All of these firms give ~100mm of capital (pre-leverage) to each PM as a starting point.
Millenium pays 15% of P&L (lose 5% and capital / risk is cut in half…lose 10% and you are fired). Exodus pays 16% of P&L with similar risk metrics (they are a little more generous with relative value strategies) Citadel is similar.
BlueCrest, Schoenfeld and Balyasny are typically a little tighter on risk (lose 5% and you are fired). Bluecrest pays 30% of P&L (highest in the industry)
The idea is that each pod has open upside and limited downside with a trailing risk limit. There is no tolerance for the deep drawdowns experienced by many institutional investors.
One thing that brings my blood to a boiling point is when an absolute return guy starts talking about his return relative to anything. My response was, “You are not relative to anything, my friend. You can’t be in the relative game just when it suits you and in the absolute game just when it suits you. You are in the absolute return game. ### “I don’t have any tolerance for trading losses. I hate losing money more than anything. Losing money is what kills you. Not the actual loss. The fact that it messes up your psychology.” Michael Platt (Bluecrest Capital)
If you don’t want to believe in the performance citied from sources in Bloomberg/Refinitiv.
I have nothing to respond. Why should i be afraid to discuss with you?
Managing the risk and my max drawdown is always my No1 concern when managing my portfolio.
This is simple maths but useful for comparison in max drawdowns.
Everyone (including PM) has their own risk appetite, try losing USD 10 mio (or 20%) in a month and two months in a row and there will be doubt on the system and a re-check is probably necessary.
You are obviously a direct shooter and has a lot of negative opinions on Citadel and Bluecrest.
Bluecrest is higher but the 5yr out-of-sample annualized return of Citadel Wellington is only 23% (posted earlier). If you can’t even beat that and has to call it a myth, I don’t think your system is very good.
Just curious, how much capital are you currently managing or used to manage?
I think (at least me and Jim and perhaps other P123 members) are interested to know before listening to any further investment advise from you.
I don’t want to get into the statistics of a geometric random walk (which would be pertinent I believe). I think it would put me to sleep.
Rather, a real question. Was Quantopian just a place where hedge funds funded contests to get us to give them our best ideas?
I mean only the technical dsta could be used to make real trades. Again, the rest of the data was for their contests.
Real question.
But P123 does not ask you to give away secrets. Has some good built-in features. Now you can do whatever you want with downloads in any computer language you want to, or on any menu driven platform with the downloads. ChatGPT can help with some of the details. And P123 is working on AI/ML within P123.
I am absolutely sick of people saying Quantopian is some standard for machine learning while P123 is for uh…fundamental analysis or something.
At severe risk of getting kicked off of the of the P123 forum for reasons I will never understand: P123 is the premier site for machine learning for retail investors in the world. With no close competitor at the moment
There I said it. If I never post on P123 again you will know I have been kicked off for some reason (that again, I will never understand).
In case Kurtis is reading this: no irony. P123 really is the best—not that they realize it or wouldn’t hate you for saying it.
Duckruck, I don’t have access to the two papers you cite. Can you explain to me whether you’re alleging that BlueCrest is posting fraudulent returns or whether they’re using some sort of odd mechanism to measure their returns or maybe something else . . . I’m just curious where you’re coming from since I know next to nothing about this. I do know that the SEC charged them with misstatements and omissions, but I don’t think that was about these returns. Thanks!
P123 really is the best—not that they realize it or wouldn’t hate you for saying it.