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Nonius
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Posted: 2010-06-26 12:06
that link urnash posted also shows a Lo paper from 2009 on autocorrelation of returns and stated liquidity terms of funds. didn't go through the paper, but we have a much more interesting result: it predicts liquidity impairment, ie, gating, sidepocketing and suspending....

Chiral is Tyler Durden

adas


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Posted: 2010-06-27 01:00
Nonius - would be very interested to see your preliminary results.

I don't think, therefore I ham.

Nonius
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Posted: 2011-01-04 18:20
the fraud paper is done and we're finding a home for it. the liquidity impairment is pretty much done. the problem with showing work on predicting liquidity impairment is that you can't present the precise list of funds whose liquidity was impaired. conf info shit. but I think we'll list them as fund a, fund b, fund c etc. if you have data on funds that have gated, sidpocketed or suspended, it's a pretty simple exercise to check for lead lag relationships between autocorrelation and propensity to have a liquidity impairment event. this is an important result, in my opinion, not so much for investors but for people structuring fund linked derivatives/products, because your worst nightmare as a hedger of such products is the shit that you need to redeem during a drawdown period becomes illiquid.

Chiral is Tyler Durden

Scotty


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Posted: 2011-01-05 03:19

Slightly tangential, but I thought this was interesting.

Higher Risk, Lower Returns: What Hedge Fund Investors Really Earn

Which suggests that if you dollar-weight hedge fund returns, then you get treasury return levels.  Good returns early in their lives with less AUM, poor returns later with lots of AUM, hence dollar-weighting  average as another way to think about things.


“Whatever you do, or dream you can, begin it. Boldness has genius and power and magic in it.”

Nonius
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Posted: 2011-01-14 20:14
I sort of see this as a function of three factors. First, young funds have ambitious managers who want to attract capital, whereas old big fat funds want to preserve capital, ie, fees, ie, management fees. If you are running 5 or 10 or 20 billion of money and you are holding most of the management co, management fees alone are going to be quite niiiice. Second, capacity. Third, ok, two factors, sorry.

Chiral is Tyler Durden

NeroTulip


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Posted: 2011-01-14 22:07
Third, most hedge fund investors only invest AFTER seeing good performance.

Inflatable trader

Nonius
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Posted: 2011-01-14 23:49
Right! That's the third. Btw, you know any good funds that have earned 40 percent recently? I got a bonus coming up. I think.

Chiral is Tyler Durden

NeroTulip


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Posted: 2011-01-15 11:25

Sure, there are some, and you would know them better than me. But ... past performance is not indicative of future performance. And maybe they would be the ones in your fraud paper. Actually, I would really like to see your paper, is it possible to have a look?

Inflatable trader

Nonius
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Posted: 2011-02-04 22:28
sure dude.

I'll send ya an email.

Chiral is Tyler Durden

purbani


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Posted: 2011-02-05 05:50
Me too please Nonius

pj


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Posted: 2011-02-05 13:02
((In begging voice.))
Me too me too!

вакансия "Программист Психологической службы" -але! у нас ошибко! не работает бля-бля-бля -вы хотите об этом поговорить?

Nonius
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Posted: 2011-03-11 21:17
Anyway, I hand delivered the paper to Nero, but you need to give me the strats on the sample return histories on which you want me to try the model. What I can say is the first is potentially a candidate.

Chiral is Tyler Durden

dvegadvol


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Posted: 2011-03-25 18:14
If you would be so kind, I'd love to see the paper, please... Thanks

amateur


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Posted: 2012-03-26 10:12
again intriguing case...

The Dangers of Japan's Corporate Pension Funds

Anyone ever saw the track records?

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Nonius
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Posted: 2012-03-26 18:57
Nope, but I'd like to test the detector on them.

Chiral is Tyler Durden

amateur


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Posted: 2012-03-27 05:02
I would like to see the results Wink

“unnecessary complex models should not be preferred to simpler ones. However . . . more complex models always fit the data better”

jaiman


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Posted: 2017-06-21 22:13
Had to drag up an old thread to ask if these returns seem fishy?

edit: deleted the wall of text, here's a google sheet link: https://docs.google.com/spreadsheets/d/1jx77vouWsG-kDUccwvzxV8v6C4wRiOS0hDHf6ZWb7kg/edit?usp=sharing

purbani


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Posted: 2017-06-22 16:47
Definitely a bit odd. The following stats

Data 1-50 50 - 100 1 - 100
Benford Bias 3.29 2.45 3.71
Mu 1.67 1.96 1.45
Vol 14.5 11.5 13.1
Skew 0.1 -0.75 -0.12
Kurt 0.58 2.36 1.2

There are no data points ( returns ? ) in the + 7 to +10% range over any window period which suggests that data has been removed - but why delete 'good' data

The Kurtosis looks too low to be financial data to to me but not impossible ( knowing the dates would help ).

Vol appears to be mean reverting in the range of 5 - 19 %.

Rolling 12m CAGR falls from over 100% to 50% to 10%.

If it is financial data and I had to hazard a guess I would say it could be back-tested data for the early period and the lower return out of sample numbers. Doesn't explain the missing +7 to +10% range of data though. The fact that that is consistently missing from both periods suggests the data was generated using some sort of random number generator with the missing range excluded and some noise.

jaiman


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Posted: 2017-06-22 17:04
An actual fund, they claim them as actual performance. Should have mentioned those are monthly returns.

purbani


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Posted: 2017-06-22 17:37
Dates and currency ?

Tradenator


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Posted: 2017-06-22 17:45
Who are the auditor, administrator, custodian, legal? What asset class? Actual dates would be good to contrast to historical events.

jaiman


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Posted: 2017-06-22 18:14
Start is Oct 2008. Long only, North American equities. Not quant, more old-school stock picking. Denominated in CAD.


AndyM


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Posted: 2017-06-27 19:55
'Denominated in CAD' - that's one seriously red flag...

I used to be disgusted; now I try to be amused...

jaiman


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Posted: 2017-06-27 20:32
Well, they are in Canada. Which is its own flag, I guess.

AndyM


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Posted: 2017-06-27 21:29
It was a tongue-in-cheek observation, but it has been frequently observed that Canada seems to punch well above its weight in the financial fraud league tables.

I used to be disgusted; now I try to be amused...
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