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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 10 Mar 2021

      macrocephalopod Retweeted macrocephalopod

      A related idea explains why cross-sectional momentum strategies on single names are correlated with directional trend-following strategies on futures (e.g. +30% correlation of SG Trend Index with FF momentum factor -- normally even higher for real-world momentum implementations)https://twitter.com/macrocephalopod/status/1369418204263706626 …

      macrocephalopod added,

      macrocephalopod @macrocephalopod
      Short thread about momentum as a risk factor and why you should take it seriously. At first glance it sounds stupid — why would stocks that recently went up continue to move together in the future?
      Show this thread
      1 reply 0 retweets 18 likes
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    2. macrocephalopod‏ @macrocephalopod 10 Mar 2021

      At first glance they appear unrelated -- trading universes do not overlap, and one is market-neutral whereas the other is explicitly directional.

      1 reply 0 retweets 0 likes
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    3. macrocephalopod‏ @macrocephalopod 10 Mar 2021

      But many of the same factors drive both futures markets and single names. For example, oil is up a lot, as are stocks with high oil beta, so both trend followers and cross-sectional momentum are "long oil". Same bet through different instruments.

      1 reply 0 retweets 0 likes
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    4. macrocephalopod‏ @macrocephalopod 10 Mar 2021

      Another example, the yield curve steepened a lot so trend followers are short high duration and long low duration. Cross-sectional momentum strats will be long stocks that benefit from a steep yield curve (e.g. banks). Same bet.

      1 reply 0 retweets 2 likes
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    5. macrocephalopod‏ @macrocephalopod 10 Mar 2021

      Interestingly there is little to no correlation due to trend exposure to equity indices, since this risk is generally hedged in cross-sectional momentum strats (though not always, they can run positive/negative beta exposure and this will generate +ve corr with trend)

      1 reply 0 retweets 4 likes
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      macrocephalopod‏ @macrocephalopod 10 Mar 2021

      Instead it is almost all due to single name correlation with macro factors (currencies, rates, commods) that trend followers explicitly bet on, and cross-sectional momentum strats are betting on implicitly.

      6:15 AM - 10 Mar 2021
      • 6 Likes
      • M D ddubs Josh Giersch 🏳️‍🌈 Adam Butler
      0 replies 0 retweets 6 likes

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