Useful Reading

“Defining the Link Between Risk and Leverage” (PDF).

“Performance, Risk, and Correlation Characteristics” (PDF).

“Top 100 Hedge Funds” (PDF).

17 thoughts on “Useful Reading

  1. “Top 100 Hedge Funds”

    3-year compounded annual return:

    BlueCrest +24.10%
    Graham +18.49%
    Abraham +14.33%
    Millburn +13.26%
    Eckhardt +13.17%
    S&P 500 -7.70%

    Hmmm! Yea, trend following sucks!

  2. I read a story of one of George Soros’s traders who, when asked by Soros if he was confident in his currency trade, responded that he was. Soros then told him that the $200 million he had bet wasn’t a “trade” and if he was confident he should show it. Inspired by Soros, the trader ended up with over $30 billion in the trade and made a fortune.

    He left the trader position because of stress and retired at a young age to South Africa, if memeory serves me right.

    So, if you think you’re right, according to Soros, you back up the truck and go for it.

    Is that “risk”? As Buffet would say (sorry Michael) risk comes from not knowing what you’re doing.

  3. Hmmmm

    Is anyone noticing Niederhoffer at #3?
    Medallion at 62% three year compounded return?
    Yikes. That’s astounding.

    That’s significantly better than comparable trend following strategies, if I am not mistaken.

    I note Niederhoffer has been bashed by the media and also profiled rather negatively in ‘Trend Following’.
    For someone that is loved/hated so much, the guy sure has recovered well.

    Comments? Michael?

  4. Wait… medallion is Jim Simons.. not Niederhoffer.
    I apologise for my hastiness

    Niederhoffer appears at 18.3% (-16.4%)

  5. Take your “Niederhoffer” b.s. elsewhere. The man is an egomaniacal blowhard who has been lucky for short periods of time, until that luck runs out and he explodes… end of story.

    Anyone who takes him or his blog seriously should take their risk capital, convert it to quarters, and go spend it in the gumball machines at the supermarket entrance. At least when that’s all over you’ll have some neat superballs and fake tattoos to play with.

  6. (That’s not very useful, Traderjim.)

    On topic:
    It appears RG niederhoffer is not Victor Niederhoffer either.

    My apologies, again.
    I wonder where Victor Niederhoffer stacks up in the analysis?

    Does anyone have his recent performance numbers?
    I tried to find some data, but can’t find anything.
    Who can help?

  7. “That’s not very useful…”

    That’s your opinion Karl… I’m sure many others here would say the same. You’re coming to a website about trend following to ask about Victor Neiderhoffer, who puts as much stock in trend following as he does Santa Claus.

    If you’re looking for info about Victor Niederhoffer then go read his blog. I’m sure he and his sheep will be glad to tell you about his glory days and how much money he made “scientifically” during the big bull runs of the past before he lost it all.

  8. That’s still not useful, Traderjim.
    You don’t have to preach to me, Jim.
    I am designing and backtesting my own trend following systems already.

    I come onto this website because I am interested in trading and the financial markets – certainly not to defend any school of thought with seeming religious zeal, like you appear to be doing.

    I am certainly not on here to say one method is better than another. Everything works sometimes. Nothing works all the time.

    Case in point… look at Jim Simons. Is he a trend trader?
    So what does he do?
    How does he generate alpha?
    We all would do well to learn as much as we can, from ALL successful traders, such that we can generate insight and wisdom.

    Try to keep an open mind, traderjim, and contribute to the discussion.
    Personal attacks against VN are puerile and cheap.
    You are better than that. (i hope!)

  9. No Karl, you weren’t trying to contribute to any discussion. You came here trying to point out that Niederhoffer was outperforming trend followers… even though you weren’t smart enough to know who you were talking about. Then you tried again… and again you were referencing the wrong person, even though I knew what you were attempting to do in the first place. Then you asked where you could get more information and I pointed you in the right direction if that’s what you were really looking for, which is to the source.

    As far as “putting down” Niederhoffer, it’s no worse than the way he and his sheep disparage trend followers.

    As far as your efforts to assemble a trend following system (if you really are), you may want to start with doing a little more thorough research then you’ve shown the propensity for in your previous posts.

  10. Have not followed the discussion here exactly…but RG Niderhoffer is not Vic. Not sure of what RG does exactly, but I do know he has sizeable assets and decent performance. Been around for a long while…

  11. Still not useful, traderjim.

    I recognised my own mistake (and openly admitted so). Then I asked for constructive input – to which you replied with disparaging remarks re VN.
    Now, you have also sought to find fault with my system development? Give us a break, fella!
    Something obviously isn’t quite right in your life.
    I am not sure i want to partake in your drama, friend.

    I was wise enough to find and admit my own mistake before you even showed up, so I guess your point is rather moot, as is your rhetoric, so far.

    Instead of finding fault with me – or disparaging VN (or indeed, anyone else) why not join the discussion with relevant performance data on VN?

    Why not help find the performance data that I was trying to get at, instead of bickering with self declared righteous fervour?
    Exactly what emotive need does that fill, for you?

    Ignoring other types of hedge fund performance while lauding Trend followers is rather blinkered, on your part.
    Try to keep an open mind.
    Sledging others for their imperfections won’t make you any money – I can promise you that, my good man!


  12. Karl pfitzner: lol, I agree with your comments. Especially #12 and #16.

    This “Trader Jim” fellow(whoever he may be) has a dogmatic, religious, and rigid personality. He’s often quite sure about what other people should say, need to do, and how they should be. It’s strange and ironic that such a person identifies himself with trend following. Psychologically trend following can only magnify who or what you are already. The question is, “are you looking?”

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