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macrocephalopod's profile
macrocephalopod
macrocephalopod
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 2 Feb 2021

      A few people in the DMs asking about equity factor models so here's a short explainer. Let's make it a concrete problem -- you are the risk manager at a big multi-manager hedge fund with ~100 sub-PMs each of whom has a portfolio of 10-50 stocks, long and short.

      5 replies 29 retweets 217 likes
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    2. Dog Fund Advisors‏ @DogFundAdvisors 2 Feb 2021
      Replying to @macrocephalopod

      I would simply add that it is common to do some sort of 'shrinkage' (Bayesian adjustment) on the covariance matrix. http://www.ledoit.net/honey.pdf 

      0 replies 0 retweets 8 likes
    3. This Tweet is unavailable.
    4. macrocephalopod‏ @macrocephalopod 3 Feb 2021
      Replying to @danielpnoonan

      For modelling risk (not necessarily if you want to do portfolio optimization) a sample covariance matrix shrunken towards a simple factor model is probably better than a complex factor model.

      0 replies 0 retweets 1 like
    5. This Tweet is unavailable.
      macrocephalopod‏ @macrocephalopod 3 Feb 2021
      Replying to @danielpnoonan

      I personally don't like pca because I find it hard to understand beyond the first 2-3 factors but I know people who do it and seem to be reasonably successful 🤷

      7:48 AM - 3 Feb 2021
      0 replies 0 retweets 0 likes

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