Hend.Fledge.Tst Share Discussion Threads

[shroder] 01/3/2017 11:05

Possible, but out of those two types of indicators would go for momentum, mainly because AQR mention this in their blurb.

[shroder] 01/3/2017 08:38

Carillion results out this morning, just pondering on what the short side hedgies are so fixated by.

My guess it's the pension deficit which is linked indirectly to bond yields, could this be the other side of the pair, short the equity/long bonds as a hedge?

[shroder] 27/2/2017 20:41

I thought the Turtle system was long forgotten, amazed to see so much interest - thanks for the link.

The video to Curtis Faith really sums up my own conclusions, price discovery is so much easier today with market anomalies having short duration.

The last book I read relating to the Turtles was Market Wizards, last edition from memory - excellent read, as is Reminiscences of a Stock Operator, my copy is now well dog eared :)

[praipus] 27/2/2017 08:59

Shroder, yes great story see the STRT System Traders Resources Thread.


Have you read "The Way of the Turtle" ?

Epistrophy, yes got it thanks will reply shortly.

[epistrophy] 26/2/2017 16:32

(Off topic) Praipus - have sent you a message, not sure if you have seen it. Would love to get your feedback if you have the time.

[shroder] 26/2/2017 15:34

The futures fund seems to have a very poor performance relative to indexes and so on.

Trying to catch tops of over extended trends could be expensive, Dow/S & P is a good example of this.

Praipus, some years ago I spent quite (too much) bit of time researching and back testing various trading models, the only one which I felt showed some merit was based around the 'Turtle' system.

The system was designed by Richard Dennis way back when people used Lotus for spreadsheets. It became the focus of attention after Richard publicly bet a huge sum of money that traders could be taught and were not necessarily born (traders).

After the bet had expired the recruits went on to start their own funds many of which have become very successful in their own right.

From memory, I think the story is covered somewhere in 'Market Wizards' - recommended reading for any investor.

[praipus] 24/2/2017 18:06

Very interesting so much information. Have you read the managed futures fact sheet?



Also when I have time I will put charts of the funds in the AQR post.

Feel free to post the fund ticker codes as you are researching AQR and I will add the charts.

[shroder] 24/2/2017 14:28

Praipus, interesting bits and bobs popping up on the AQR web site, this link gives some overview plus data sets used.

Extract:

"How does one bet against beta? To explore these questions, we construct market-neutral betting-against-beta (BAB) factors, which are long leveraged low-beta assets and short high-beta assets."

I have downloaded the UK spreadsheet which is crammed packed with data, formulas and so on.

[praipus] 23/2/2017 21:08

The AQR post (with thanks to Shroder)

Founded by ex Goldman Sachs people

[shroder] 23/2/2017 19:32

Looking for the CLLN hedge is not easy, one possibility is long the sector (FTSE 350 Construction & Materials Index) but short under-performing individual constituents.

Sector chart

[shroder] 23/2/2017 13:12

It would be a case of finding another beta related share as a long against CLLN.

Of course the disclosure thresholds are different for long/short positions making difficult to match off positions, in some cases for overseas holders it jumps to 5%.

The only way is to go through their own monthly reporting similar as with AQR above.

[praipus] 23/2/2017 10:10

Carillion

Construction & Material

[shroder] 23/2/2017 09:44

One of their criteria seems to be momentum, adding to falling positions as they become more profitable = with something like CLLN you can see why.

This is only from a limited observation following a few of their positions, any criteria must presumably be picked up by the system, i.e computer generated data.

The idea of marrying powerful computers with raw data attracts many followers, myself included. I spent quite a bit of time trying to match the Turtle system by Richard Dennis - very difficult to avoid curve fitting imo, or at least this was the main drawback I found, especially with back testing.

I still have my old copy of Meta Stock somewhere.

[praipus] 23/2/2017 09:31

Presumably their portfolio construction is with a computer and back tested. I wonder if statistically shorting half your holdings works in the long term.

"Most systems work until everyone does it".

I use an old version of Trading Blox to back test trading system ideas.

[praipus] 23/2/2017 09:23

Air Liquide


Air Products

[shroder] 22/2/2017 17:06

It looks that way, handy if they were listed by sector but that would probably give the game away.

The two that I spotted from the list as a possible pair might be:

Air Liquide Ord Shs (4,028,574) (36,152)



Equity Air Products and Chemicals Ord Shs 728,592 5,066



It could be they are using a computer model based on their own criteria rather than actual stock picking, this would explain the large number of stocks listed (AQR Equity Market Neutral Mutual Fund has nearly 31 pages of stocks).

Interesting stuff.

[praipus] 22/2/2017 16:56

Wow...why do you think it might be pairs?

[shroder] 22/2/2017 16:27

Using AQR as an example, you can see all of their individual holdings in detail here:



These are listed a-z with longs and shorts together, the tricky bit is matching off pairs if that's how the fund is designed to work?

[praipus] 22/2/2017 16:10

How many funds are long and unhedged? I'm amazed the UK traded options market isnt more widely used and advertised since being bought by the NYSE.

Have you seen

[shroder] 22/2/2017 11:30

Praipus, this might be of general interest - posted on CLLN thread.

Intend digging a bit deeper on this, the number of LLC's entering UK market seems to be on the increase, or perhaps my research is now highlighting shorted companies?

_________________________________________________________________

Shroder22 Feb '17 - 11:26 - 3756 of 3756 0 0 Edit

The short side catches everyone's attention due to the percentage size, however how many of the shorts are un-hedged?

I ask this as traditional hedge funds are generally considered to be 'hedged' or market neutral hence the name.

looking very briefly at another stock, I picked out AQR to try and see what their motivation might be, one of their funds can be seen here:



"The Fund is designed to be market neutral, targeting a portfolio beta to equity markets of zero over a normal business cycle. We construct the portfolio based on our global security selection and asset allocation models, employing the following indicators:"

What I would like to establish is how they go about off setting short positions, are they trading pairs for example or other instruments to balance things out?

Not sure if AQR are short of CLLN but they do pop up regularly on other stocks either short or in arbs.

[praipus] 26/1/2017 15:43

Update on Odey posted by Shroder on the WAM thread:
"
Shroder
26 Jan '17 - 10:11 - 2803 of 2803 0 0

Related topic, wonder how hedge funds will cope with Dow running away?


"

What do hedge funds need:
* Volatility?
* Extreme over or under valuation?
* Emerging Economic and political trends?

Are these present in the deepest markets of the world today?

I suspect business as usual for most Hedge Funds collecting their 2% of assets under management and 20% of any year on year gain without too many concerns.

[praipus] 22/1/2016 17:28

Added HEDGETHINK to post 29 the Hedge Fund news URLS

Interesting reading even though the list was made in 2014

[praipus] 13/1/2016 16:27

Soros Fund Management LLC 6.03% of MXCP

MXCP

[montyhedge] 14/2/2015 14:37

Good thread this.