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macrocephalopod's profile
macrocephalopod
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@macrocephalopod

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macrocephalopod

@macrocephalopod

Paul Allen, Vice President M&A, Pierce & Pierce (Sie/Hir) | Vegan | Silence is Violence | Women’s Rights Are Human Rights | ACAB (Assigned Cephalopod At Birth)

Joined December 2020

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    1. macrocephalopod‏ @macrocephalopod 28 Jan 2021

      Moves in heavily shorted stocks are *extreme*. Short interest factor return (in std devs) last Friday was -2.4, Monday -3.9, Tue -5.1 and yesterday **-8.8**. Overall it's a 10 standard deviation move, giving up ~3 years of return in four days

      2 replies 2 retweets 14 likes
      Show this thread
    2. macrocephalopod‏ @macrocephalopod 28 Jan 2021

      Cleaned up the code a bit and updated the chart, it's ugggglllyyy @choffstein @alphaarchitect @CliffordAsnesspic.twitter.com/rV2uvj8Okx

      3 replies 4 retweets 26 likes
      Show this thread
    3. macrocephalopod‏ @macrocephalopod 28 Jan 2021

      Standard disclaimers, this is a pure factor return with no trading or financing costs, you cannot actually get this return stream in practice etc etc

      1 reply 0 retweets 6 likes
      Show this thread
    4. macrocephalopod‏ @macrocephalopod 28 Jan 2021

      I miscalculated above, it's actually ~1.5 years of return in four days, still pretttttyyy grim.

      1 reply 0 retweets 3 likes
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    5. macrocephalopod‏ @macrocephalopod 28 Jan 2021

      Another note — factor above is not hedged to momentum (generally +ve correlated) or size (-ve correlated as heavily shorted stocks tend to be small or mid caps) so part of the drop is just small caps rallying.

      2 replies 0 retweets 0 likes
      Show this thread
    6. Tsachy Mishal‏ @CapitalObserver 28 Jan 2021
      Replying to @macrocephalopod

      Is it adjusted for cost of borrow?

      1 reply 0 retweets 0 likes
      macrocephalopod‏ @macrocephalopod 28 Jan 2021
      Replying to @CapitalObserver

      macrocephalopod Retweeted macrocephalopod

      https://twitter.com/macrocephalopod/status/1354767337883389956 …

      macrocephalopod added,

      macrocephalopod @macrocephalopod
      Standard disclaimers, this is a pure factor return with no trading or financing costs, you cannot actually get this return stream in practice etc etc
      Show this thread
      12:06 PM - 28 Jan 2021
      • 1 Like
      • Tsachy Mishal
      0 replies 0 retweets 1 like

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