Barron whats your r.o.r?? - Page 2

DcifrThs · #11 10-04-2007, 06:50 PM

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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.

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

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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

quant_trader · #12 10-04-2007, 08:31 PM

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

dazraf69 · #13 10-04-2007, 08:38 PM

You ever think about a blog dcifer?

DcifrThs · #14 10-04-2007, 09:04 PM

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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

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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

quant_trader · #15 10-04-2007, 09:19 PM

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.

DcifrThs · #16 10-04-2007, 09:45 PM

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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.

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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

DcifrThs · #17 10-04-2007, 09:47 PM

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You ever think about a blog dcifer?

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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

dazraf69 · #18 10-04-2007, 11:22 PM

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You ever think about a blog dcifer?

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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

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You in the east or west coast?

DcifrThs · #19 10-04-2007, 11:24 PM

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You ever think about a blog dcifer?

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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

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You in the east or west coast?

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NY/CT area so east coast.

Barron

CrushinFelt · #20 10-05-2007, 10:52 AM

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?