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Tinyvalue's profile
Gwen Hofmeyr
Gwen Hofmeyr
Gwen Hofmeyr
@Tinyvalue

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Gwen Hofmeyr

@Tinyvalue

Securities at Tiny, MOI Global member.

tinycapital.com
Joined May 2018

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    1. Gwen Hofmeyr‏ @Tinyvalue 10 Oct 2018
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      Volatility poses no risk beyond mere discomfort.

      1 reply 0 retweets 5 likes
    2. Solo Prosperity‏ @soloprosperity 10 Oct 2018
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      Replying to @Tinyvalue

      *I would caveat that with those names that exhibit the highest levels of volatility (Top decile) often have horrible returns...More than just discomfort for that bucket.

      1 reply 0 retweets 1 like
    3. Gwen Hofmeyr‏ @Tinyvalue 11 Oct 2018
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      Replying to @soloprosperity

      You have a point: there is research that speaks favorably of low-beta basket investing. But it's not volatility that produces abysmal returns, it's terrible fundamentals. In terms of measuring the fundamental risk of an individual company, volatility is a negligible indicator.

      1 reply 0 retweets 1 like
    4. Solo Prosperity‏ @soloprosperity 11 Oct 2018
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      Replying to @Tinyvalue

      I'm fine with that. So you would personally say that poor quality subsumes high volatility?

      1 reply 0 retweets 1 like
    5. Gwen Hofmeyr‏ @Tinyvalue 11 Oct 2018
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      Replying to @soloprosperity

      Volatility, in part, subsumes poor fundamentals, which isn't necessarily contingent on quality. The realization or assumption of fundamental risk (overvaluation, bankruptcy risk, managerial risk, etc) by the market should, in theory, produce volatility.

      1 reply 0 retweets 1 like
    6. Gwen Hofmeyr‏ @Tinyvalue 11 Oct 2018
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      Replying to @Tinyvalue @soloprosperity

      So volatility can be a bi-product of risk, but doesn't embody risk by itself. Stock in a reasonably priced, good company can become volatile for a myriad of reasons, of which the increased volatility may make it less risky. So fickle, hah.

      1 reply 0 retweets 1 like
    7. Solo Prosperity‏ @soloprosperity 11 Oct 2018
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      Replying to @Tinyvalue

      Great explanation. I agree that there seems to be a correlation between high-vol & poor quality, which seems to be why both work as a solid negative pre-screen, sometimes removing the same names. I tie volatility to behavioral risk. Higher vol = Higher behavioral risk.

      2 replies 0 retweets 0 likes
      Gwen Hofmeyr‏ @Tinyvalue 11 Oct 2018
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      Replying to @soloprosperity

      Interesting stuff! You've really made me think. How useful have you found the high-vol pre-screen to be at measuring quality in periods of macroeconomic turmoil? I wonder if, broadly speaking, the usefulness of various screens change depending on where we are in the cycle. Hmm...

      11:21 AM - 11 Oct 2018
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      • Solo Prosperity
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        2. Solo Prosperity‏ @soloprosperity 11 Oct 2018
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          Replying to @Tinyvalue

          1. I have never specifically measured it outside of my anecdotal experience on running my quant screens. Whathere the end target was a value or momentum portfolio, weeding out the 10% highest volatility names OR the 10% worst quality names...

          1 reply 0 retweets 1 like
        3. Solo Prosperity‏ @soloprosperity 11 Oct 2018
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          Replying to @soloprosperity

          2. On various metrics (Accruals, Bloat, RoE/RoIC, etc.) it always improved resukts over time. When I started to look at the names being removed, I noticed that there was some overlap in every period (Names were in both bad buckets).

          1 reply 0 retweets 1 like
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        1. Krishna Kovid  🇺🇸  🐻 📈‏ @kovid2012 11 Oct 2018
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          Replying to @Tinyvalue @soloprosperity

          you two are making it too complex just tell me the indicator combination I have to follow at the end, see you later.

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