Poor Man's Hedge Fund

Discussion in 'Journals' started by riskarb, Oct 20, 2006.

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  1. You mean re-straddle components that have had outliers in opposite directions right?

    Good luck with journal no.4 Riskarb.

    I'm still trying to arrange an account with ABN AMRO through German friends...but taking some time :mad: Hopefully I can play along with you soon.

    MoMoney
     
    #21     Oct 21, 2006
  2. I am impressed :)
     
    #22     Oct 21, 2006
  3. :eek:

    You'll like ABN. I have hopes that they'll extend durations and increase the max on barriers, currently 10k euro.

    Thanks guys.
     
    #23     Oct 21, 2006
  4. They're definitely worse than BOM, and far worse than interbank. I still use Oanda due to deal size [$20k per account], tight spot spreads, and the discrete durations.
     
    #24     Oct 21, 2006
  5. Risk , how would you post here dispersion position ? In excel ?
     
    #25     Oct 21, 2006
  6. I am using an off the shelf dispersion app and lmt-expo. I won't be discussing the notionals, hedge ratios or weightings... This will be a pure dispersion with all Dow components represented. The only non trivial variable will be the outlier trades.
     
    #26     Oct 21, 2006
  7. Will you be using your proprietary dart for setting up the barriers or have you invented a different signal?

    Much success in your journey!
     
    #27     Oct 21, 2006
  8. Good idea, and we like to have a thread for Mo's interpretation.
     
    #28     Oct 21, 2006
  9. You guys keep requesting mo's translation services so often that perhaps you should pitch in a few bucks each month and compensate the guy. After all, he has to recover the tuition cost of his PhD in nuclear science.
     
    #29     Oct 21, 2006
  10. wow , just done with all ratios for NOV , best short dispersion conditions that I EVER saw...
    IMO
     
    #30     Oct 22, 2006
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