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Market Update Housing permits over 1mn, but multi-family driven Durable goods orders plunge Japan: CPI +1.1% yoy, core +0.9%, core-core +0.3% German retail.

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Presentation on theme: "Market Update Housing permits over 1mn, but multi-family driven Durable goods orders plunge Japan: CPI +1.1% yoy, core +0.9%, core-core +0.3% German retail."— Presentation transcript:

1 Market Update Housing permits over 1mn, but multi-family driven Durable goods orders plunge Japan: CPI +1.1% yoy, core +0.9%, core-core +0.3% German retail sales drop unexpectedly but… …inflation print above expectations Spain officially out of recession Tensions rise in South China Sea China IPOs are back! Week in Review

2 Quantitative Finance Society Market Personalities

3 Ray Dalio ‘Almost everything is like a machine.’ Founder & CIO, Bridgewater From commodity futures… …to hedging McNuggets… …to risk parity Principles Growth + inflation Productivity + short/long-run

4 David Shaw/ James Simons/ Ken Griffin ‘This shit is too easy.’ ‘Risk is what you make of it.’ DE Shaw/Renaissance Tech/Citadel HFT quant modelling/stat arb Theory of finance and derivatives

5 Julian Robertson ‘200 best, 200 worst.’ Value or macro? Tiger Mgmt Hunted by tech bubble US Airways ‘Tiger cubs’ Free market

6 Cliff Asness GSAM to AQR 2008: near death experience Quant factor models Risk premia Asset allocation Secretive HF? Screw that. ‘You’ve got to guess at worst cases. No model will tell you.’

7 Edward Thorp Beat the Dealer (1962) Beat the Market (1967) Discovered Madoff fraud in 1991 18% in 2008 – unlevered ‘I bet proportional to my advantage.’

8 Started Soros Fund Management, which eventually became the Quantum Fund Highly levered economic bets through bonds/currencies Broke the Bank of England in 1992 “I rely a great deal on animal instinct.” George Soros

9 James Chanos Founder of Kynikos Capital Short-focused hedge fund One of the first people to discover the fraud at Enron and made money shorting it.

10 Boaz Weinstein Founder of Saba Capital Management – a fund focusing on credit derivatives Lost $1.8bn at Deutsche during 2008 taking huge levered bets on credit derivatives. Famously took the other side of the JP Morgan London Whale trade.

11 Paul Tudor Jones Founder of Tudor Investment Corp.—macro focused hedge fund. Famous for making a 200% return by predicting the Black Monday Crash of 1987. “Every day, I assume the position I have is wrong”

12 John Meriwether Headed the fixed income trading group at Salomon Brothers Founded Long-Term Capital Management Creator of fixed income arbitrage

13 Ben Graham “In the short term the market is a voting machine, in the long-term a weighing machine” Creator of value-investing Stock is fundamentally a share in the business – Draw the line between speculation and investment Net-Net Stocks Cigar butts OK Company at a Great Price

14 Warren Buffet/Prem Watsa Salesman -> Security Analyst at Ben Grahams Firm -> Berkshire Hathaway Investing off the float Extremely picky investors – Only a few good opportunities in the market Dumb businesses that “I can understand” Prem Watsa – The Buffet of Canada Great Company at a Good Price

15 Bill Ackman / Daniel Loeb / Carl Icahn Icahn: Broker -> Icahn Partners (Risk- Arb) – Corporate Raider – Really aggressive Dan Loeb: P/E -> Sell Side (Risk Arb) -> Sell Side (Distressed Debt) -> Third Point – “Poison Pen” / Letter Writing – Event-Driven Ackman: Real estate debt financing -> Gotham Partners -> Pershing Square – Read 140,000 pages when he shorted MBIA debt in 2008 – Runs really concentrated – Kind of a mix between Icahn and Buffet That GMCR Debate

16 David Tepper Mutual Fund -> Sell Side (Junk Bonds at Goldman) -> Appaloosa Distressed Debt investing Incorporates macro heavily in his portfolio – Macro perspective (European sovereign crisis won’t be horrible) - > micro idea instead of playing currency / rates Looks like a linebacker


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