets are between the 100% efficient and 100% inefficient extremes. some markets are more efficient (equities) and some are less efficient (currencies).

since not all participants have the same access to leverage, research, etc. etc. in any market, there isn't a market that is 100% efficient. nor is there a market by which all participants fly by the seat of their pants lol.

there are such a large number (and %) of participants in equities that strive to do nothing but make a profit and pour overa ll available data that it is probably the most efficient market...yet, people like desertcat or pig4bill can both make a living trading in it w/ entirely different styles.

currencies on the other hand, are more volatile, but far less efficient. you have central banks and non profit seeking participants comprising such a large % of the capital that you can wait for good spots and make a killing. currencies are probaly the least efficient markets (that i've studied to any significant degree).

hope this helps.

like i said in my initial post. i still feel like a newb despite whatever answer i give to this quesiton.

Barron

Re: Barron whats your r.o.r??
 

[ QUOTE ]
[ QUOTE ]

one is starting in Jan 08 w/ 200mil and the other is a european quant fund from london w/ a new american office in greenwich started last year w/ $1bil.


[/ QUOTE ]

If you get a job in the startup is there any chance poker players could get money into the fund at ground level?

[/ QUOTE ]

picking alpha managers is pretty much almost as hard as beating the markets yourself. just because i work at a place doesn't mean they're any better at beating the markets than the next hedge fund.

anyways, i don't know anything b/c i haven't even been called back yet (just got the first call yesterday) so any kind of planning like that is pretty premature.

Barron

Re: Barron whats your r.o.r??
 

IC is not IR, very different measures. IC measures your skills on picking stocks/assets. Essentially it's the correlation of your views the basket of securities vs their forward returns.

IR or Sharpe is excess returns / amount of risk, or s.d

Re: Barron whats your r.o.r??
 

You ever think about a blog dcifer?

Re: Barron whats your r.o.r??
 

[ QUOTE ]
IC is not IR, very different measures. IC measures your skills on picking stocks/assets. Essentially it's the correlation of your views the basket of securities vs their forward returns.

IR or Sharpe is excess returns / amount of risk, or s.d

[/ QUOTE ]

i didn't parse that out exactly but IR contains more info than IC. IC is specifically your skill (which is what the OP was trying to get at). IR normalizes it to your risk, based on my understanding.

i used them interchangeably despite them not containing the exact same info. they both though can give a measure of your tactical skill.

thanks for the correction.

Barron

Re: Barron whats your r.o.r??
 

Well... IC doesn't always translate into IR, there's another concept here which is transfer coefficient. Anyways, way beyond the scope of this discussion, anyways, glad that you are doing well Barron, those jobs look really interesting, I am envious.

Re: Barron whats your r.o.r??
 

[ QUOTE ]
Well... IC doesn't always translate into IR, there's another concept here which is transfer coefficient. Anyways, way beyond the scope of this discussion, anyways, glad that you are doing well Barron, those jobs look really interesting, I am envious.

[/ QUOTE ]

well i don't have the job yet lol...nor do i have the INTERVIEWS yet haha. so i just have to pray for the latter. i also had a first round phone interview w/ Mastercard today. they want a risk manager (company, economy, counterparty etc.). we'll see if i did well by COB tomorrow.

thanks for your kind thoughts though.

in terms of the IC-->IR thing, all i meant is that you can get a sense of your skill from both. IC can be translated to IR when normalized by risk etc. anyways still beyond this discussion. i haven't done quant work with IC in a while so i may have the formulas mixed up in my head anyways.

thanks again,
Barron

Re: Barron whats your r.o.r??
 

[ QUOTE ]
You ever think about a blog dcifer?

[/ QUOTE ]

i have one. it's called twoplustwo BFI lol.

seriously though, some folks have mentioned it but i'm not orderly enough and what not. just lazy i guess.

Barron

Re: Barron whats your r.o.r??
 

[ QUOTE ]
[ QUOTE ]
You ever think about a blog dcifer?

[/ QUOTE ]

i have one. it's called twoplustwo BFI lol.

seriously though, some folks have mentioned it but i'm not orderly enough and what not. just lazy i guess.

Barron

[/ QUOTE ]

You in the east or west coast?

Re: Barron whats your r.o.r??
 

[ QUOTE ]
[ QUOTE ]
[ QUOTE ]
You ever think about a blog dcifer?

[/ QUOTE ]

i have one. it's called twoplustwo BFI lol.

seriously though, some folks have mentioned it but i'm not orderly enough and what not. just lazy i guess.

Barron

[/ QUOTE ]

You in the east or west coast?

[/ QUOTE ]

NY/CT area so east coast.

Barron

Re: Barron whats your r.o.r??
 

I'm debating whether or not I should get back into programming. By get back into I don't mean switch my career, I just mean start programming some things again in my free time. I can't tell yet how integral a part programming plays in a risk management position. Here where I work, we (the risk group) have our own IT people to build things for us and then we use them as needed. However, I'm thinking that if I do relocate and down the road end up looking to run a business' or trading firm's risk department, I may need to be programming my own programs.

More of a rant than a question, but to turn it into a question, what do you think?

Re: Barron whats your r.o.r??
 

Barron,

Alot of the readers here are new to these terms. You might want to consider defining them as you go along, so what you write can be followed by anyone reading your more useful posts:

[ QUOTE ]

http://www.iijournals.com/JPM/DEFAUL...amp;SID=319926

The author divides the asset allocation decision into two asset classes: beta drivers and alpha drivers. Beta drivers, which provide broad economic exposure to the financial markets, are established by the strategic asset allocation decision. Alpha drivers are designed to provide added return beyond the return offered through passive exposure to the financial markets.


[/ QUOTE ]

Re: Barron whats your r.o.r??
 

don't forget to wipe their butts too

Re: Barron whats your r.o.r??
 

Barron are you going to kill yourself once you realize all the stock market modeling and education in the world isn't going to make you better than completely random picks?

Re: Barron whats your r.o.r??
 

[ QUOTE ]
I'm debating whether or not I should get back into programming.

[/ QUOTE ]

GET THERE!

i spend now a good deal of time/week using matlab.

i get data from here: FRED

and then clean it up in Excel ---> csv

and then bring it into matlab and build a model. thats as much of the programming as i can do.

can you build something that goes to FRED, updates the csv file automatically??

anyways, my answer is don't get rusty programming b/c down the road it can't hurt and can help bigtime. i'd be working in citigroup's quantitative research division at this very moment (for 3 months already) if i could program.

Barron

Re: Barron whats your r.o.r??
 

[ QUOTE ]
Barron,

Alot of the readers here are new to these terms. You might want to consider defining them as you go along, so what you write can be followed by anyone reading your more useful posts:

[ QUOTE ]

http://www.iijournals.com/JPM/DEFAUL...amp;SID=319926

The author divides the asset allocation decision into two asset classes: beta drivers and alpha drivers. Beta drivers, which provide broad economic exposure to the financial markets, are established by the strategic asset allocation decision. Alpha drivers are designed to provide added return beyond the return offered through passive exposure to the financial markets.


[/ QUOTE ]

[/ QUOTE ]

thanks. i tend to forget that.

Barron

Re: Barron whats your r.o.r??
 

[ QUOTE ]
Barron are you going to kill yourself once you realize all the stock market modeling and education in the world isn't going to make you better than completely random picks?

[/ QUOTE ]

i don't model individual stocks, nor do i care to. i don't pick stocks. i pick markets.

so no, i won't be killing myself.

Barron