Engineer with an interest in systematic investing.
Joined June 2020
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HML_Compounder retweeted
1) Distribution rate ≠ total return
2) Return of capital, while tax efficient, does not necessarily indicate economic gain
3) Defending ROC’s tax efficiency while failing to differentiate return OF capital from return ON capital is funny
HML_Compounder retweeted
5 years later...
66% NTSX / 34% DBMF
- 9.2% CAGR
- 10.4% ann. vol
- 12.4% max drawdown
100% VBINX
- 6.9% CAGR
- 11.5% ann vol
- 20.9% max drawdown
Interesting plot. Based solely on this chart, my answer would be no given the lower standalone and combined Sharpe. I’d wager correlation to typical risk assets is also higher than pure trend.
AQR out with a new piece on inflation risk and building inflation-resilient portfolios.
No surprise to see a 15%+ trend overlay getting recommended here.
aqr.com/Insights/Research/Al…
HML_Compounder retweeted
15 years ago, if you did the responsible thing & bought $10,000 of 'risk-free' long-term Treasuries, you'd have $11,072 today.
If instead you spent $9,995 on drugs & $5 on bitcoin, you'd have $42,778 today.
HML_Compounder retweeted
Trend-following has been a great hedge for market downturns historically, overall and especially the fixed income sleeve.
HML_Compounder retweeted
I wanted to understand tax-aware long-short (TALS) portfolio mechanics, not just headline tax-alpha claims.
So I built talsim, an open-source research simulator for leveraged tax-aware long-short strategies.
Built for my own learning and exploration. Please stress-test it and point out flaws or gaps.
#Investing #Finance #Quant #PersonalFinance
HML_Compounder retweeted
I was reliably informed by FinTwit in 2020-21 that AQR’s funds were all terrible. @CliffordAsness in particular was a big dummy, style premia, trend, value, etc., all dumb.
Anyways here are performance numbers since Jan 2021 compared to SPY/QQQ.
Preach!
Invest as much as you can, as soon as you can! (bi-weekly pay is doing this, it’s lump sum, not DCA).
DCA is just an emotional crutch. Nothing wrong with that, but be honest. If it made sense for new $ it would also make sense to sell your 401k annually to re-DCA it.
HML_Compounder retweeted
whenever i see someone talking about the downfall of the US hegemony, erosion of trust in the federal government, and the inevitable debasement of the US dollar...
returnstackedetfs.com/stacki…
One of my favorite Greenblatt/Magic Formula stories is this one about how people given the names from the sort to choose from themselves underperformed the market, while the sort systematically outperformed it.
greenbackd.com/2012/05/09/jo…
This jar example is stellar too though.
A hedge fund manager put a jar of 1,776 jelly beans in front of a room at Google and proved in two rounds why most investors will always lose money. for free.
His name is Joel Greenblatt. Gotham Capital. 50% a year for a decade. he asked the room to guess how many jelly beans were in the jar.
First round: everyone wrote their guess silently. no talking. no looking around. the average was 1,771. five off. almost perfect.
Second round: people said their guesses out loud. heard each other. adjusted. the average collapsed to 850. same room. same jar. the only thing that changed was influence.
He told the room: the second guess is the stock market. everyone knows what they just read in the paper. what the guy next to them said. what they saw in the news. the cold independent guess was better. that is not how the market works. but that is where the opportunity is.
Then he showed 20 years of data. the cheapest 20% of stocks averaged 38% a year. the most expensive averaged the least. the strategy is simple. the reason it still works is that people are still crazy. and they always will be.
55 minutes. one jar. still free.