we tried to incorporate this kind of event by simulating that a scenariolike the thirties would happen every hundred years. so we used anordinary monte carlo run with moodys default tables, but stress therates a few times within the run.

<t>bnp cooper neff was supposed to trade double digit sharpes for several years.however, i think from a certain point you get more concerned about sustainability than about how to increase the absolute level. i think for an investable fundaround 4 will be the upper limit, maybe five. always talking ...

thnx. that was the kind of answer i was looking for ...

self speaking title i guess.

<t>i would expect some semantic unclarity here ... finally you find out that people have different definition of what "position" may mean ... the key question is: what movement does the trade profit from? if it is not fx, then ... what? i had discussions of that kind years back, when someone tried t...

QuoteOriginally posted by: farmerI may as well break the spell already. All he means is that he's not correlated to the S&P 500, but he also wants to say that he doesn't favor being long or short any currency.could well be. sometimes one is amazed how people abuse language for marketing.

<t>QuoteOriginally posted by: quantumarLepperbe,I would have thought that it was common knowledge rather than a being proprietary solution but after doing some research I realized that it’s not. I can’t give you an example without giving away how I do it. Sorry to spark curiosity it was unintentiona...

<t>market neutral: i am sure i read it in their material, but cannot find it now as well.nevertheless, trading EUR/YEN via two trades against dollar is a strange definition of neutrality in my eyes. i mean would he call a EUR/USD trade market neutral if it is set up via two trades in EUR/YEN and USD...

<t>QuoteOriginally posted by: farmerI think in the future he should hedge off all his currency risk, and refocus on his core competency.??? how can you trade forex without currency risk?other thing, he mentions on one of his strategy describing papers that he is market neutral. what is that supposed...

<t>i mean i do not want to load shit on some system guy running into a blackWhateverBird ... but their story is simply strange ... to add to that i still wonder why oanda tries to attract each and every small account in the world. i mean they seem to do well, but i always have to think of kingate an...

<r>olsen wrote out a letter explaining his draw down by talking about dollar trends and things of that kind. <URL url="https://www.olseninvest.com/docs/20051018.pdfin">https://www.olseninvest.com/docs/20051018.pdfin</URL> my eyes this does not go well with the claim of high frequency. from his book ...

no, but i am among those who think that alternative investment is no alternative anymore ...

<t>not an easy endeavour. i tested one strategy for biggest 1000 us stocks. the idea was to monthly regress prices to about two dozen fundamentals plus another dozen price derived indicators, then forecast and build a market neutral portfolio and hold it for a month. never traded it because my data ...

<t>QuoteOriginally posted by: quantumarSecond man,Pairs trading model that I have still producing good results in low volatility even without using intraday data, I am curious how some funds are using the same system are not making money, we must be doing some things differently. I have seen above 2...

<t>until a year ago i had a pairstrading strategy on sp500 stocks running. stopped working with vola and dispersion on lows that the system was not prepared for. flat horizontal equity curve for most of 2004. i gues in smaller stocks there is still something to earn with it, just have not found time...