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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. NRI Inc‏ @NewRiverInvest 17 Feb 2021

      the march rebalance and reconstitution is looking really interesting. especially momentum. a lot of cyclicals that started falling early that are absolutely ripping but are not expensive yet have spectacular returns on an 11m trailing basis (so the 12-1 def) due to base effects.

      3 replies 0 retweets 17 likes
      Show this thread
    2. macrocephalopod‏ @macrocephalopod 17 Feb 2021
      Replying to @NewRiverInvest

      What’s your sense on the % of factor aum that follows a quarterly rebalance cycle, rather than just rebalancing continuously as exposures change?

      1 reply 0 retweets 1 like
    3. NRI Inc‏ @NewRiverInvest 17 Feb 2021
      Replying to @macrocephalopod

      rebalance timing luck is @choffstein’s territory but in my experience its a mix where the behavioral bias is a continuous rebalance process but the systematics are more married to specific discrete rebalance date and process (by definition)

      1 reply 0 retweets 3 likes
    4. NRI Inc‏ @NewRiverInvest 17 Feb 2021
      Replying to @NewRiverInvest @macrocephalopod @choffstein

      NRI Inc Retweeted NRI Inc

      this is slightly dated but it should help answer your questionhttps://twitter.com/NewRiverInvest/status/1340941943161774082 …

      NRI Inc added,

      NRI Inc @NewRiverInvest
      ok so starting with the obvious: factor investing has grown hugely in popularity last 10 years and one of the biggest beneficiaries in inflows is the momentum factor. people have done mo forever but recently its bern formalized into a more ~systematic rules-based approach pic.twitter.com/dCQ1gDZWEK
      Show this thread
      1 reply 0 retweets 1 like
      macrocephalopod‏ @macrocephalopod 17 Feb 2021
      Replying to @NewRiverInvest @choffstein

      this bodes well for my highly proprietary momentum front-running strategy, the details are secret but I can share that I am giving it the code name “11-1”

      2:46 AM - 17 Feb 2021
      • 5 Likes
      • aureliano Corey Hoffstein 🏴‍☠️ David Taggart-PDMacro.com NRI Inc Tho Do
      1 reply 0 retweets 5 likes
        1. New conversation
        1. NRI Inc‏ @NewRiverInvest 17 Feb 2021
          Replying to @macrocephalopod @choffstein

          Quarterly Reconstitution and Rebalancing Anticipation LLC has a great sales pitch

          1 reply 0 retweets 3 likes
        2. macrocephalopod‏ @macrocephalopod 17 Feb 2021
          Replying to @NewRiverInvest @choffstein

          rebalance is also quarterly ... in feb, may, aug and novpic.twitter.com/AMVVzcRCN4

          0 replies 0 retweets 4 likes
          3. End of conversation

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