fixed income desk at a hnw shop
d1zzle Wrote: ------------------------------------------------------- > glacier88 Wrote: > -------------------------------------------------- > ----- > > I am in IT. Passed I&II at first attempt. Good > > chance to pass III. > > > > I realize it is a uphill climb to land an > > investment job so I am focusing on building my > own > > portfolio, returns 3x SP 500. > > That and a quarter might get you a cup of coffee. > No offense, but the first thing you should know > about getting an investment job is that it has > VERY little to do with outperforming the market. http://www.break.com/usercontent/2008/4/Office-Space-I-have-people-skills-488721
bpdulog Wrote: ------------------------------------------------------- > d1zzle Wrote: > -------------------------------------------------- > ----- > > glacier88 Wrote: > > > -------------------------------------------------- > > > ----- > > > I am in IT. Passed I&II at first attempt. > Good > > > chance to pass III. > > > > > > I realize it is a uphill climb to land an > > > investment job so I am focusing on building > my > > own > > > portfolio, returns 3x SP 500. > > > > That and a quarter might get you a cup of > coffee. > > No offense, but the first thing you should know > > about getting an investment job is that it has > > VERY little to do with outperforming the > market. > > > http://www.break.com/usercontent/2008/4/Office-Spa > ce-I-have-people-skills-488721 LOL. It’s amazing how true it really is…
d1zzle, you are acting like you know it all and are either warren buffett or steve a cohen. Active Portfolio Management is all about beating the market for your kind information. Fundamental equity or bond Research is again about identifying undervalued securities with a potential to outperform the market. Sure, asset liab management approach focuses on immunizing the liability, but 99% of mutual funds will have atleast 1 fund with the mandate of beating its designated benchmark. If this guy here who claims 3x return relative to S&P 500 is true, then I would say, either he is brilliant or lucky. For his sake, I hope he is brilliant though, as I like to wish people the best. You on the other hand, seem to like to break their spirits or find opps to insult them. d1zzle Wrote: ------------------------------------------------------- > glacier88 Wrote: > -------------------------------------------------- > ----- > > I am in IT. Passed I&II at first attempt. Good > > chance to pass III. > > > > I realize it is a uphill climb to land an > > investment job so I am focusing on building my > own > > portfolio, returns 3x SP 500. > > That and a quarter might get you a cup of coffee. > No offense, but the first thing you should know > about getting an investment job is that it has > VERY little to do with outperforming the market.
Riyaz, d1zzle doesn’t talk about risk or over what time period, so it is really useless to throw out there unless you’re trying to impress girls.
PM of hedge fund of funds
Talking about risk, i am down -1.52% in June as of today compared to -5.58% for sp500. I hedged using VIX calls so outperformed. 3x is for 2009-2010. 2011 YTD is significantly higher than 3x even after a big loss in an exchange listed chinese stock (not reverse merger). I was not trying to impress anyone. I just wanted to say “all roads lead to roma” and no matter what I am doing today, knowledge is the key. Three years CFA study teaches me to better balance risks and returns and view each investment decision from a portfolio perspective. My next step is to bring my skills (whatever you call) to help friends to grow their money. I tend to manage their accounts either as seperate accounts or as a pooled account. If I continue to do well and I could find investors, my dream is to have my own fund one day. I will appreciate it if anyone has any suggestions. riyaz Wrote: ------------------------------------------------------- > d1zzle, you are acting like you know it all and > are either warren buffett or steve a cohen. > > Active Portfolio Management is all about beating > the market for your kind information. Fundamental > equity or bond Research is again about identifying > undervalued securities with a potential to > outperform the market. Sure, asset liab management > approach focuses on immunizing the liability, but > 99% of mutual funds will have atleast 1 fund with > the mandate of beating its designated benchmark. > If this guy here who claims 3x return relative to > S&P 500 is true, then I would say, either he is > brilliant or lucky. For his sake, I hope he is > brilliant though, as I like to wish people the > best. You on the other hand, seem to like to break > their spirits or find opps to insult them. > > d1zzle Wrote: > -------------------------------------------------- > ----- > > glacier88 Wrote: > > > -------------------------------------------------- > > > ----- > > > I am in IT. Passed I&II at first attempt. > Good > > > chance to pass III. > > > > > > I realize it is a uphill climb to land an > > > investment job so I am focusing on building > my > > own > > > portfolio, returns 3x SP 500. > > > > That and a quarter might get you a cup of > coffee. > > No offense, but the first thing you should know > > about getting an investment job is that it has > > VERY little to do with outperforming the market.
d1zzle: I am not looking for an investment job. I am looking to have my own fund one day. Overconfidence maybe. Do you care to compare your personal investment performance?
I am an English teacher in China. I do corporate training, teaching Chinese bankers the difference between “I lost a lot of money” and “I have been losing alot of money” and why we say we “short” an option even when we aren’t short selling anything. Ah… FML. That “four years experience” is alot farther away for me than passing level III is…
Fee-based independent RIA investment consultant serving mainly institutions but also a few families (75% corporate and public retirement plans, 25% other). Glacier, what is the gist of your approach? mcap, how large is your organization?
glacier, your reporting standards are really funny. I don’t see how your 1.52% drop in june compared to 5.58% drop for S&P automatically translates into 3x outperformance. hahaha. That’s not how it works. Did you have 45% return in 2010? And did you have over 60% in 2009? If yes and you are telling the truth, then perhaps your 3x claim might be justified. You asked for suggestion, so that’s why I am bluntly giving you advice. If you are so smart (and there are a handful of people who are), there are public websites that track performance and where no one can cheat. You can try those and prove your mettle. CAPS from Motley fool is one (I am on it) There are few others. Of course, if you open 20 accounts and outperform in 1 then its no fun. So you must create an account on the above with your real name and show the world that you are not just making numbers up, but have really good smarts. Good luck! glacier88 Wrote: ------------------------------------------------------- > Talking about risk, i am down -1.52% in June as of > today compared to -5.58% for sp500. I hedged using > VIX calls so outperformed. 3x is for 2009-2010. > 2011 YTD is significantly higher than 3x even > after a big loss in an exchange listed chinese > stock (not reverse merger). > > I was not trying to impress anyone. I just wanted > to say “all roads lead to roma” and no matter what > I am doing today, knowledge is the key. Three > years CFA study teaches me to better balance risks > and returns and view each investment decision from > a portfolio perspective. > > My next step is to bring my skills (whatever you > call) to help friends to grow their money. I tend > to manage their accounts either as seperate > accounts or as a pooled account. If I continue to > do well and I could find investors, my dream is to > have my own fund one day. > > I will appreciate it if anyone has any > suggestions. > > riyaz Wrote: > -------------------------------------------------- > ----- > > d1zzle, you are acting like you know it all and > > are either warren buffett or steve a cohen. > > > > Active Portfolio Management is all about > beating > > the market for your kind information. > Fundamental > > equity or bond Research is again about > identifying > > undervalued securities with a potential to > > outperform the market. Sure, asset liab > management > > approach focuses on immunizing the liability, > but > > 99% of mutual funds will have atleast 1 fund > with > > the mandate of beating its designated > benchmark. > > If this guy here who claims 3x return relative > to > > S&P 500 is true, then I would say, either he is > > brilliant or lucky. For his sake, I hope he is > > brilliant though, as I like to wish people the > > best. You on the other hand, seem to like to > break > > their spirits or find opps to insult them. > > > > d1zzle Wrote: > > > -------------------------------------------------- > > > ----- > > > glacier88 Wrote: > > > > > > -------------------------------------------------- > > > > > > ----- > > > > I am in IT. Passed I&II at first attempt. > > Good > > > > chance to pass III. > > > > > > > > I realize it is a uphill climb to land an > > > > investment job so I am focusing on building > > my > > > own > > > > portfolio, returns 3x SP 500. > > > > > > That and a quarter might get you a cup of > > coffee. > > > No offense, but the first thing you should > know > > > about getting an investment job is that it > has > > > VERY little to do with outperforming the > market.
I am not a know-it-all by any means but it seems, as of late, I am becoming part of the minority on this board that actually works in investments in one form or another. And for the record, I work in AM for a top firm. I’ve outperformed the s&p for the last 1,3,5 on a risk adjusted basis. Its funny, I wasn’t trying to start controversey here, just trying tto give some honest advice that if you really want to get into investments you need to worry about more than just being able to beat the s&p.
Riyaz, since this is CFA forum, I do not want to discuss my returns too specifically. If you read my previous posts, it should be clear to you why I mentioned June’s performance. I believe how a portfolio behaves in a down market says a lot about the risk it takes (kind of responding someone’s question regarding risk adjusted return). My YTD is much higher than 3x. HawgDriver, ‘buy low and stay nimble’, this week barrons’ headline, summarizes my style well. Also I trade a lot equity options, long and short. Mostly directionally bets and i hedged the volatility risk. Another source of alpha is market timing. Not a day trader, but I do not hesitate to take profits and leverage down when market becomes volatile. I found this could easily double the performance of buy and hold (in contrast of what CAFI teach us). D1zzle, If you really want to be helpful, why don’t you just say what else are important? I have the benefits of a small portfolio, but I fail to comprehend why so many PM are interested in saying their sharpe ratios are higher than their BK. Long term return has little to do with SR. Absolute return and standard deviation both (instead of SR alone) are more important.
Glacier, that’s interesting…how do you hedge the volatility risk to a portfolio of options on (I’m guessing) a handful of names? Is it something as simple as VIX options, or is it more complex (and accurate)?
I do not have any mathematically proven system. I know this could be done but it will be at the cost of average performance. What I do is to net out longs and shorts and estimate how much Vega exposures I have under some scenarios. I only hedge a portion of that, say 30%. Then i buy VIX calls or spreads. It worked well in march when VIX spiked to 37 but honestly I am not sure how effective it will be handling the 2008 scenario. So to me the first line of defense is still not to leverage too high; second i further leverage down when the market seems rich for a turn (so I might leave too much on the table). Do you trade a lot options? Do you have a system to hedge vega exposures?
glacier88 Wrote: ------------------------------------------------------- > the benefits of a small portfolio, but I fail to > comprehend why so many PM are interested in saying > their sharpe ratios are higher than their BK. Long > term return has little to do with SR. Absolute > return and standard deviation both (instead of SR > alone) are more important. When working in AM, there are (IMO) two main reasons why SR is so important. 1. You manage MULTIPLE portfolios for MULTIPLE clients with varying degrees of risk exposure. If a client is 50/50 why would it make sense to compare then to the S&P 500? 2. AM isn’t about outperforming markets - it’s about understanding clients and managing money in a manner they are comfortable with. When you can show a client that you took LESS risk than the overall market, but were able to give them a better return, it is a powerful combination. Imagine being able to tell Grandma that she doesn’t have to worry as much at night because not only did her portfolio fluctuate less than the overall market, but it actually had a higher return as well.
glacier88 Wrote: ------------------------------------------------------- > > Do you trade a lot options? Do you have a system > to hedge vega exposures? No, I don’t trade. If you are trying to defend losses arising from a transition to a higher volatility regime, maybe you could equally long the most OTM calls and puts, and sell (take gains/rebalance hedge) into the rising vol? I apologize if that’s too obvious, I don’t deal with options strategies, just thinking out loud. I don’t know how much VIX would represent the risk I’m trying to hedge.
If I net long on options and thus volatility, I do not need to hedge rising volatility. If I short both calls and puts, as you said, I could cover calls to raise cash when market turns down. However when the Vol rise too quickly, the calls could be losers. Thus I always need to pay attention to vega.
Are you trying to immunize vega?