Is anyone *actually* doing this? I mean, not a <$10MM seed strategy sitting around hoping for a tracking record, but an actual, legit, marketed,...
You mean in-sample and out-of-sample? I don't think anyone has a definitive answer on that. Depends on what kind of strategy it's running.
You are not going to be building HFT. By the way, GHOST and SHELL isn't intuitive, but it's actually kind of catchy given the reference to the...
Yes, that's exactly why you have to normalize it. Benford gives you a baseline of expected distribution of digits. After accounting for it, you...
You need to normalize for Benford's law: http://en.wikipedia.org/wiki/Benford's_law
So... what you are saying is that you are not GIPS compliant? You might want to consider compliance (at least in practice, if not actually getting...
And given SOMA is what the Fed actually holds, you are basically saying that you don't actually care to talk about what you are talking about....
TARP == Treasury, not the Fed. Look at SOMA, guy, and tell me if there's 'toxic' stuff in there. Go ahead.
Of course they did (to the extent that BoA and the others had the securities on in their trading inventory). But the VAST majority of assets in...
No, I don't agree. The banks don't sell the MBS and treasuries out of their own inventory. They source it from the buy-side (pension funds, money...
I totally agree with you are rationale. (You are a python guy? I really tried to get into it; I like it a lot; but I found the lack of a good...
I'm totally confused by this... SOMA is part of the monetary policy. So is hiking rates.... why would one need to combat the other? Further,...
Okay, maybe this is the part that's not connecting: the fed will WANT rates to go up when the economy is in solid expansion. The Fed will keep the...
When the Fed buys a 10Y note for its SOMA, it will pay the dealer cash. So, cash is released into the dealer's account. When the 10Y note matures,...
OMS is technically challenging to do right, especially on a fund level. It *can* be trivially easy if it's done on a small scale and just enough...
Again, I don't see how you are not understanding this: when a bond/MBS in SOMA matures/paysoff, the money comes out of the money supply to replace...
The shell is uninteresting. Most people on ET spend faaar too much time talking about it. I suspect it's because ET guys are more software...
Why do you think they wouldn't? reserve requirement is explicitly one of their tools. You also didn't address my point that the balancesheet...
(1) Your statement was that you don't know what's in the MBS portfolio. Now it's that you don't know the quality of this stuff. Well, let me tell...
I don't *think* I agree with what you are saying, but I don't know, because I'm having a really hard time understanding what it is you are trying...
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