Blog Profile / Speaking From The Gulch
| URL : | http://rogerenright.blogspot.com/ | |
|---|---|---|
| Filed Under: | Business & Finance / Investing | |
| Posts on Regator: | 85 | |
| Posts / Week: | 0.3 | |
| Archived Since: | February 5, 2008 | |
Blog Post Archive
Steve Diggle of Artradis Fame
Opalesque TV provides an illuminating look into Steve Diggle's former Artradis Fund Management. Mr. Diggle was one of the early entrants into the Asian hedge fund sector utilizing a "long arbitrage, long volatility" combination of strategies. Show More Summary
In pursuit of entelechy
When you begin to see the world in terms of risk and spreads, the learning curve becomes parabolic.R.E.
How Knight Makes a Market: Evidence from RWE Group
Fond of trading on the OTC Bulletin Board, among other prominent markets, Knight Capital "trades or makes a market in over 19,000 U.S. Equities" according to their website. The goal of this post, and I hope those going forward, is to examine the science behind Knight's activities. Show More Summary
On perspective
"I look at financial markets as a branch of history." -George Soros
ETF / Futures Arbitrage: FXB and GBP Futures
This post is a follow up to the recent interview with Allston Trading's Peter Nabicht, in which Mr. Nabicht alluded to putting "on a trade at the CME and we want to hedge it with an ETF." The following is a deconstruction of just such a trade. Show More Summary
On "nominal highs" and forward curves
CNBC is fond of citing "nominal highs" when silver, gold, crude, or any commodity for that matter, reach new levels. What they fail to realize, perhaps out of ignorance (my guess), or because it's a watered-down poor excuse for a financial...Show More Summary
Syria helps US fight dollar inflation
Ben prints them, Syria burns them. Inflation = flat.
Forthcoming Posts
For any new readers from Jeff Watson, ResearchPuzzle, or StromMacro, I am currently working on: Rebate Captures and Choice Markets : A look at intraday TAQ data on SPY and possibly others to discover how often the bid/ask spread is choice/locked (the same) or inverted (higher bid than the current ask). Show More Summary
Reading between the lines of Allston Trading
Several days ago I received an email from High-Frequency Trading Review containing this PDF of an interview with Allston Trading's CTO Peter Nabicht. At face value the interview is relatively benign, but reading between the lines can provide a view of the forest while the trees still remain a bit blurry. Show More Summary
Any Prime Brokers?
Looking for access to any of these crossed against any majors:BRL, NPR, IDR, TRY
On tight-coupling and redundancies
“Systems with high levels of interactive complexity are subject to failures that seem to come out of nowhere or that appear unfathomably improbably. With many moving parts and points of interaction, and with interactions that can bound...Show More Summary
Index Arbitrage for the Do It Yourselfer
This is the process used to construct a pseudo-Index Arbitrage (similar to Delta One) model of the SPRD Dow Jones Industrial ETF versus one of the front month ECBOT-listed E-Mini Dow Jones Industrial futures contracts. Our software is proprietary and was developed from scratch. Show More Summary
Clive of India
"Consider the situation in which the victory at Plassey had placed me! A great prince was dependent on my pleasure; an opulent city lay at my mercy; its richest bankers bid against each other for my smiles; I walked through vaults which...Show More Summary
Triangular Arbitrage using USD/HKD, AUD/USD, and AUD/HKD
Triangular arbitrage can be defined as the "price of a second currency expressed in terms of a third or an exchange rate calculated from two other rates." For instance, one can imply the synthetic AUD/HKD rate if one has the live USD/HKD and AUD/USD exchange rates. Show More Summary
Glencore: The Perfect Arbitraguer
Glencore, Ltd. has been a fascination of mine for years. I first learned of their existence from Copetas' Metal Men and have tried to follow their actions in the media and within the industry since. They are viewed with a certain cult-like status in my eyes as the best of the best. Show More Summary
The End of The Beginning
I have decided to leave the previous posts of this blog up as historical record. I believe they show an illuminating path of my experiences and lessons over the last several years that has brought me to where I am today. They were lessons in risk. Show More Summary
Q4 Analysis, Cont'd
I made only 19 trades in the entire fourth quarter of 2008. Seventeen trades were profitable, while 2 were not, and the 2 that were losers resulted in losses of 91% and 84% of the amount at risk. Both were trades of US Steel (X).These...Show More Summary
Q4 08 Return
+7.95% total return on the portfolio.1.94% average return on total amount risked.Q1 09 returns (or losses) will be posted in early April.
This is sickening
A 40-Year Wish ListI am thinking more and more about moving to that proverbial gulch. "Never let a serious crisis go to waste. What I mean by that is it's an opportunity to do things you couldn't do before." -White House Chief of Staff Rahm Emanuel Human misery profiteering.
Trading
Attempted to pick up a few pennies this week and managed to do just that. Just exited a few positions, had a less than hoped for return on VaR, just 4.85%; which came to 1.4% return on the total portfolio. Still holding some positions with total VaR of 32.65% of the portfolio. Hope to be back to all cash by mid next week.