Search found 343 matches

by Chris67
Wed Dec 17, 2003 2:24 am
Forum: Forex
Topic: Shorting options in FX
Replies: 5
Views: 12891

Shorting options in FX

Have been trading FX in large US investment banks for 10 years Shorting options is the same as Russina Roulette I worked with a 10 man prop team that made about 1 billion dollars in 1993 .. they lost it all and more in one week in Feb. 1994 by being short fx options .. relating to stg/yen if i remeb...
by Chris67
Tue Dec 16, 2003 3:52 pm
Forum: Money Management
Topic: Correlation
Replies: 19
Views: 16348

Correlation

This is my second question and has caused me huge headaches for years Correlation has a tendency to shift dramatically over short time period and long time periods .. 2 markets that are correlated at 0.9 over 50 days may suddenly be correlated at -0,4 for example witness this year - U.S stocks up - ...
by Chris67
Tue Dec 16, 2003 3:46 pm
Forum: Money Management
Topic: Portfolio heat
Replies: 27
Views: 29086

Portfolio heat

Dear c.f. .. Thanks 4 an excellent forum. I have 2 questions that have bugged me for years .. this is a journey I know .. If the original turtles risked 1 % for n then by the time you are fully loaded in one product you have 5 n of risk on board = 5 % That is effectively 5 % risk on one view ... Say...