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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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    5. Alex Good‏ @goodalexander 16 Mar 2021

      Thank you for the thread. What's the shortest time-frame you've seen a fundamental PM have a good alpha curve on? Have always wondered if there are institutional non-quant folks who only trade AAPL/TSLA in and out or a guy who only holds through earnings etc

      2 replies 0 retweets 3 likes
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    7. Alex Good‏ @goodalexander 16 Mar 2021

      That makes sense. In the case of someone with a 90% alpha hit rate on day 1 -- I guess I was thinking their churn should be (intuitively) extremely high as it'd be a bad use of balance sheet to carry ideas after their alpha decayed. In practice, not sure if this happens

      1 reply 0 retweets 6 likes
    8. macrocephalopod‏ @macrocephalopod 17 Mar 2021
      Replying to @goodalexander @pmje73

      The sell side “alpha capture” models that hedge funds like wace ran in the early 2000s had alpha over 1-5 days, this gradually sped up over time until almost all the alpha was realised over 1-24 hours. Churn was high!

      1 reply 0 retweets 8 likes
    9. macrocephalopod‏ @macrocephalopod 17 Mar 2021
      Replying to @macrocephalopod @goodalexander @pmje73

      Bit of a special case since part of the alpha here was getting ahead of slower moving traders who followed the analyst recs but took longer to do it, ie the recs moved the market. But it’s not that unusual for analysts to have pretty quick alpha!

      1 reply 0 retweets 2 likes
    10. Bruno Iksil‏ @BrunoIksil 17 Mar 2021
      Replying to @macrocephalopod @goodalexander @pmje73

      May I pls ask what do you mean by “churn” here? Also, how do you quantify alpha on day 1 or the early period? Thank you

      1 reply 0 retweets 0 likes
      macrocephalopod‏ @macrocephalopod 17 Mar 2021
      Replying to @BrunoIksil @goodalexander @pmje73

      Churn = turnover (e.g. what % of the portfolio is traded each day). To quantify alpha you plot an "alpha curve" (also called a markout or event study) as @pmje73 suggests, i.e. a graph of your average return on trades as a function of holding period.

      3:26 AM - 17 Mar 2021
      • 3 Likes
      • Mayur Jain ab Alex Good
      1 reply 0 retweets 3 likes
        1. Bruno Iksil‏ @BrunoIksil 17 Mar 2021
          Replying to @macrocephalopod @goodalexander @pmje73

          Perfect, thank you !

          0 replies 0 retweets 0 likes
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