Corey HoffsteinOvjeren akaunt

@choffstein

CIO at Newfound Research. ⚡️ No pain, no premium. ⚖️ Risk cannot be destroyed, only transformed. 🧬 Systematic style premia. 📚

Los Angeles, CA   Boston, MA
Vrijeme pridruživanja: listopad 2009.

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  1. Prikvačeni tweet
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  3. 🍲 for 🤔… - Correlations between low vol + momentum increasing - Correlations in momentum + growth sliding significantly YoY - Momentum + value hitting extremes in negative correlation late last year

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  4. Looks like deleted his tweet because the original chart was a joke. But here it is in all its glory.

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  5. This isn’t a statement about Fed intervention and market effects. I’m just pointing out that if you’re so certain the Fed is changing market dynamics, why wouldn’t you change your process to exploit that?

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  6. “The market is manipulated by Fed interjection” has to be the dumbest excuse for under-performance. Either: (1) You know for a fact it’s manipulated and decided to play the game anyway, which makes you an idiot; or (2) You sound like a crack-pot conspiracist.

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  7. The transparency around the “300-year lag” is how you know it’s good research.

    Tweet je nedostupan.
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  8. It was supposed to be 17, but I forgot to return the voice mail.

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  9. 16 Leading Quants Imagine the Next Decade in Global Finance (When an interview includes the phrase “stochastic dominance,” you know it’s a bunch of quants talking.)

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  11. Complexity versus Diversification…

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  13. But I heard our President congratulated the team from Kansas? Didn’t realize they were playing...

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  14. I’m ashamed to admit that instead of watching football, I wrote some stuff about managed futures.

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  15. Value, I don’t think this is how you were supposed to start the year.

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  16. I put a case on my phone after dropping it down an escalator and cracking the screen. -Fi-Fo-Failed (Am I doing this right, ?)

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  17. This was really, really good. (Of course, I'm biased because it 100% confirmed my priors)

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  19. While the equities have climbed higher over the last year, 1-year Sharpe ratios for core US bonds, utilities, and min variance styles all appear to be near extremes.

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  20. proslijedio/la je Tweet
    30. sij
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  21. I would pay so much money for a WYSIWYG charting program that auto-generates matplotlib code.

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