Statistics and Finance

[Nonius]

brain damaged and he ran a CTA, wrote a book and fooled your bank into hiring him. that's fucked up bro, I see your point. I'd like to be that guy (minus the brain damage).

[NeroTulip]

Sounds like he pulled a Keyser Soze.

[chiral3]

"Sounds like he pulled a Keyser Soze."



That's exactly it. People figured it out pretty quickly and he wound up in the rubber room fast. The CTA did basically nothing. The book was a meta survey. In shops with balance sheet nobody asks the simple questions like "if I went down in a plane would I want this guy on the island with me? Would he drink my water, use my shelter, impregnate my sheep, and keep warm by my fire?"

[Maggette]

I will be honest with you guys (most people on this phorum may have already noticed anyway): I am not the brightest light in the room!!!



And I am not talking "compared to the people on this phorum". In a coprporate environment with smart people (good IT companies, engineering, better shops in the financial industry) I guess I am average at best, if not below!



But still, in my short career I have met people in the corporate world who are way way less capable than me. Sometimes this goes to a level where chiral3's term "brain damaged" describes the situation pretty accurate.



These people are often well paid. Sometimes they create a lot of damage, sometimes they just hide in the corporate jungle.



What troubles me most about these people: I might be dumb, but at least I am smart enough to recognize that and understand if somebody has more knowledge, is smarter than me or is in any other way superior to me.



More often than not, these idiots often seem not only not be troubled by their lack of competence, but also are very ambitious and pushy.



I think chrial3 is spot on.



For example, once I was introduced to a "super star trader" on the trading floor. He should trade the australian market. After talking to him I was very suspicious. But again I wasn't sure either. I think sometimes in these situations there is some kind of "group think" thing working.



Turned out management had to pull the plug after a couple of weeks because of his heavy losses. But he did find another job!



So it seems these muppets have a skill set to delude.

[Polter]

Maggette, you just may be witnessing the contrast between the Dunning–Kruger effect -- and the impostor syndrome

[purbani]

I found the following paper to be of interest / use in this regard



Evaluating Trading Strategies

[goldorak]

Just doing copy&paste from the article here...



There is a simple formula to translate the Sharpe Ratio into a t-statistic:

T-statistic = Sharpe Ratio × √Number of years

[HankScorpio]

>For example, once I was introduced to a "super star trader" on the trading floor.

>He should trade the australian market. After talking to him I was very suspicious.

>But again I wasn't sure either. I think sometimes in these situations there is some

>kind of "group think" thing working.

>

>Turned out management had to pull the plug after a couple of weeks because of

>his heavy losses. But he did find another job!

>

>So it seems these muppets have a skill set to delude.



It would appear that many of these muppets are also very well connected, hence the apparent mobility.



In the corporate environment I liken these people to seagulls. They come on board, make a lot of noise, shit everywhere, and they then phuck off to cause more mayhem elsewhere.

[polysena]

"It would appear that many of these muppets are also very well connected, hence the apparent mobility."

Well in a sense this IS a superior (survival) skill, what does a network that is ineffective do for one?

Hankscorpio: "seagulls" great comparison, I will steal.

Chiral3 : "arguably at one of the most anti-intellectual peaks of the past century " very fine point- I share this impression. Used to be academia & still believe it shows when people are good (in my sense of what that it means). But I am not certain that I fully comprehend how new brain of generation Z (&>more) kids work. Surely differently. Now something will come out of this big apparent mess, but it will look different from what previous generations mine & before were structured into and probably has to be different for survival.

Greets Poly

[sigma]

An update to this very interesting thread



The cumulative performance of GTAA AdvisorShares Global Tactical ETF since inception (end 2010):

GTAA: -4.71%



For benchmarking since fund inception:

SPY (S&P 500 ETF): +77.01%

TLT (20+y UST ETF): +41.66% (I think it is price return only, not the total return - I don't have BBG to verify now. The total return must be then close to +60%)



They still have $7.76 mln AUM.



However it seems that the provider has made the right decisions (from http://www.etf.com/GTAA):



GTAA has made important changes. Capital Management replaced Cambria Investment Management as the sub-advisor on 7/28/2014. Given GTAA’s active management, we expect this change to be material with respect to exposure and performance going forward. Still, some aspects of the fund’s approach remain the same: Global tactical exposure across asset classes in a transparent package. GTAA uses other ETFs to gain exposure to these assets, an approach consistent with top-down strategy. Morgan Creek is new to ETFs but runs global tactical and equity long short strategies in mutual fund wrappers. The fund’s fee is a bit steep in context—but trading costs are manageable. We’ll have full scoring after 1 year of the new manager’s performance.





P.S. I skimmed through his paper until the strategy description:

BUY RULE: Buy when monthly price > 10-month SMA.

SELL RULE: Sell and move to cash when monthly price when monthly price below 10-month SMA.



Suprisingly, the paper is now the most downlowaded on SSRN!