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macrocephalopod's profile
macrocephalopod
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macrocephalopod
@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
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    2. Clifford Asness‏Verified account @CliffordAsness 28 Jan 2021
      Replying to @macrocephalopod

      Not that current moves are at all attached to market, but can you subtract the market from these? I remember a similar death of shorted stocks in 2018 that I’m not seeing here.

      4 replies 1 retweet 2 likes
    3. macrocephalopod‏ @macrocephalopod 28 Jan 2021
      Replying to @CliffordAsness

      Despite being constructed to be market-neutral the factor still has a -60% correlation with the market 🙃 - hedging this with an in-sample beta makes the 2018 drawdown more obvious (though still nowhere near as bad as 2020-21)pic.twitter.com/Hc8B78tuIP

      1 reply 0 retweets 0 likes
    4. (fka team transitory)‏ @X16Trader 28 Jan 2021
      Replying to @macrocephalopod @CliffordAsness

      Is the universe US or Global?

      1 reply 0 retweets 0 likes
      macrocephalopod‏ @macrocephalopod 28 Jan 2021
      Replying to @X16Trader @CliffordAsness

      US

      1:38 PM - 28 Jan 2021
      • 1 Like
      • (fka team transitory)
      1 reply 0 retweets 1 like
        1. (fka team transitory)‏ @X16Trader 28 Jan 2021
          Replying to @macrocephalopod @CliffordAsness

          Thx

          0 replies 0 retweets 0 likes
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