近些天花了些时间研究了一下Victor Niederhoffer，很不一般。 哈佛的本科，芝加哥的博士，伯克利的教授，连续5年全美壁球冠军，管理的对冲基金10多年的平均收益在30%以上，曾被评为最好的资金管理人，一度为索罗斯的经理人。97年时遭受巨亏，基金被迫关闭，个人财产也蒙受巨额损失，曾变卖收藏品并抵押房产来还杠杆投资欠款。经历几年的心理调整，然后重开基金，连续几年收益也不凡，但07年危机时再度遭重创，被迫关闭。Bloomberg的这篇文章有比较详细的介绍。 他03年的书《Practical Speculation》有比较深度的讨论，对很多投资理念做了评论，其中对盈利报告（按公司盈利报告投资）策略、技术分析（包括趋势跟踪 -- 这点似乎评论得不够合理）、以及Graham的价值投资都做了很负面的评价，主张逆向思维，提倡事先测试任何投资理念，其中建议用诸如R一类的软件对投资策略做收益离散图让我很认同。 感觉他很值得研究，不全在于他如何成功的一面，也应该包含他失败的一面。其实作为每一个金融投机人，如果没有失败方面的知识和经历，一切就都不是完整的（索罗斯早年时也曾一度赔掉个人的所有资产）。目前还不知道怎么评价他的失败，应该是本人的资格还不够，不过相信凭其个人素质，他应会重新站起来。
[投机生涯].The.Education.of.a.Speculator.1998.CHS.Scan-UNKNOWN.pdf http://ishare.iask.sina.com.cn/f/9879387.html 嘿嘿,不错,破产一次写本书大赚一笔.亏的是客户的,赚的是自己的
看过他的第一本书，里面有对jesse livermore的描述，他的祖父与jesse livermore是熟人。 我记得索罗斯曾评价过他，说他很聪明，但过于自信，不知道认错，不知道有人能确认一下吗？ 从他两次破产看，我也觉得索罗斯讲的有道理。
感觉他还是风险没控制好；当然如果风险控制好了，那也就没有那么高的收益了 On October 27, 1997, losses resulting from this investment, combined with a 554 point (7.2%) single day decline in the Dow Jones Industrial Average (the second largest point decline to date in index history), forced Niederhoffer Investments to close its doors. In a lawsuit that Niederhoffer later filed in the U.S. District Court for the Northern District of Illinois against the Chicago Mercantile Exchange, where he traded options, he alleged that floor traders colluded to drive the market down that day to force him out of his positions. However, Niederhoffer's funds were caught up in the 2007 financial turbulence and credit crunch, and the Matador Fund was closed in September 2007 after a decline in value of more than seventy-five percent. 跌过75％：要么是仓位大出不来；要么策略失效还继续交易 都是在金融危机的时候出问题，应该是交易的头寸太大了或者杠杆大了。本来在正常市场条件下风险可控制的头寸在金融危机时因为流动性就变成大风险头寸了。
......Based in part on Keeley's reports, Niederhoffer made a trade that was to prove disastrous. In early 1997, he bet heavily on Thai stocks. Spreading Crisis By then, the tremors had already started in Thailand. Its economy, one of the fastest growing in the world, was becoming overbuilt, overheated and overleveraged. Thai banks had trouble collecting money on property loans, which caused investor confidence to wane and put pressure on the baht, then pegged to the dollar. On July 2, the Bank of Thailand abandoned the peg, and the baht plunged more than 19 percent against the dollar in a day. By August, Niederhoffer faced potential losses of $50 million. ``I was very successful for many years, and I figured I could apply my techniques that worked in the most-liquid markets to emerging markets,'' Niederhoffer says now. ``I made a qualitative inductive leap rather than a quantitative empirical leap.'' By October, the financial crisis had spread to Brazil and Russia and had begun to shake U.S. markets. Still bullish, Niederhoffer used options to bet that the S&P 500 would rally. The end came on Oct. 27, 1997. That day, the Dow Jones Industrial Average plunged 554 points, prompting the New York Stock Exchange to halt trading at 3:30 p.m., 30 minutes early. When his broker, Refco, called in his margin loans, Niederhoffer didn't have the money. .......... Niederhoffer hasn't lost his appetite for risk, however. As he was during the 1990s, Niederhoffer is a bull. In the argot of Wall Street, he's long-biased. He tries to make money from short- term movements in the S&P 500. To do that, he buys and sells various futures and options contracts on the index as many as two dozen times a day. He typically holds each position for one to five days. To stoke returns, he employs a tool common to hedge funds, one that accelerated his undoing nine years ago: leverage. Niederhoffer buys on margin, or with borrowed money. ....... Even before disaster struck, Soros had warned that Niederhoffer might be swamped by big moves in the markets. ``There was a flaw in his approach,'' Soros, 75, wrote in ``Soros on Soros'' (John Wiley & Sons, 1995). ``It is valid only in a trendless market.'' Soros, who stopped using Niederhoffer to manage money in 1995, declined to be interviewed for this story.
In addition to speculating on short-term market movements, Niederhoffer frequently sells financial contracts, called “put options,” which, in the event of a steep fall in the market, would oblige him to pay out large sums of money. The buyers of these options are usually other investors seeking to hedge their positions, and in a sense Niederhoffer acts like an insurance company: in return for a premium—the price of the option—he agrees to bear the risk of a market crash. Often, this is a good business; but whenever the market enters a volatile period he is in peril. (“He is his own worst enemy,” Nassim Taleb, the author and derivatives trader, says of Niederhoffer. “One of the most brilliant men I have ever met, and he wastes his time selling options—something nobody can have any skill in—and it leaves him vulnerable to blowing up.”) ----------------------- 97年危机之后： “It was a very poor decision on my part to invest in Thailand,” Niederhoffer told me. “I had no scientific basis for investing there. In the U.S. market, there is evidence that it is a good time to invest after a big fall. In Thailand, there was no such statistical evidence. It was purely a qualitative idea. I’d seen Soros do that a lot of times and make a lot of money, but it didn’t work for me. Previously, I had had two or three qualitative ideas that made money—Turkish bonds, Mexican stocks—and it lured me into a false sense of security.” We were sitting on a bench outside a building in the East Fifties, where Laurel Kenner lives and Niederhoffer stays when he visits. He was drinking a bottle of organic lemonade. I asked him whether hubris had contributed to his downfall. “Yeah, I’d say,” he replied. “In those days, we always wanted to be No. 1 in the ratings. There was a Canadian firm, Friedberg—they were having a good year, and we wanted to keep up with them. It was always nip and tuck between us and them.” Niederhoffer was silent for a moment. Then he spoke quickly: “You asked for reasons—I could name another ten. We had no stops. We picked the wrong country to invest in. We were too illiquid. We had too big a percentage of the market, and we didn’t have the ability to get out of our positions. We were too financially vulnerable to the brokers. I didn’t take account of the fact that I could be squeezed and that customers could withdraw their money. But mainly I didn’t have a proper foundation for my investment there. I had no knowledge of the country. I’d never even visited the country. All I had done was finance a trip by Bo Keeley to the brothels there.’’ ---------------- 07年危机开始时： He looked pale and haggard, and years older. For several minutes, we sat in silence. Then, in a low voice, he said, “Things have changed totally since we last spoke. The situation is fundamentally different. It is critical.” Kenner and Aubrey joined us, but Niederhoffer hardly seemed to notice them. “We are fighting for survival night and day,” he said when I pressed him for details. “I was caught wrong-footed in the market turbulence. I’m not as smart as I thought I was.” ------------------ 07年危机过后： Had he been able to wait a little longer before liquidating his trades, his funds might have recouped most of the losses. After the Federal Reserve cut interest rates again, on September 18th, the stock market rallied further and volatility decreased. Still, Niederhoffer sounded philosophical. “The market was not as liquid as I anticipated,” he said. “The movements in volatility were greater than I had anticipated. We were prepared for many different contingencies, but this kind of one we were not prepared for.” Niederhoffer was still trading for his own account, and for some remaining clients. “My basic ideas about the creative power of the market, buying in panics, buying on weakness—I don’t think what has happened has anything to do with that stuff,” he said. “I am going to keep going, for better or worse.” ♦
James Altucher在华尔街日报论坛上写了一篇题为“和Niederhoffer一起交易时学到的10件事”。概括如下： 1）测试、测试、测试； 2）乐观； 3）无畏； 4）每件事都相关； 5）Ayn Rand（一位小说作家强调竞争力）； 6）巴菲特（Altucher因此著有《Trade Like Warren Buffet》； 7）月初第一天； 8）总要警惕负面； 9）保持生活有趣； 10）拥抱新思想。