Happy new year everyone I was watching Paul tudor jones's 1987 documentary and I was wondering the kind of leverage that PTJ and kovner were using for gaining +50% a year. What do youn think? 3x ? 10x?? Thank you
Well I think he made 100 million on October 19th 1987 and the Market dropped 22% that day. In the documentary it says he was managing just over 100 million in the beginning of 1987 so probably between 4X to 5X leverage. Just a guess. Also no one knows at what point was he fully positioned short. He might not have captured the whole 22% move at full leverage.
Thanks ! I think though that PTJ made more money going long bonds (that same day) rather than shorting the s&p. Anyway, In the alchemy of finance (1985) Soros says that he uses less leverage than futures funds
There could be none. Might be that it should be read between the lines, given his youth/ambition/ego, which is common at that age.
ltcm cut special deals to get more leverage. I think the 80s there was just a lot more edge due to lack of others trading.
Special deals is very kind The 80's were very light on the quant side,relatively speaking.. Until CRT came to the pits,no one had "trading" sheets on the floor... One smart guy for every 20 knuckleheads..on a good day
I read somewhere that Tony Saliba would memorize his Greek grids. In the 90s, my firm would run their risk in a supercomputer every night and the traders had to interpolate their risk and pnl. LTCM was using leverage to add volatility. They wanted to match the volatility of the sp500, but couldn’t get the fund’s volatility that high! Even better was that ltcm’s founders convinced ubs to sell them call options on their own fund!
What I liked about Tudor was he wanted no part of hedging or offsetting his bet/conviction.We covered him,and if he had a belief,he wanted to lever up the payoff for being right..