Barron whats your r.o.r??

[lambdb]

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?

[DcifrThs]

[ 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

[ahnuld]

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."

[DcifrThs]

[ 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

[Statutory]

[ 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?

[CrushinFelt]

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

[DcifrThs]

[ 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

[CrushinFelt]

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

[DcifrThs]

[ 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

[DcifrThs]

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