d*****s
发帖数: 5610 | 1 你是对的，欧美公司都hedge.起码一年，hedge都赚了，又把赚的再hedge.和沙特是长
期斗争，看沙特财政能撑多久，还是美加公司能撑多久。
沙特现在铁了心，说永远不会100块了，如果100，市场份额就都是美加公司的，所以沙
特这次就是要把高成本的美加打败。如果油价在80，美加会赢。
起码一些美加公司破产或者债务危机，石油才会反弹。
美加成本在50-90.沙特在5块。
今后长期油价估计在50-70 |
|
a****o
发帖数: 6612 | 2 实际影响比你描述的大多了。 气井的产量是不断下降的，这也就意味着油气公司必须
不断的钻新井才能维持或者增加产量。比如2016年需要打多少口井，提前最好把气价
hedge好，以保证公司的正常运营。象今年气价这么低，无法hedge，那么明年的投资就
风险特别大。如果hedge，那好，这么低的气价，到时候涨价，钱都让别人挣了。 |
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z*********1
发帖数: 192 | 3 卖put怎么hedge?
short 112 的 FB, 卖多少strike的put?
如果卖100 strike的 PUT, FB涨等于没有hedge, FB 跌最多赚12块+permium 一股.
如果卖120 strike的 PUT, FB涨过120等于每有hedge, 跌也不赚钱 |
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y***r
发帖数: 16594 | 4 我发现群众就是普遍就是喜欢all in long or short,不善于hedge。
遇到2013那种大牛市，hedge当然会亏很多钱。但你不能因为开车一直很顺就一直不买
保险对吧？
回头我给你们评论一下几大牛hedge fund都是啥类型的。
×××××××××××××××××××××××××××××××××××××
1、宏观（Macro）基金：根据股价、外汇及利率所反映出来的全球经济形势的变化进
行操作。
2、全球（Global）基金：投资于新兴市场或世界上的某些特定地区，虽然也像宏
观基金那样根据某一特殊市场的走势进行操作，但更偏向选择单个市场上行情看涨的股
票，也不像宏观基金那样对指数衍生品感兴趣；
3、多头（Long Only）基金：传统的权益基金，其运作结构与对冲基金相类似，即
采取奖励性佣金及运用杠杆。
4、市场中性（Market-neutral）基金：通过多头和空头的对冲操作来减少市场风
险，从这个意义上讲，它们的投资哲学与早期对冲基金（如Jones基金）最为接近。这
一类基金包括可转换套利基金；对股票和期指套利的基金；或者根据债券市场的收益曲
线操作的基金等；
5、... 阅读全帖 |
|
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V***e
发帖数: 666 | 6 【 以下文字转载自 NewJersey 讨论区 】
发信人: Vince (Remember remember First of November), 信区: NewJersey
标 题: Partner At New Jersey Hedge Fund Disappears With Investor Cash
发信站: BBS 未名空间站 (Fri Jan 27 16:46:11 2012, 美东)
haha
JERSEY CITY!!!!!
Partner At New Jersey Hedge Fund Disappears With Investor Cash
Jan 27 2012 | 9:23am ET
A Jersey City, N.J.-based hedge fund firm has allegedly been bilked by one
of its own. According to sources familiar with the Osiris Fund, partner
Peter Zuck has fled with investors’ mon... 阅读全帖 |
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a**u
发帖数: 7128 | 7 强烈建议金子买光后买铂。
Hedge Funds See Gold Supply Deficit
Published: Tuesday, 8 Jun 2010 | 10:25 AM ET Text Size By: Bob Pisani
CNBC Reporter
At an informal gathering of hedge fund traders last night, the mood was
decidedly gloomy. I noted yesterday that many hedge funds had a horrific
May: 1) most were net long going into May, and 2) many had been short
volatility. Volatility, as we know, exploded in May, forcing many firms to
cover their short positions.
Not only that, traders seemed to have been unpre |
|
s**a
发帖数: 178 | 8 【 以下文字转载自 Business 讨论区 】
发信人: sera (小狮子||混在纽约), 信区: Business
标 题: FW: Hedge Fund Top 100 in Assets from Alpha Magazine
发信站: BBS 未名空间站 (Thu Jun 22 14:50:45 2006)
It just came out yesterday.
-Sera
****************************************
The Hedge Fund 100 – Rankings—PART 1
06/21/06
Alpha
The Hedge Fund 100
Firm/Fund Return
Rank capital net of
2006 2005 Firm/Fund name(s) ($ millions) fees (%)
1 3 Goldman Sachs Asset Mgmt (New York, NY) $21,023
2 2 Bridgewater Asso |
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w******9
发帖数: 10 | 9 谢谢 dinerly 的回复。
对PE还了解一些。
到现在为止，我都搞不清楚Hedge Fund的career path是什么，Hedge Fund一般比较低
调，在网上看到这方面的文章不多。如果做Hedge Fund几年之后，积累的经验又可以做
什么？ |
|
r*****t
发帖数: 286 | 10 ☆─────────────────────────────────────☆
easymoney (Bill Gates) 于 (Mon Jan 29 20:11:04 2007) 提到:
有人好象在这里讨论过Millennium Hedge Fund.
叫这名字的hedge fund多吗, 还是就这一家.
记得好象大家还很想去, 怎么我查一下, 查出一些fraul, fishy之类的东西出来.
☆─────────────────────────────────────☆
lhict (至少还有我) 于 (Mon Jan 29 21:43:35 2007) 提到:
你说的对，我也Google出一些这样的消息。
据说，该hedge fund被罚了180 Million。
the fund manages 5Billion fund, average annual is about 17%.
除了像 Renaissance那样的 30% return.
应该还可以，我想应该pay的不错，先看看再说。
☆─────────────────────────────── |
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r*****t
发帖数: 286 | 11 ☆─────────────────────────────────────☆
hulun (hulun) 于 (Fri Feb 2 16:14:08 2007) 提到:
Hedge-Fund Milestones
January 29, 2007 3:43 p.m.
Hedge funds, investment vehicles for the wealthy and institutional investors
, have proliferated in recent years. When Long Term Capital Management
collapsed in 1998, the industry had about $240 billion under management. In
contrast, by the end of 2006, the industry had about $1.4 trillion under
management, according to Hedge Fund Research, Inc., a private |
|
G****s
发帖数: 87 | 12 TOP QUANTITATIVE ASSET AND HEDGE FUND MANAGER
Quantitative Research Analyst - Fixed Income
Top Quantitative Asset and Hedge Fund Manager is looking
for a Ph.D. with demonstrated experience in quantitative
yield curve research. Applicants should have substantial
modeling experience in areas such as Term Structure,
Relative Value Analysis and Portfolio Construction. The
role involves conducting applied research to develop new
hedge fund s |
|
r*****t
发帖数: 286 | 13 ☆─────────────────────────────────────☆
hnjjz (gelato) 于 (Thu May 3 21:02:43 2007) 提到:
There has been a lot of talk about the dramatic growth in the number of
hedge funds and the overall decline in hedge fund returns in the last few
years. Is this a sign that we are reaching some sort of saturation point?
Will hedge funds still be able to pay the same sort of compensation 5 or 10
years down the road? What do you guys think?
☆─────────────────────────────────────☆
swordevil (剑魔) 于 (T |
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r**u
发帖数: 69 | 14 my understand is that the bond position is just to help you to earn risk
free rate, while the option price movement is delta hedged by the stock. in
that case, if you short options on a basket of stocks, you would delta hedge
with that basket of stocks, and put whatever money left in your hand in
risk free bond.
for options on futures, i think that you can delta hedge with other futures
contract as well (just think of it as an asset). in that case, you still use
the money at hands (after MTM) to |
|
w******9
发帖数: 10 | 15 一个刚MBA毕业的朋友的困惑，
去Private Equity公司的research analyst好还是Hedge Fund的research analyst好？
面临职业转换，无论哪份工作，都是一个慎重的选择。
如果未来的五年想从事VC的工作呢，哪个更适合？
Private Equity是一家国内大公司的直接投资部，盘子很大，也有一些政府的项目，进
去主要做投资分析，DD等事情。
Hedge Fund 规模较小，主要研究海外上市的中国企业，以前的业绩还不错。
今年受次级债影响，不知道Hedge Fund的前景如何？ |
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b***k
发帖数: 2673 | 16 ☆─────────────────────────────────────☆
badapple (badapple) 于 (Thu Dec 6 22:02:13 2007) 提到:
我琢磨的原因有两个，有经验的能不能说一下？
1。 就像有的公司招聘广告一样，citizen required. hedge fund难道也这样？
2。hedge fund竞争太激烈了。大家随时都有可能被裁员，所以绿卡保险，不会身份被黑
到底是上面的那个原因，还有有别的原因呢？
☆─────────────────────────────────────☆
cavaliere ( the Griffins ) 于 (Thu Dec 6 23:43:14 2007) 提到:
1无关，2正解。
hedge fund不是 marine corps，完全是profit-driven的，你能帮助它带来新的
strategy idea，实现利益就雇用，管你是不是公民
同样，没有油水的就裁，relentlessly
被黑
☆──────────────────────────────────── |
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M**T
发帖数: 314 | 17 generally, static hedging of options is more expensive than dynamic hedging
of stocks. b/c option mkt is not as deep and complete as stock mkt.
in some extremity, the above relation could be be broken. |
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b***k
发帖数: 2673 | 18 ☆─────────────────────────────────────☆
days (count+days) 于 (Wed Aug 6 20:13:44 2008) 提到:
香港和大陆有什么Quantitative Hedge Funds ?
What do they do ?
Was there successful ?
☆─────────────────────────────────────☆
pengbo (^_^) 于 (Mon Aug 11 12:13:20 2008) 提到:
There is a forex hedge fund in hong kong... May be the largest hedge fund
run by Chinese in this world.
It has few employees though. If you think you are bloodly good, send a
message to me.
☆─────────────────────────────────────☆
see |
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h*******n
发帖数: 24 | 19 From my understanding, hedging is to reduce the uncertainty of a portfolio.
That is the goal of hedging here~
At this stage, we don't care about the constraints, or if it's static or not
, since we are only talking about the ideas but not the answer~ I will
definitely get the answer eventually. However, that is not of our concern
here.
Restate just the idea(ideas) how we can hedge a call with the payoff of (S1-
S2-K)....Is that just simply buy S2, short S1? It seems to lack some
evidence.
Many t |
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r****t
发帖数: 10904 | 20 Hedging strategy is a portfolio that replicates the value of the interested
contingent claim, mathematically.
u r right, I agree LZ's "hedging" is not hedging in this sense. |
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s**a
发帖数: 178 | 21 Quant Hedge Funds Rise In Falling Markets
November 18, 2008
Quantitative hedge funds that were posting miserly returns just last summer
are now taking it to the market. These funds are trouncing their fellow
hedge funds and the broader markets, and some are on pace for their best
year ever.
Lonny Bernath, principal of Charlotte, N.C.-based Headline Investment
Management, has had a lot of success this year trading his $23 million
Headline Group Fund, which employs four strategies: a pair of equit |
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J**********y
发帖数: 1891 | 22 hedge的定义是什么？
perfect hedging呢？
是否是能够perfect hedging的资产就能用no-arbitrage pricing? |
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S*******r
发帖数: 11017 | 23 用SPOT把DELTA成分HEDGE掉 就留下GAMMA部分 然后坐在头寸上 赌GAMMA效应大过TIME
DECAY
在用SPOT来回HEDGE过程中 可能还能来回抽几下油水 大约是这样的 高人请指正 |
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w*********d
发帖数: 3 | 24 在下做 IT 多年, 最近换到一 HEDGE FUND 公司还是做 IT. 现在公司要求签辞职后两
年内不能为同行工作的协议. 我明白签是肯定要签的, 不过有些问题向有经验者请教:
1) 给 HEDGE FUND 工作必须签协议吗?
2) 实质还是 IT 的工作, 为何 HEDGE FUND 公司要签协议而一般 IT 公司不必?
3) 签协议后对今后换工作的影响及注意事项.
请多多指教. 谢先. |
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l*******8
发帖数: 111 | 25 选错了一门hedge fund regulation的课，不知道paper写什么题目，prof说写global
initiatives in hedge fund regulation，我是想写中国，可是中国是不是根本没有
hedge
fund的监管制度啊？
没走错版吧？谢谢指教先。 |
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l**********t
发帖数: 5754 | 26 in the hedge fund replication literature, beta is assumed to follow a random
walk so next period beta is current estimate + random shock with zero mean.
It assumes the holdings (thus beta) are not changed frequently (relative to
your sample frequency). It is reasonable for mid/low frequency strategies.
Take a look at the composition of hedge fund indices and you will be
surprised how many equity "hedge fund" are long only and buy&hold.
hold？ |
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l*********t
发帖数: 89 | 27 题目：
Given a long option position with 2 years to expiry, what do I care more
about and why? Gamma or Vega?
我找了下各方文献，终于在Hull的书上17.8节末尾找到一句话，Quote:" Whether it
is best to use an available traded option for vega or gamma hedging depends
on the time between hedge rebalancing and the volatility of the volitility."
Hull关于这句话还有个注释：让参见《Hedging the Risks from Writing Foreign
Currency Options》 Hull 1987. 我在sciencedirect数据库里搜到了，不过没权限看
不了。
我感觉这道题没那么复杂，怎么让Hull一说就变得比较复杂了呢？
请各路高手予以指教，不一定非要用Hull的理论。如果要用的话，哪位大侠... 阅读全帖 |
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t*******8
发帖数: 67 | 28 entry level quant
in a bank
associate level (with PhD)
100K base
assistant level (with MS or BS)
80K base
in a hedge fund
varied, from 80K to 130K (with PhD)
it is all depends. Some hedge funds are small and very profitable, so they
can pay very well. But some hedge funds do not have good performance, so
pay is not good as the others. |
|
t*******8
发帖数: 67 | 29 entry level quant
in a bank
associate level (with PhD)
100K base
assistant level (with MS or BS)
80K base
in a hedge fund
varied, from 80K to 130K (with PhD)
it is all depends. Some hedge funds are small and very profitable, so they
can pay very well. But some hedge funds do not have good performance, so
pay is not good as the others. |
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r**a
发帖数: 536 | 30 I do not know the exact answer. For me, what you need to do is to assume a
model of underlying with jumping and assume a hedge via underlying and some
liquid options and calculate the hedging error and minimize it to get the
optimal hedging. It is my naive idea, not sure it is practical or not. |
|
z****g
发帖数: 1978 | 31 when delta neutral, think PnL from delta hedging in terms of an offset to
the decay. Suppose you long gamma, so you buy low and sell high for hedging.
So when vol goes up, you trade more, PnL from hedging is large than decay,
you earn money. vice versa |
|
m******2
发帖数: 564 | 32 理论上如果可以做到瞬间交易且无交易成本，Delta Hedge是没有追踪误差的。
但是现实中的Delta Hedge对于非恒定Delta的衍生品必然是有误差的。
我分析这个误差的来源主要是positive gamma
也就是 df> Delta×dS
这使得用Delta×S模拟的变动Delta×dS总弱于衍生品理论价值f的变动，逐渐就累计了
误差，导致hedge一个衍生品的实际成本大于初始的衍生品理论价值。
现在都有什么方法来弱化追踪误差啊？ |
|
V********n
发帖数: 3061 | 33 理论上你可以设立一个资本管理有限公司llc，然后用这个llc和投资者一起成立一个有
限合伙公司lp，就可以称之为对冲基金。这么算的话，你的费用就是普通的公司注册费
用而已。
如果你的hedge fund交易美国股票，理论上你要满足sec关于最低500万美元的起始资金
的要求。如果低于这个数，你可以claim你们是hedge fund incubator。
如果你要找一个专业的律师行/会计师行帮你做一个完整的hedge fund的setup，大概要
8000刀-30K刀之间。
如果你要在香港设立，资金规模又比较小，在prime brokerage， audit firm，办公室
等费用外，根据监管条例，你们可能还需要租license，这个fee也不低。 |
|
a******5
发帖数: 199 | 34 ok, thanks.
It's similar to the CDS hedging problem. The credit exposure changes every
day, how do I choose an appropriate hedge notional and rebalance frequency?
That's why I was asking the currency hedge question. |
|
c*******a
发帖数: 6 | 35 most buy side hedges ccy risk on monthly basis(same as their rebalancing
cycle). spot/fwd mkt has much better liquidity than future and same spread.
the good thing is no physical cashflow(see below) or margin account.
1. first trade: outright fwd/NDF with value date = T+1month
2. a few days before value date, do FX swap. near leg offsets previous trade
and results in some net hedging pnl/cashflow. far leg established a new
hedge 1month out again
3. repeat step 2 until the position is closed |
|
l*********g
发帖数: 1899 | 36 hedge-fund 这一年到头hedge来hedge去的，结果还是要看天吃饭。貌似和种地差不多。
since
000
in |
|
g********k
发帖数: 15 | 37 关于数据,
但他觉得还有进步空间,主要是想降低错误率,损失就会减少.
平均一家赚几%,一个月可以获利多少,那都不是重点,
重要的是,预测季报的能力.
先前他是连续几个礼拜,在季报之前,用email把股票资料给那个前美国同事,
告知哪些buy,哪些short,让对方自己看这个系统的准确率,
让他们看进行中的季报,而不是过去的.
后来那家hedge fund很感兴趣,想买这个系统.
比起他目前买卖的方式,只是单纯且快速的用股票买进买出,
hedge fund更会操作,获利会比平均3~4%好.
找资金,分析资讯,买卖股票的技巧,这三大部分,一个人没办法独自完成.
光是分析资讯,就需要一个team了,而他只有一个人.
有时候一天多达三百家,他都没办法全部分析完了,
可能最后下手5-6家,实际上会有更多可以投资的.
而在有限的资金里,投资越多家,其实也是一种分散风险的方式.
至于如何找资金,他自己有想法了,
只是我提议到这个版上问问,看看有没有什么其他建议.
meaningful
hedge
fund |
|
v******s
发帖数: 435 | 38 个人背景是phd在读，physics background,对quant的工作很感兴趣，现在拿到一个
hedge fund和一个mutual fund的实习offer。
想请问一下大家关于quant在hedge fund和 mutual fund的区别？个人理解hedge fund
基本是作为纯quant，通过数学模型套利，mutual fund的quant更接近对主观定性分析
的量化验证？
我个人比较喜欢MF的quant的工作方式，但是比较担心的是似乎这些公司对quant的需求
比较低，看上去每年招的fresh grad很少啊？HF对quant的需求就比较多，周边认识的
同学大多也是大多去了这些公司。
另外就是纯粹从quant需要的skill set看是不是在HF做实习能学到的比较多，将来找全
职的帮助也会大一些？
实在是很纠结啊，麻烦各位前辈给点意见，谢谢！！ |
|
v******s
发帖数: 435 | 39 个人背景是phd在读，physics background,对quant的工作很感兴趣，现在拿到一个
hedge fund和一个mutual fund的实习offer。
想请问一下大家关于quant在hedge fund和 mutual fund的区别？个人理解hedge fund
基本是作为纯quant，通过数学模型套利，mutual fund的quant更接近对主观定性分析
的量化验证？
我个人比较喜欢MF的quant的工作方式，但是比较担心的是似乎这些公司对quant的需求
比较低，看上去每年招的fresh grad很少啊？HF对quant的需求就比较多，周边认识的
同学大多也是大多去了这些公司。
另外就是纯粹从quant需要的skill set看是不是在HF做实习能学到的比较多，将来找全
职的帮助也会大一些？
实在是很纠结啊，麻烦各位前辈给点意见，谢谢！！ |
|
C********n
发帖数: 1744 | 40 今天偶然看到公司stock / stock option的政策，发现有这一条“hedging
transactions in
company stock are prohibited at all times”，你们公司有这样的条款吗？
这里有个What Does Hedging Transaction Mean：
A type of transaction that limits investment risk with the use of
derivatives, such as options and futures contracts. Hedging transactions
purchase opposite positions in the market in order to ensure a certain
amount of gain or loss on a trade. They are employed by portfolio managers
to reduce portfolio risk and volatility or lock in profi |
|
h**********i
发帖数: 183 | 41 (New York) -- A hedge-fund company has filed a lawsuit against controversial
Chinese businessman Guo Wengui in New York, claiming that the elusive real
estate tycoon owes it $88 million due to a “straightforward breach of
contract case.”
Guo, also known as Miles Kwok, fled China in 2014 soon before the Communist
Party’s graft fighters detained his close associate Ma Jian, a former
national security official who remains under investigation for suspected
corruption. Interpol recently issued a “red... 阅读全帖 |
|
|
c********e
发帖数: 4283 | 43 丫如果去的是hedge fund, 比如加哥的citadel，早就跳楼了，加哥的楼还高很多了
F的压力是技术上的，能力上的无形压力，hedge fund的压力有时直接是人身攻击的 |
|
a***c
发帖数: 315 | 44 So long, suckers. Millionaire hedge fund boss thanks 'idiot' traders and
retires at 37
* Andrew Clark in New York
* The Guardian,
* Saturday October 18 2008
* larger | smaller
* Article history
The boss of a successful US hedge fund has quit the industry with an
extraordinary farewell letter dismissing his rivals as over-privileged "
idiots" and thanking "stupid" traders for making him rich.
Andrew Lahde's $80m Los Angeles-based firm Lahde Capital Management in Los
Angeles ma |
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h**********i
发帖数: 183 | 45 (New York) -- A hedge-fund company has filed a lawsuit against controversial
Chinese businessman Guo Wengui in New York, claiming that the elusive real
estate tycoon owes it $88 million due to a “straightforward breach of
contract case.”
Guo, also known as Miles Kwok, fled China in 2014 soon before the Communist
Party’s graft fighters detained his close associate Ma Jian, a former
national security official who remains under investigation for suspected
corruption. Interpol recently issued a “red... 阅读全帖 |
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N****s
发帖数: 645 | 46 You might be interested if you are also trading in the US markets. Not too
much is new.
1. The report is lagged behind for at least one or two months.
2. Analysts cautioned that revelations in public filings probably do not
tell the whole story.
Smart Money Analysis-Hedge funds bet big on BofA, other banks
.
987 words
Sep 02, 2009
Reuters News
© (c) 2009 Reuters Limited
.
(Repeats without change to headline or text)
.
* Top hedge funds ramped up financial holdings in Q2
.
* Buy |
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b********8
发帖数: 40 | 47 Quant trading hedge fund seeks junior quant researcher for its successful
equity statistical arbitrage trading group. The ideal candidate should have
1+ years of working experience in hedge fund or bank; PhD in computer
science, mathematics, physics,statistics or engineering from a top school;
very strong quantitative background and programming skills in C++/Java,
Python or MATLAB; experience handing large data set.
Please email your resume to v********[email protected] |
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b********8
发帖数: 40 | 48 Quant hedge fund seeks junior Java developer to join. The ideal candidate
should have BS or advanced degree in Computer Science from a top university.
1-3 years of working experience from a bank or hedge fund is preferred.
Strong Java programming skill is a must.
Please send your resume to v********[email protected] |
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b********8
发帖数: 40 | 49 Quant trading hedge fund seeks junior quant researcher for its successful
equity statistical arbitrage trading group. The ideal candidate should have
1-5 years of working experience in hedge fund or bank; PhD in computer
science, mathematics, physics, statistics or engineering from a top school;
very strong quantitative background and programming skills in C++/Java,
Python or MATLAB; experience handing large data set.
Please email your resume to [email protected]
(function(){try{var s,a,i,j,r,c,... 阅读全帖 |
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K****D
发帖数: 30533 | 50 记得老巴打赌$1 million说10年内index fund将战胜hedge funds.
结果似乎hedge fund average return in 2008 is -17% or -18%. |
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