>Overall Top 10

superdbeck
arielle
zoomhut
xliu
ssluu
ckeddy
k1
qy25
iburn
greywolf

Week Trader P/L
1 qy25 $106350.00
2 arielle $847957.60
3 seekalpha $2670022.00
4 xliu $4405693.00
5 haichen $3403293.00
6 Acionista $4306559.00
7 superdbeck $5374656.00
8 mzheng $4300176.00
9 YufeiWang $6525866.00

US Grand Prize winner
superdbeck $20769630.00

arielle (me) $20315330.00

I will come back next year! (bullet eyessssssss* O___O*bullet eyessssssss)

and god, i won’t miss any more trading sessions , be it early in the season – during the last two weeks or on the last 2 days. >________________________<
AJA AJA Fighting! You guys too! Have a good break~~

This 2 month blog is now closed. (Might be reopened next year )

*Bonus:

Average $8,410

Average P&L Value: 8409.554

Total Number of Trades: 77736

Total Number of Traders: 2508 (double last yr! why dont they double up the prizes too? like runner up 1, runner up 2? this reminds me of Little Miss Sunshine famous quote: “Life is one f…. beauty contest after another. School, then college, then work…” lolz

Your Rank : overall: 2; in your class: 1; in your university: 1

*the last week is intensely competitive. i kept the 1st place for the first 2 days, then was replaced by superdbeck. [Thursday night] Given that I just missed 1 trading session (~1/2 mi), thus locking myself in the old positions, the chance of getting a ticket to HK/London is growing dimmer than ever for me.

*however tempting my desire to shoot myself is, i need to learn and move on.

*again, 9 weeks of efforts might be wasted at the last minute. expect the unexpected.

*hope you guys all had fun playing FantasyFutures , which is much different from managing a stock/option portfolio.

Finance by the Numbers
By EMANUEL DERMAN
August 22, 2007; Page D10

In 1985, when I left academia and began putting my physics training to work on Wall Street, I talked eagerly about options theory to anyone who would listen. One lunchtime, I turned to a colleague in the elevator and began to babble about “convexity,” a mathematical property of options crucial to the Black-Scholes theory used in derivatives pricing. My friend clearly understood convexity, but he shuffled his feet uncomfortably and quickly changed the subject. “Hey, futures dropped more than a handle today!” he said, imitating a genuine bond trader. It didn’t take me long to recognize the source of his discomfort: I had just outed him as a fellow quant. Except back then we practitioners of quantitative finance didn’t refer to ourselves as quants. That’s what “real businesspeople” — traders, investment bankers, salespeople — called us, somewhat pejoratively.

Now the term is proudly embraced, as demonstrated by “How I Became a Quant,” which collects 25 mini-memoirs of academics who successfully made the jump to Wall Street. Quantitative finance might have lost a little of its luster in recent weeks with the sub-prime mortgage meltdown and its subsequent deleterious consequences for quantitative trading strategies, but quants know — as many of them in this book emphasize — that however science- and math-based investment calculations might be, there is still an art to their use and plenty of room for error.

But definitions first. What is a quant, or, rather, quantitative finance? It is an interdisciplinary mix that combines math, statistics, physics-inspired models and computer science, all aimed at the valuation and management of portfolios of financial securities. In practice, for example, a quant might be presented with a convertible bond being issued by a corporation and, by extending the Black-Scholes model to convertible securities, calculate its probable value. Or he might develop a quantitative algorithm to buy theoretically cheap stocks and short theoretically rich ones.

By my reckoning, several of the 25 memoirists in “How I Became a Quant” are not true quants, and they are honest (or proud) enough to admit it. But many others are renowned in the quant community. To name just a few: Ron Kahn, co-author of the classic “Active Portfolio Management”; Peter Carr, an options expert at Bloomberg; Cliff Asness, one of the founders of AQR Capital; and Peter Muller, who ran statistical arbitrage at Morgan Stanley.

Most of the book’s contributors belong to the first wave of a financial revolution that began in the 1970s, when interest rates soared, listed equity options grew popular and options traders began to rely on the mathematically sophisticated Black-Scholes model. Investment banks needed mathematical talent, and, as the academic job market dried up, physicists needed jobs. Many early quants were therefore physicists, amateurs who had happily entered a field that didn’t yet have a name.

Today we are in the middle of a second wave. As markets became increasingly electronic-based, asset and hedge-fund managers began to embrace algorithmic trading strategies — and started competing to hire quants, hoping to emulate the continuing successes of such firms founded in the 1980s as Renaissance Technologies and D.E. Shaw & Co. The establishment of the International Association of Financial Engineers, co-founded in 1992 by another contributor to this book, Jack Marshall, has further legitimized the field. Nowadays you can pay $30,000 a year or more to get a master’s degree in the subject. Financial engineering has become a profession, and amateurs are sadly passé.

Most of the early quants — in addition to physicists, they included computer scientists, mathematicians and economists — came to the field by force of circumstance. Even if they had been fortunate enough to find a secure academic position, they often became weary of the isolating academic grind and found that they liked working at investment banks and financial institutions. As former SAC Capital Management quant Neil Chriss notes, Wall Street is no more competitive than academia. Life in finance is often more collegial than college life itself — and more stimulating. It is impressive how many of the contributors here cite with awe their encounters with the late economist Fischer Black (1938-95), himself a Ph.D. in applied mathematics rather than economics, who always insisted that research on Wall Street was better than research in universities.

The memoirs in this book are not quite representative. That there are only two women contributors is proportionately accurate; most quants were male. But most quants were also foreign-born. When I ran an equity quant group in the 1990s, the great majority — all with doctorates — were from Europe, India or China. Only two of the memoirists grew up abroad in non-English-speaking countries. Quants in the second wave are still largely foreign-born, but more are women and fewer hold doctorates.

Several contributors to “How I Became a Quant” stress an essential point: Physics and finance are only superficially similar. While theoretical physics captures the essence of the material world to an accuracy of 10 significant figures, theoretical finance is at best an untrustworthy, limited representation of the mysterious way in which financial value is determined. Yet Thomas Wilson, the chief insurance risk officer of the ING Group, wisely remarks: “A model is always wrong, but not useless.” Despite the inadequacies of quantitative finance, we have nothing better. And, on the practical side, Andrew Sterge, the chief executive of AJ Sterge Investment Strategies, writes: “The greatest research in the world does no good if it cannot be implemented.”

Quants do get more respect these days, because their imperfect models can generate profits when used with a knowledge of their limitations. But quants can also produce awe-inspiring disasters when they begin to idolize their man-made models. Nevertheless, most quants, unless they have their own operations, are still second-class citizens on Wall Street rather than its superstars, and many still aspire to leave behind bookish mathematics and join the ranks of the “real businesspeople” who used to look down on them.

Mr. Derman is the head of risk at Prisma Capital Partners and the director of Columbia University’s financial engineering program. He is the author of “My Life as a Quant” (Wiley, 2004).

1. Do the Friday 6-7 -> more accurate the weekly rank is. 1/5 of my last wk balance is counted towards this week.

2. Take loss and make up now -> better than clear out with flat loss at the end.

so you will probably see me slide down this week.

end of week 7: $15,406,400

Hello world!

I have embarked on my own research..nothing really fruitful so far.  Mount Holyoke College, along with Smith and Amherst has a loooonnnggg winter break that starts around 21st Dec.  Okay, so Ill be less  workaholic and say I dont want to work short my holidays. However, I want to do an internship in January. Being idle to me is as frightful as death is to an atheist.

On the bright side, I’ve been back to top 10 for a while and slowwwwwly crawling up.

Some changes so far:

.The prices are not updated on Fri night or Sun night although trading is open.

.Total number of undergrads, MBAs, Masters and phDs till now: 2016!

Complacency is indeed the biggest sin

Top 10 overall

seekalpha
ckeddy
zoomhut
siam
k1
superdbeck
ssmadsen80
Alida
xliu
arielle

Average $5,835

Based from my observations, in order to be in the top 10, one needs to have a balance worth  ~1000 times as much as the average.

Anyways, congrats to all who are in top 20. We are beating around 2000~ Keep up the good work!

CME Group 3Q profit nearly doubles on added revenue from acquisition of Chicago Board of Trade

October 24, 2007

Financial exchange operator CME Group Inc. said Wednesday its third-quarter earnings rose 94 percent due to its $11.9 billion acquisition of the Chicago Board of Trade.

CME, which also owns the Chicago Mercantile Exchange, reaped the benefits from market turmoil which has resulted in heavy speculating and hedging among investors. Clearing and transaction fee revenues from the two exchanges, assuming they had been combined a year ago, jumped 46 percent to $496 million.

Profits easily topped Wall Street’s expectations and total revenue more than doubled.

”Almost any way we look at it, CME seems to have exceeded our estimates,” said Goldman Sachs analyst Daniel Harris in a note to investors.

Net income rose to $201.6 million, or $3.87 per share, from $103.8 million, or $2.95 per share, during the same quarter a year ago.

CME Group closed on its acquisition of the Board of Trade on July 12, so net income figures only include operating results from CBOT after that date. Net income also includes $20 million in merger-related expenses and $28.5 million of non-operating expenses.

Operating income, which includes the full quarter of CBOT income and excludes the one-time charges, was $235.8 million, or $4.31 per share — well above the $4.10 forecast by analysts polled by Thomson Financial.

Revenue for the quarter reached $565.2 million, up from $274.7 million during the same quarter a year ago.

”We saw robust growth in our agricultural, equity index, foreign exchange and interest rate products, as well as in our energy and metals derivatives processing business,” CME Group Executive Chairman Terry Duffy said in a statement.

Combining the Merc and Board of Trade creates the world’s largest futures and options market for everything from interest rates to pork bellies, and makes it the world’s No. 1 exchange of any kind by market value.

The deal left CME with enough resources to expand globally, and late Tuesday the company said it has agreed to buy about 10 percent of Brazil’s BM&F derivatives exchange in return for a 2 percent stake in CME worth about $700 million. The share swap is one of the first large transactions between a U.S. exchange and a South American financial-markets operator.

For the first nine months, net income was $457 million, or $11.18 per share, up from $305 million, or $8.68 per share. Revenues climbed to $1.23 billion from $808 million.

CME shares jumped $25.55, or 4 percent, to $660.15 in midday trading.

AP

Merrill CEO may be on way out

Report: Stanley O’Neal could lose his job after approaching Wachovia about a tie-up without getting board approval first.

October 26 2007: 4:25 AM EDT

LONDON (CNNMoney.com) — Merrill Lynch & Co., Inc. Chief Executive Stanley O’Neal may be on his way out after he reportedly broached Wachovia about a merger without consulting Merrill’s board.

Late last week O’Neal called Wachovia’s (Charts, Fortune 500) CEO to gauge his interest in a merger but breached corporate protocol by not getting approval from Merrill’s board first, the New York Times said, citing people close to the bank.

According to the newspaper, Wachovia CEO Kennedy Thompson acknowledged the difficulty of a merger but expressed interest in discussions.

Merrill’s (Charts, Fortune 500) CEO is already feeling the pressure after the bank took a massive $7.9 billion writedown in the third quarter related to bad mortgage bets. The losses were far greater than the $5 billion the company had initially estimated.

The board of the troubled Wall Street firm has already discussed potential candidates to replace O’Neal, the newspaper said, citing people knowledgeable of the board’s proceedings.

They include Laurence Fink, chairman and chief executive of BlackRock, an investment firm in which Merrill owns a stake, and New York Stock Exchange CEO John Thain, the report said.

so far, we’ve seen Lehman Brothers and the legendary GS dodged the subprime mess and buck the larger trend. (and yes, JPMorgan who reported rise in earnings)

now its hedge fund!

 

HEDGE FUNDS

After shorting subprime, hedge fund is moving on

Burry’s Scion Capital, quadrupling its money, has begun to unwind positions

 

 

By Alistair Barr, MarketWatch

Last Update: 6:29 PM ET Oct 25, 2007

 

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SAN FRANCISCO (MarketWatch) — One of the hedge funds that made a killing by short-selling the subprime-mortgage universe has decided to look elsewhere for its next opportunity.

Michael Burry, head of the $621 million Scion Capital LLC, has informed investors that he’s unwinding a massive bet against subprime mortgages after generating a more than four-fold return.

“The opportunity in 2005 and 2006 to short subprime mortgages was an historic one,” Burry wrote in a letter to investors. “With continued hard work and a bit of luck, we will latch onto another opportunity like the subprime short. But I am not counting on it happening anytime soon.”

‘Twenty percent annual returns are my rough goal, and I feel that is a properly lofty goal.’ — Michael Burry, Scion Capital

At the beginning of this year, Silicon Valley-based Scion Capital held $1.7 billion worth of short positions on parts of subprime mortgage securities. A short position increases in value as the security in question falls.

But by mid-October, those short positions had been whittled down to $479 million, according to a letter that Burry sent to investors this month. A spokesman for the firm declined to comment on the letter, which was obtained by MarketWatch.

Burry unwound the positions from July through October, as the subprime mortgage problem grew into a global credit crisis. The bet so far has generated a return of well more than four times its original value, before fees, Burry noted in the letter.

Scion’s subprime coup significantly helped to give its investors overall gains of between 78% and 85%, after fees, during the first nine months of this year.

Since their inception in late 2000, the funds have surged more than 300%. During that time, the Standard & Poor’s 500 Index gained less than 10%.

The $1.8 trillion hedge fund business has had a mixed experience trading the subprime meltdown this year. Several firms, such as Scion and Paulson & Co., have generated huge returns betting against securities and companies involved. See full story.

Others, such as Sowood Capital Management and two funds run by Bear Stearns 

BSC 111.05, -2.49, -2.2%) , collapsed. See story on Sowood.

Scion’s Burry said in his October letter that it was time to “reset expectations,” noting that the firm’s returns have been “clearly outsized and far from normal.”

“Twenty percent annual returns are my rough goal, and I feel that is a properly lofty goal,” he wrote. “That is, it is not so high as to encourage excessive risk-taking.”

Some of that caution may reflect lessons Burry learned in 2006.

That year, Scion’s global strategy funds, the firm’s main investment portfolio, lost more than 16%. Burry had placed an early bet that the credit markets would deteriorate, but his strategy was too early in the view of some of his investors, and he was forced to withdraw their money well before the subprime debacle took shape.

“The pain was certainly intolerable for some of our investors, and some that were very close to me capitulated at the very bottom,” Burry recalled.

Investor withdrawals forced Burry to slash a $6.5 billion derivative bet against corporate debt down to roughly $2.2 billion, he noted. As subprime mortgage problems became a global credit crisis this year, Scion may have missed out on even bigger gains.

“Allowing some of the wrong sort of investors into the funds in previous years cost us substantial excess return this year, and that is my fault,” the fund manager wrote.

The $2.2 billion bet against corporate debt was still on at the end of September and it could still generate big gains if there’s more turmoil in the credit markets, he said.

Burry also expressed concern about rising credit card debt, which he said is being used to replace the money consumers used to get from refinancing their mortgages during the recent real estate boom. Corporate earnings are likely to be dented because of the “spent” U.S. consumer.

He also worried about the weakening of the U.S. dollar and its effect on inflation and foreign capital flows in the country.

Burry remains bullish on commodity-related stocks and has found “substantial value” in technology and housing-related sectors. He said he favors secular investing themes over cyclical bets, given “looming” problems in the U.S. economy.

Alistair Barr is a reporter for MarketWatch in San Francisco.

Merrill’s $3.4 billion balance sheet bomb

In three short weeks, the Wall Street giant’s losses grew from $4.5 billion to nearly $8 billion. Fortune’s Peter Eavis shows what went wrong.

Peter Eavis, Fortune senior writer

October 24 2007: 5:33 PM EDT

NEW YORK (Fortune) — What is the balance sheet of Merrill Lynch really worth? Depends to a large extent on who’s in charge of valuing the company’s large holdings of risky securities.

Wednesday, Merrill (Charts, Fortune 500) reported third quarter earnings that contained $7.9 billion of losses on collateralized debt obligations (CDOs), which are complex debt securities, and junk mortgages. What shocked the market was that only three weeks ago Merrill estimated losses of $4.5 billion on these sorts of assets. What on earth happened that caused the brokerage to suddenly find another $3.4 billion of losses? One cause was that Merrill gave the job of valuing these securities to a group of people who turned out to have a much more conservative view on these assets’ true worth.

Merrill Lynch CEO Stanley O’Neal

The revelation of extra losses clobbered Merrill’s stock, which fell $3.76, or 5.6%, to $63.36 Wednesday.The human element in balance sheet valuation emerged during Merrill’s communications with the public about its ugly third quarter. On a conference call Wednesday, Merrill CEO Stanley O’Neal said that over the past few weeks, the brokerage’s new head of fixed income, David Sobotka, had been part of “a collective review” of the troubled securities, which resulted in “more conservative valuation assumptions” and the larger loss number.

A person familiar with how the losses were booked says that the valuation committee that included Sobotka took a more conservative stance than the people that previously had responsibility for valuing CDOs and junk mortgages. The fixed income business was previously headed by Osman Semerci, who has left Merrill.

Attempts to contact Semerci were unsuccessful at publication time.The market may never hear Semerci’s view of what happened and how assets were valued under his charge, and it is important to remember that it is in a brokerage’s interest to blame problems on a former executive, rather than those still running the show, like O’Neal himself.

When asked whether Merrill’s valuation methods gave substantial leeway for executives to reach markedly different conclusions, company spokeswoman Selena Morris pointed out that O’Neal had said that the loss increase was part of a collective review, indicating that it wasn’t driven by one person or a small number of people.

While blame may never be properly apportioned at Merrill, one thing is clear: the brokerage’s problems have reignited the debate over whether Wall Street’s balance sheets can be trusted.

Compared with 10 years ago, Wall Street firms hold far more securities and financial instruments that don’t trade regularly, which means they are valued according to in-house estimates and not so much by market prices. The extra $3.4 billion of losses at Merrill will only deepen fears that brokerages and banks have been overvaluing their assets to avoid taking the correct amount of losses at the appropriate time.

To be sure, Merrill was more exposed than its peers like Goldman Sachs (Charts, Fortune 500) and Bear Stearns (Charts, Fortune 500) to CDOs, which have been hit particularly hard. And many banks and brokerages that have reported third quarter earnings have said they feel their valuations are correct.

But the extra $3.4 billion of losses at Merrill shows how easy it is for valuations to change. The Merrill loss adjustment thus flies in the face of the view, presented by most banks, that their valuations rely less on subjective human contributions and far more on the results of rigorous computer models.

Indeed, on the conference call, the Merrill CFO, Jeff Edwards, gave a helpful insight into the valuation process, and it shows how large the human factor can be.

He said that Merrill didn’t change the methodology it used to value the securities that took the big losses. Edwards noted that Merrill’s methodology produced a range of valuations for the assets in question. So, what actually changed after Oct. 5, when the bank estimated that it would report the lower $4.5 billion of losses on CDOs and junk mortgages? After Oct. 5, Merrill chose to opt for valuations that were at the “significantly more conservative end of the range,” according to Edwards.

This is big. It shows that executives had enough leeway under Merrill’s approach to choose a very different end result. Different to the tune of $3.4 billion.

Sobotka, the new head of fixed income, has good reason to go for a more conservative set of valuations. It makes it easier for his business to show improvement in the coming quarters, though Merrill execs didn’t sound that confident on the Wednesday call that there wouldn’t be more losses on CDOs and junk mortgages.

Yes, Merrill has stumbled more than others — it wasn’t prepared for the credit crunch, its internal loss estimates were too low, and to cap it off its credit rating was cut Wednesday by Moody’s and Standard and Poor’s.

But it did the market a great service: It showed just how dependent Wall Street balance sheets can be on arbitrary human judgments.