Quant Macro Investing

Risk Taking Disciplined

Trading – mental strategy

NYT

http://www.nytimes.com/2009/11/30/business/30kiev.html?_r=1&hpw

Ari Kiev, a Psychiatrist, Dies at 75

Ari Kiev, a psychiatrist whose early work on depression and suicide prevention led to a career helping athletes and Wall Street traders achieve peak performance, died Nov. 18 in Manhattan. He was 75 and lived in Park Ridge, N.J.

… His work with athletes caught the attention of Steven A. Cohen, the founder of the hedge fund SAC Capital Advisors, who hired Dr. Kiev in the early 1990s to coach his traders and help them deal with the stress and uncertainties of financial markets.

Dr. Kiev translated his Wall Street experiences into best-selling books on stock trading, notably “Trading to Win” (1998), “Trading in the Zone” (2001) and “Hedge Fund Masters” (2005).

… Mr. Cohen, who saw parallels between the challenges faced by top athletes and Wall Street traders and hired Mr. Kiev in 1992 to coach his employees.

Dr. Kiev helped traders develop techniques to shift abruptly from moments of extreme exertion to relaxation, as he had done with athletes, and to manage the stress that comes with uncertainty — or, rather the certainty that even good traders can expect to be right only a little more than half the time.

He also zeroed in on behavior patterns and subconscious fears that limited or even subverted investment goals. Part of his work, he often said, was to force traders to see their tendency toward denial and rationalization.

“An athlete who wants to run a four-minute mile can work backward and establish a regimen to attain that,” said Matt Grossman, who worked with Mr. Kiev at SAC and now runs his own hedge fund, Plural Investments. “Ari applied this concept to investing: set a target, then design an approach that gives you a high probability of achieving that target.”

… His book “The Mental Strategies of Top Traders” is scheduled to be published in December by Wiley.

December 2, 2009 Posted by | Tools | Leave a comment

How Happy Are We? (Facebook)

How Happy Are We?
by Adam D. I. Kramer Mon at 12:28pm
http://blog.facebook.com/blog.php?post=150162112130

Every day, through Facebook status updates, people share how they feel with those who matter most in their lives. These updates are tiny windows into how people are doing. They’re brief, to the point, and descriptive of what’s going on this week, today or right now.

Grouped together, these updates are indicative of how we are collectively feeling. At Facebook, we’re always looking for ways to help people better understand the world around them, and we’re interested in how people express their emotions with one other and the world. So earlier this year, data scientists at Facebook started a project to measure the overall mood of people from the United States on Facebook, based on the sentiment expressed in status updates.

The result was an index that measures how happy people on Facebook are from day-to-day by looking at the number of positive and negative words they’re using when updating their status. When people in their status updates use more positive words—or fewer negative words—then that day as a whole is counted as happier than usual.

Though more countries or languages may be added later, the current result is notable since it is based on the updates of all English-speaking U.S. Facebook users. In this sense, it can count as an indicator of “Gross National Happiness,” a metric only measured currently via Gallup polls and national surveys in countries such as France and Bhutan. To protect your privacy, no one at Facebook actually reads the status updates in the process of doing this research; instead, our computers do the word counting after all personally identifiable information has been removed.

For our Gross National Happiness index, we adapted a collection of positive and negative emotion words built by social psychologists. Examples of positive or happy words include “happy,” “yay” and “awesome,” while negative, or unhappy words, include “sad,” “doubt” and “tragic.” We also did a brief survey of some Facebook users, which showed that people who use more positive words, relative to the number of negative words, reported higher satisfaction with their lives.

Over time, we’ve seen spikes in the index for different days of the year. Some of the happiest days include U.S. national holidays like Thanksgiving and Fourth of July, social holidays like Halloween and religious holidays including Christmas and Easter. Wednesday, Nov. 5, 2008—when the U.S. was celebrating the election of President Barack Obama—was over twice as happy as the average Wednesday.

October 8, 2009 Posted by | Google / Internet, Tools | Leave a comment

The International Evidence of the Overnight Return Anomaly

Link

The International Evidence of the Overnight Return Anomaly


Tao Cai
affiliation not provided to SSRN

Mei Qiu
Massey University

August 21, 2009

Abstract:     
Using daily stock index data of 29 countries, we find that overnight nontrading period returns are significantly higher than both trading period returns and close-to-close daily returns in 23 countries. One possible explanation for this phenomenon could be an assertion made by Miller (1977) that divergence of opinions may cause overpricing of securities when short selling is constrained. As divergence of investor opinions build up during the overnight nontrading period, stocks tend to be overpriced when the markets reopen and then drift back to their equilibrium during the trading hours. In fact, we find greater differences between overnight return and trading-hour returns for countries having short sale constrains as against the countries not having short sale constrains. Further, volatilities of overnight returns are greater than volatilities of trading period returns in short selling constrained markets but vice versa in markets without short selling constrains. 

Keywords: overnight, return, short sale constrain

JEL Classifications: G14

Working Paper Series

September 14, 2009 Posted by | Tools | 1 Comment

The Math of The Crash, a Man Made Disaster

As of 230pm HKT 9th Sep 2009, 30 Years yield is 4.31%

 

———————————————————————–

 

 

Do Not Read That Before Thursday, 17nth September 1100 EDT
The Math of The Crash, a Man Made Disaster.
Tel Aviv, Tuesday, 8th September 2009 0909 IDT.

 
The Market Crash has now taken place on Thursday, 17nth September 2009 at 1100 EDT.
It was the 222nd year of the American Constitution:

The United States Constitution was adopted on 17nth September, 1787, by the Constitutional Convention in Philadelphia, Pennsylvania.

At 1000 EDT the Philadelphia Fed Survey was  Published.

It was also 10 years, 10 months and 10 days since the start of the impeachement process of Bill Clinton.

And, according to the Hebraic calendar, 12 years, 1 month, 1 day after the car Crash of Diana and Dodi al Fayed.

(Here we have a one day discrepancy but I believe it is because before the first day there was Toho Bohu.)
[13 and 12 are the numeric value of One in Hebrew (Chad and Echad). and 1776 = 16 x 111.]
If I could correctly predict the date of The Crash it is because it is a man made disaster.

Otherwise it would have been technically impossible.
Similarly I expect a large movement on the yield of the 30 years US TBonds on
Wednesday, 9th September 2009 1300 EDT getting below 4,150%

Reading this letter before I told you would have served no useful purpose:

 

“I do think the most relevant likely reason why we are dealing with what we are dealing with are
new forces in the international market. Their nature and their behaviour is not something
we are going to fully understand, if ever; certainly except in retrospect.”
Chairman Alan Greenspan AKA “The Delphic Conundrum”
Central Bank Panel Discussion.
To the International Monetary Conference.
Beijing, People’s Republic of China
(via satellite)
6th June 2005.

 

If you don’t understand it fully before The Crash, don’t worry, you rae not alone!

The New Forces have an obsession, among other things, with the number 111 and the Gregorian, Hebraic and Islamic Calendars.

Reading this letter before I told would have not saved you money, not even a dime:
 
“In retrospect, it appears that the most market-savvy managers,
although conscious that they were taking extraordinary risks,
succumbed to the concern that unless they continued to “get up and dance”,
as ex-Citigroup CEO Chuck Prince memorably put it, they would irretrievably lose market share.

Instead, they gambled that they could keep adding to their risky positions and
still sell them out before the deluge. Most were wrong.”

Alan Greenspan AKA “The Delphic Conundrum”
The Age of Turbulence.

 

My Yield Curve has repeatedly tried to pre-emptively trigger that event not to avail.

It anticipates, caused by The Crash, great potential dangers for economy, democracy, health, security, and freedom.

In order to thwart them, My Yield Curve established a list of global security measures that must be taken.
If taken, they should avert almost all of the negative consequences of The Crash.
The consequences of not taking them can not be exaggerated.

 

Post Market Crash Security Procedures, Blog: Instructions.
Post Market Crash Security Procedures, Facebook: Q&A Primary.
Post Market Crash Security Procedures, Twitter: 7/24 Updates.
Post Market Crash Security Measures, LinkedIn: Q&A Secondary.

 

Don’t call it 911! it is a 999 Call!
Don’t answer that Email this mail box is not monitored.
I am, yours sincerely,
Shalom P. Hamou
Chief Economist
My Yield Curve

September 9, 2009 Posted by | Tools | 3 Comments

Alpha advertising

FT

Alpha advertising

Posted by Tracy Alloway on Sep 08 08:55.

As asset management houses look to stay sharp, constantly improve and deliver the alpha investors require — Inalytics, the specialist manager evaluation firm, continues its in-depth analysis into the identification of manager skill with the launch of a new whitepaper unveiled today [Monday]. Its latest research and two accompanying portfolio case studies use hard statistical evidence to provide analysis of where managers are strong (or weak) and where the gaps lie.

GLG Partners LP, the US-listed asset manager and long-standing client of Inalytics, co-authored the whitepaper on ‘identifying manager skill’. In order to show tangible working examples, GLG granted access to two of its portfolios to illustrate how the firm uses Inalytics’ research to provide objective feedback to its managers and traders as2 part of an internal process of continual improvement.

How generous of GLG. So what do we learn from its two portfolios?

An explainer first — Inalytics gauges fund managers’ performance via `Hit Rates’ and `Win Loss Ratios’. The first measures how many more decisions a manager gets right than wrong, and the second measures whether alpha from their good decisions offsets alpha lost from the poor ones. The average Hit Rate in Inalytics’ database is 49.6 per cent, meaning managers don’t even get six out of 10 decisions right. However, the average Win Loss Ratio is 102 per cent — which means bad investment decisions are offset by good ones — albeit by a small margin.

Here then, are the results for GLG’s European mandate portfolio (between July 2001 and March 2009):
The Hit Rate for this manager has been 53.1%, and the Win Loss Ratio is 120%, both well above the peer group average, although both have suffered since mid- 2008. The Manager has a higher Hit Rate and Win Loss Ratio than you would expect from chance alone.

The results of GLG’s second portfolio, with a global mandate, are slightly more lacklustre (between January 2004 and March 2009):
The alpha was generated by a Win Loss Ratio of 111%, which is in line with the peer group average and a Hit Rate of just slightly over 50%, which is above average of the other managers at 48.5%. The last three quarters reviewed saw a sharp downturn in results for the Heavily Overweight category, due to a Hit Rate of 42% and a Win Loss Ratio of 79%.

For those interested in further info on Inalytics’ methodology and details of GLG’s portfolio performance, the full white paper is in the Long Room.

September 9, 2009 Posted by | Tools | 1 Comment