breakingthemarket

@breakingthemark

profiting from randomness focus on the geometric return

Vrijeme pridruživanja: ožujak 2019.

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  1. Prikvačeni tweet

    Showing that ' and 's theory on stochastic efficiency perfectly describes returns in the stock market. If you've been suspicious of EE's applicability to investment markets, this should change your mind.

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  2. proslijedio/la je Tweet
    prije 13 sati
    Odgovor korisnicima

    And here comes some Euler quotation: Euler, Leonhard (1862). “The True Valuation of the Risk in Games.” In: Opera Postuma. Trans. by A. Berra and Richard J. Pulskamp. Vol. 1. E811, 315–318.

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  4. I'm interested to see what's in the upcoming research. There may be something pretty powerful to what they are doing.

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  5. Brad is right. Save marginal taxes going in, use effective tax rate going out. Traditional is almost always a better choice than Roth.

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  6. I might be playing a part in one of these.

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  7. More evidence that complex investment strategies are not necessary.

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  8. proslijedio/la je Tweet
    prije 20 sati

    1/5 Ergodicity economics is a perspective, language, paradigm -- a way of thinking that asks, in any situation: what tends to happen over time? That's not generally done in economics, but many non-economists who thought about economic problems converged on the same perspective.

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  9. proslijedio/la je Tweet
    6. velj

    Some economists, here * summarize much of behavioral economics as a polite way of saying "people are dumb." * are dissatisfied with the "people are dumb" "explanation" of observed behavior. I agree with them.

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  10. 5. velj

    It's also the something I'm probably going to read again today to think more about where I am in this spectrum.

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  11. 5. velj

    I keep meaning to develop a list of articles or bits of wisdom to show my daughters when they graduate high school. "A, I wish I understood this when I went out into the world", list. This post will be near the top. So much wisdom.

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  12. 4. velj

    The only investment style which will continue on its same path is discretionary stock picking. People will always pick stocks (although they will size their portfolios differently). That game will never die, and I hope it never does. 7/7

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  13. 4. velj

    Factor investing by itself will be largely abandoned. People will realize that factor investing maximized arithmetic returns, not geometric returns. Some “factors” may still exist, but their implementation in portfolios won’t be anything like it is today.6/

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  14. 4. velj

    The funds that do survive will charge low fees, as their main value will lie in executing re-balancing trades, not in ”finding alpha”. This will destroy quant funds similarly to how index funds have decimated high fee mutual funds over the last two decades. 5/

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  15. 4. velj

    Instead of investing getting more complicated it will get simpler. The race for more PHDs, more data, more ML, is too expensive to maintain and will crumble under its own weight when confronted with superior, simpler, methods.4/

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  16. 4. velj

    Anybody will be able to implement these techniques themselves, and won’t need the quant funds to produce strong returns with low volatility. 3/

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  17. 4. velj

    Many of the high fee quant investment funds will be out of business, as people will realize that most don’t add value above their fees. Simple portfolio construction techniques based around the Kelly Criterion and a new philosophy called Geometric Balancing will become popular.2/

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  18. 4. velj

    If they asked me: Quantitative portfolio construction will be democratized. 1/

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  19. proslijedio/la je Tweet
    4. velj
    Odgovor korisniku/ci
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  20. proslijedio/la je Tweet
    4. velj
    Odgovor korisnicima

    TIL: Aesop was a low vol investor

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  21. proslijedio/la je Tweet
    4. velj

    Seems like a good time to remind why all short positions act like negative gamma. Funds must buy as the stock rallies and sell when it falls to maintain sizing. And this is if you don't use options. 😬

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