tag:blogger.com,1999:blog-35316766.post1438474663962318523..comments2023-11-03T09:17:54.879-04:00Comments on The Perplexed Investor: Hedge Funds and Systemic Risk - HF Profile (II)Leisa♠http://www.blogger.com/profile/10237875938400587600noreply@blogger.comBlogger12125tag:blogger.com,1999:blog-35316766.post-68076644974436194182007-08-21T01:12:00.000-04:002007-08-21T01:12:00.000-04:00Facile vs. facile.Aye, there's a concept. Which co...Facile vs. facile.<BR/><BR/>Aye, there's a concept. Which comes more easily, the thought or the words?<BR/><BR/>I'm so hopelessly in the former camp that this is the best I can do.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35316766.post-62080228725463190412007-04-11T09:56:00.000-04:002007-04-11T09:56:00.000-04:00Hitchhiker's Guide... funny, easy to read but clev...Hitchhiker's Guide... funny, easy to read but clever. "The Fabric of the Cosmos" I'll wiki and see. Nothing like a bit of spooky action to make the time go by.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35316766.post-27414864767314289832007-04-11T07:13:00.000-04:002007-04-11T07:13:00.000-04:00"Facile" meaning "superficial" or "facile" meaning..."Facile" meaning "superficial" or "facile" meaning "easily arrived at, effortlessly"? ;)<BR/><BR/>You are doing a lot of heavy lifting here Leisa. Wouldn't it just be easier to adodt EMH as your mantra, plow your monies into indices and plant redbuds instead? :)MarkMhttps://www.blogger.com/profile/08117953294389911040noreply@blogger.comtag:blogger.com,1999:blog-35316766.post-52773411688582044482007-04-11T07:03:00.000-04:002007-04-11T07:03:00.000-04:00I consulted Wiki immediately upon printing the art...I consulted Wiki immediately upon printing the article! I've not read The Hithikers Guide.... I should read it one day before I die. I do have Brian Greene's The Fabric of the Cosmos which I plan to read before my demise.Leisa♠https://www.blogger.com/profile/10237875938400587600noreply@blogger.comtag:blogger.com,1999:blog-35316766.post-8364214319771274902007-04-11T04:51:00.000-04:002007-04-11T04:51:00.000-04:00LeisaWiki to the rescue!http://en.wikipedia.org/wi...Leisa<BR/><BR/>Wiki to the rescue!<BR/>http://en.wikipedia.org/wiki/Brownian_motion<BR/><BR/>Quite scary if we conclude that your headache may be a form of Brownian motion itself! But never mind a cup of tea (or of whatever you fancy) should do the trick. ;) <BR/><BR/>Popular culture<BR/><BR/>"In Douglas Adams's The Hitchhiker's Guide to the Galaxy, Brownian motion is used to create (or rather calculate) the Infinite Improbability Drive that powers the spaceship Heart of Gold. The Brownian motion generator is a cup of hot tea."Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35316766.post-13363873047955035042007-04-10T21:48:00.000-04:002007-04-10T21:48:00.000-04:00Anonymous--thanks for the Peterson institute paper...Anonymous--thanks for the Peterson institute paper "Moral Hazard and the US STock Market: Analyzing the "Greenspan Put"? I have printed it off and plan to read it. I must profess that constants for Brownian motion and other such equational constructs make my head hurt. I do think that I've found at least three phrases that have some coherence.Leisa♠https://www.blogger.com/profile/10237875938400587600noreply@blogger.comtag:blogger.com,1999:blog-35316766.post-47210510282811284922007-04-10T18:08:00.000-04:002007-04-10T18:08:00.000-04:00Snakes and laddershttp://www.petersoninstitute.org...Snakes and ladders<BR/><BR/>http://www.petersoninstitute.org/publications/wp/02-1.pdf<BR/><BR/>http://www.dailyreckoning.com.au/ohio-put/2007/04/04/Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35316766.post-62165219912209535742007-04-10T16:11:00.000-04:002007-04-10T16:11:00.000-04:00Leisa, I am tempted to think that their final mode...Leisa, I am tempted to think that their final model was a part of resume for VAR modeling position.<BR/><BR/>A canary in the mine for the canary in the mine so to speak or the hedgies version of jawboning?<BR/><BR/>Mundanely, it would appear to me that adequate modeling would indicate that value at risk should be reduced. More arcanely the only way to make that model real would be to permit that value to be reduced.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35316766.post-65933547133475299842007-04-10T15:04:00.000-04:002007-04-10T15:04:00.000-04:00Anonymous--your comment certain denotes a far more...Anonymous--your comment certain denotes a far more facile understanding of the material than my own labored and amateur attempt. But there is something about taking the arcane and integrating into the mundane!<BR/><BR/>The fat-tail risk is indeed a risk that the authors warned. I was most intrigued by their assertion--that current value at risk models (which I know not a thing about) are inadequate. <BR/><BR/>"Mmmm sub prime, hedgie return volatility, exogenous market tests." I think that there is some potential danger lurking in them there bushes! I truly wish I understood this stuff better. I need a masters in Finance, Economics and Statistics to make sense out of any of this. But I may not know the genus and species of a snake in the bushes, but I at least want to know the danger of one. This paper for me helped me understand better some of the risks even if I'm unable to evaluate it critically.<BR/><BR/>Thank you for sharing your insights.Leisa♠https://www.blogger.com/profile/10237875938400587600noreply@blogger.comtag:blogger.com,1999:blog-35316766.post-62875335708854162632007-04-10T14:43:00.000-04:002007-04-10T14:43:00.000-04:00Leisa interesting paper...The beginning CapitalDec...Leisa interesting paper...<BR/><BR/>The beginning Capital<BR/>Decimation Partners portfolio could be the returns to the infamous Greenspan put. (perhaps you could replicate in your case??;) Since not many recieved such returns it would appear that he could not be completely trusted. Nevertheless when tested he usually came through. <BR/><BR/><BR/>To me the data presented suggest <BR/><BR/>a) that hedgies of different strategies as a group are not as hedged as they look particularly when asset weighted (out of their 30% sample) nor against the markets in which they operate outside of fat tail events<BR/><BR/>b) This unhedgedness increases around fat tails <BR/><BR/>c) Hedgies invest in instruments, markets or use investment strategies which manifest themselves in relatively high returns correlation which increases in and around fat tail events <BR/><BR/>c) The markets s-term pricing of likely hedgie creditors (guess who) themselves may be engaging in hedgie type leveraged investing strategies is correlated with hedgie returns and market returns <BR/><BR/>One quibble (from a weak statisticians view) is that it is not clear which of all the indexes used are market weighted and which not e.g. hedge fund index, SP 500 etc, attrition frequencies...CSFB indexes. <BR/><BR/>An interesting question is how a part of the financial industry whose assets have grown consistently throughout several "systemic crises" can represent a "systemic risk" such as that used to justify Fed actions. <BR/><BR/>There is in the papers flow I believe a "hedged" position about this. The implications go back to Capital Decimation Partners returns and may explain some of your perplexedness. <BR/><BR/>Only Macro, Short and Emerging hedgies seem to have taken any hits over the data period. The actual LTCM intervention involved favouring one bidder (who allowed managment to remain) over another set and injecting/promising to inject liquidity.<BR/><BR/>Mmmm sub prime, hedgie return volatility, exogenous market tests. The leveraged mind blogglesAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-35316766.post-29645900171190263922007-04-10T07:24:00.000-04:002007-04-10T07:24:00.000-04:002nd_ave--Yes, the attrition rates are rather high....2nd_ave--Yes, the attrition rates are rather high. I've said several times in different venues that I really don't believe in that hideous term "smart money", particularly when applied to hedge funds. One merely needs to watch the swish of money in and out of stocks based on updgrades and downgrades to know better. <BR/><BR/>I can look, but I think that the statistics (if there are any credible ones) that I recall on day traders is worse than hedge funds.Leisa♠https://www.blogger.com/profile/10237875938400587600noreply@blogger.comtag:blogger.com,1999:blog-35316766.post-37595964784505250922007-04-09T20:22:00.000-04:002007-04-09T20:22:00.000-04:00I am surprised at the attrition rates. It would b...I am surprised at the attrition rates. It would be interesting to compare the "half-life" of the average HF to the "half-life" of the average day-trader. If you correct for the amount of risk taken, I would almost bet that the average day-trader lasts longer-after all, he's playing with his own stash and the HF is playing with (as Bill puts it) OPM.<BR/><BR/>2nd_aveAnonymousnoreply@blogger.com