My Hedged Fund - Another "Trend-Following" Post

This is a discussion on My Hedged Fund - Another "Trend-Following" Post within the Trading Journals forums, part of the Reception category; Calm down Adam I was only speaking hypothetically. The point being that many traders don't need a lot of infrastructure ...

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Old Jan 5, 2011, 7:33am   #22
Joined Dec 2003
Re: My Hedged Fund - Another "Trend-Following" Post

Calm down Adam I was only speaking hypothetically. The point being that many traders don't need a lot of infrastructure and expense to make good returns. After all, there were plenty of successful investors and traders before computers.

As for working in Swindon versus Mayfair, don't ever think that a flashy address versus a non flashy one means an extra 1000+ basis points per year. If anything the Mayfair office is an important part of the hedge fund scam.
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Old Jan 5, 2011, 7:38am   #23
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Re: My Hedged Fund - Another "Trend-Following" Post

What about the attractive secretaries?
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Old Jan 5, 2011, 4:25pm   #24
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Re: My Hedged Fund - Another "Trend-Following" Post

Boston - can you type on this thread on a daily basis? Let us know what you're thinking, and if any orders/stops are close.

Also, it will help prevent the thread sinking beneath all the others.
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Old Jan 5, 2011, 8:25pm   #25
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Re: My Hedged Fund - Another "Trend-Following" Post

Quote:
Originally Posted by anley View Post
Calm down Adam I was only speaking hypothetically. The point being that many traders don't need a lot of infrastructure and expense to make good returns. After all, there were plenty of successful investors and traders before computers.

As for working in Swindon versus Mayfair, don't ever think that a flashy address versus a non flashy one means an extra 1000+ basis points per year. If anything the Mayfair office is an important part of the hedge fund scam.
Sorry I was trying to be humorous and obviously missed the mark.

I agree that many (successful) traders don't need a lot of infrastructure for the size they are trading. But you specifically said $1bn of capital and I assure you this is a whole different ball game that does require significant investment to mitigate the risks (operational risk, not market risk).

Mayfair vs Swindon....well it's not going to earn you 1000 bp a year, but who said running an investment firm was all about returns? Sure, returns do have some correlation to profitability, but the management fee is the basic method of income for these companies and that is all about attracting investment into your fund (the Mayfair address will certainly help here)
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Old Jan 6, 2011, 7:28am   #26
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Re: My Hedged Fund - Another "Trend-Following" Post

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Originally Posted by adamscj View Post
Mayfair vs Swindon....well it's not going to earn you 1000 bp a year, but who said running an investment firm was all about returns? Sure, returns do have some correlation to profitability, but the management fee is the basic method of income for these companies and that is all about attracting investment into your fund (the Mayfair address will certainly help here)
Good point, now we're talking on the same wavelength. Returns, but for who
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Old Jan 6, 2011, 1:29pm   #27
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Re: My Hedged Fund - Another "Trend-Following" Post

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Originally Posted by adamscj View Post
meanreversion - two 30% drawdowns in a year sounds quite hefty - what kind of annualized vol are you running at?
I've gone back and built in the following metric to my software (Amibroker).

Take the standard deviation of all daily returns, as expressed in percentage, and multiply the resulting number by sqrt 252.

I then backtested with stake size of 0.5% per trade, 0.75% and 1.0% (I trade 0.75%).

The volatility of returns is fairly constant for each stake level, whether going back 5 or 15 years. For 0.5%, I get a vol of 20%, for 0.75% a vol of 30% and for 1.0% a vol of 40% (approximately).

I also look at CAGR/max drawdown, which tends to be high for 0.75% or 1.0%. So in answer to your question, my backtested vol is around 30% (roughly twice the stockmarket). I can't bring myself to go and dig up all my old closing equity balances, maybe that's something I'll monitor going forward.
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Old Jan 7, 2011, 3:55pm   #28
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Re: My Hedged Fund - Another "Trend-Following" Post

C'mon Boston, we need a daily input from you to keep this thread from being lost forever .. ?!??!
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