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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. Jason @ Mutiny  🦑 🪳 🏴‍☠️‏ @JasonMutiny 19 Feb 2021

      Jason @ Mutiny  🦑 🪳 🏴‍☠️ Retweeted Benn "DJ D-Vol" Eifert

      I will never understand why this isn’t Investing 101...https://twitter.com/bennpeifert/status/1362908508237090816 …

      Jason @ Mutiny  🦑 🪳 🏴‍☠️ added,

      Benn "DJ D-Vol" Eifert @bennpeifert
      One popular argument goes as follows: “We are long-term investors. Volatility doesn’t matter to our portfolio.” This is an appealing idea. (thread)
      Show this thread
      6 replies 2 retweets 42 likes
    2. macrocephalopod‏ @macrocephalopod 20 Feb 2021
      Replying to @JasonMutiny

      What are your thoughts on *why* tail hedging works? Finance 101 says OTM put vols shd be bid up until impact of tail hedge on your portfolio was ~0; if not then short OTM puts have a negative risk premium — seems counterintuitive!

      3 replies 1 retweet 3 likes
    3. Sid Prabhu‏ @sidprabhu 20 Feb 2021
      Replying to @macrocephalopod @JasonMutiny

      Why it *has* worked. Include the GFC in your back test to help sell it as a strategy. Everything is function of price.

      1 reply 0 retweets 3 likes
    4. macrocephalopod‏ @macrocephalopod 20 Feb 2021
      Replying to @sidprabhu @JasonMutiny

      It true. I guess what I want to know is what’s the story for why it will continue to work in the future (ie why are puts still priced low enough that they will help rather than hurt the geometric return). Is it outlier blindness (behavioral) or is there a structural reason?

      1 reply 0 retweets 4 likes
    5. Sid Prabhu‏ @sidprabhu 20 Feb 2021
      Replying to @macrocephalopod @JasonMutiny

      Hard to get paid on negative expected value trades that payoff once a decade.

      1 reply 0 retweets 3 likes
    6. Sid Prabhu‏ @sidprabhu 20 Feb 2021
      Replying to @sidprabhu @macrocephalopod @JasonMutiny

      Which is why these are marketed on their negative covariance to a portfolio. The interesting question is how much expected value should you pay away for the diversification benefit,

      4 replies 0 retweets 3 likes
    7. Jason @ Mutiny  🦑 🪳 🏴‍☠️‏ @JasonMutiny 20 Feb 2021
      Replying to @sidprabhu @macrocephalopod

      It’s not a belief in black swans or intelligence if it allows one to hold more long gdp assets than any other portfolio construction

      2 replies 0 retweets 2 likes
    8. speakermaniac‏ @speakermaniac3 20 Feb 2021
      Replying to @JasonMutiny @sidprabhu @macrocephalopod

      So by including long vol assets, the overall portfolio vol is theoretically dampened enough to allow an investor to leverage a higher point on the capital market line without loosing risk efficiency (sharpe)?

      2 replies 0 retweets 2 likes
    9. macrocephalopod‏ @macrocephalopod 20 Feb 2021
      Replying to @speakermaniac3 @JasonMutiny @sidprabhu

      Think it’s more subtle than that. It’s negatively correlated with the portfolio, but the negative correlation isn’t the point. The point is that the highly convex payoff in bad states more than makes up for the drag on returns in good states.

      2 replies 0 retweets 4 likes
      macrocephalopod‏ @macrocephalopod 20 Feb 2021
      Replying to @macrocephalopod @speakermaniac3 and

      It works basically because a big drawdown *really* hurts your cagr so if you can cap the big drawdowns you can have an outsized effect on portfolio cagr even if you are giving up some drift.

      1:19 PM - 20 Feb 2021
      • 2 Likes
      • Rafael Velásquez, CFA Jason @ Mutiny 🦑🪳🏴‍☠️
      1 reply 0 retweets 2 likes
        1. New conversation
        1. macrocephalopod‏ @macrocephalopod 20 Feb 2021
          Replying to @macrocephalopod @speakermaniac3 and

          If you were of a certain mindset (or if you work in marketing) you could call it “nonlinear correlation”.

          1 reply 0 retweets 2 likes
        2. macrocephalopod‏ @macrocephalopod 20 Feb 2021
          Replying to @macrocephalopod @speakermaniac3 and

          This is the theory anyway! Historical evidence so far seems to point to the theory being valid but who knows what the next 25 years holds 🤷‍♀️

          1 reply 0 retweets 3 likes
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