http://sigmarising.com/portfolio-management/the-junk-rally-and-quant-hedge-fund-underperformance-a-lesson-in-asymmetric-risk/ The Future ain't what it used to be Thu, 28 May 2009 14:28:35 -0600 http://wordpress.org/?v=2.8.2 hourly 1 http://sigmarising.com/portfolio-management/the-junk-rally-and-quant-hedge-fund-underperformance-a-lesson-in-asymmetric-risk/comment-page-1/#comment-10 bleck Thu, 28 May 2009 14:28:35 +0000 http://sigmarising.com/?p=22#comment-10 how does this compare to quant funds more as (essentially) liquidity providers, ie betting on short term mean reversion, and trading at higher frequencies? in such a case, aren't they short gamma and collecting each day until something wacky happens? how does this compare to quant funds more as (essentially) liquidity providers, ie betting on short term mean reversion, and trading at higher frequencies? in such a case, aren’t they short gamma and collecting each day until something wacky happens?

]]> http://sigmarising.com/portfolio-management/the-junk-rally-and-quant-hedge-fund-underperformance-a-lesson-in-asymmetric-risk/comment-page-1/#comment-5 SigmaRising Mon, 18 May 2009 13:29:17 +0000 http://sigmarising.com/?p=22#comment-5 Yes, you are correct. The "value of firm assets" means the value of the actual business as a going concern. Imagine you could go into the market and buy all the firms stock and debt. This is the value the article is referring to. Yes, you are correct. The “value of firm assets” means the value of the actual business as a going concern. Imagine you could go into the market and buy all the firms stock and debt. This is the value the article is referring to.

]]> http://sigmarising.com/portfolio-management/the-junk-rally-and-quant-hedge-fund-underperformance-a-lesson-in-asymmetric-risk/comment-page-1/#comment-4 Dave Mon, 18 May 2009 07:42:53 +0000 http://sigmarising.com/?p=22#comment-4 Could someone claify "value of the firm’s assets" - I assume this means the value of the actual business (exc debt) sold for a fair price as a going concern, rather than the firesale value of some plant and the like? Could someone claify “value of the firm’s assets” – I assume this means the value of the actual business (exc debt) sold for a fair price as a going concern, rather than the firesale value of some plant and the like?

]]> http://sigmarising.com/portfolio-management/the-junk-rally-and-quant-hedge-fund-underperformance-a-lesson-in-asymmetric-risk/comment-page-1/#comment-3 What I’m reading…. « Skill Analytics Fri, 15 May 2009 14:32:22 +0000 http://sigmarising.com/?p=22#comment-3 [...] May 15, 2009 by dskills The Junk Rally and Quant Hedge Fund Performance: A Lesson in Asymmetric Risk [...] [...] May 15, 2009 by dskills The Junk Rally and Quant Hedge Fund Performance: A Lesson in Asymmetric Risk [...]

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