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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. BisphamGreen‏ @BisphamGreen 15 Nov 2021

      BisphamGreen Retweeted (((The Daily Shot)))

      If you do something similar on bonds it will look the same. The next decade, perhaps 2 decades, are going to be awful for asset returns. This will have profound implications for the industryhttps://twitter.com/SoberLook/status/1460190968683147273 …

      BisphamGreen added,

      (((The Daily Shot))) @SoberLook
      Current valuations point to a “lost decade” in stocks. Source: @ISABELNET_SA, @GoldmanSachs pic.twitter.com/xfD9G1rcfZ
      6 replies 5 retweets 40 likes
    2. Joe Weisenthal‏ @TheStalwart 15 Nov 2021
      Replying to @BisphamGreen @EnriqueDiazAlva

      is this methodology better than the other "asset are priced for terrible returns" methodology that I've been hearing for my entire career?

      11 replies 0 retweets 58 likes
    3. macrocephalopod‏ @macrocephalopod 15 Nov 2021
      Replying to @TheStalwart @BisphamGreen @EnriqueDiazAlva

      The chart above is particularly bad, since it plots 1 point per month for something which is averaged over ten years, giving a false sense of how strong the correlation is. The correct version of the plot should only have seven data points.

      6 replies 0 retweets 87 likes
      macrocephalopod‏ @macrocephalopod 15 Nov 2021
      Replying to @macrocephalopod @TheStalwart and

      Chart on the left - seven data points, statistically insignificant correlation. Chart on the right - each data point replicated 100 times with some noise, statistically significant (but very fake) correlation.pic.twitter.com/etlvFmk4ty

      9:43 AM - 15 Nov 2021
      • 7 Retweets
      • 96 Likes
      • Kramer TJ Boring Liberal RSWEMBA Pianomaxx Cody Brown SG 🏴‍☠️ David Cervantes Flowdamentals
      7 replies 7 retweets 96 likes
        1. New conversation
        1. Macro Risk Analyst‏ @VKMacro 15 Nov 2021
          Replying to @macrocephalopod @TheStalwart and

          How do you choose which 7 data points?

          1 reply 0 retweets 0 likes
        2. BlankName‏ @ExpReturns 15 Nov 2021
          Replying to @VKMacro @macrocephalopod and

          Non-overlapping periods.

          1 reply 0 retweets 10 likes
        3. Show replies
        2. New conversation
        1. macroarb‏ @macroarb 15 Nov 2021
          Replying to @macrocephalopod @TheStalwart and

          These are some great points, 🐙 quant god. May I ask if overlapping data points on the y-axis is enough to invalidate the regression. Is this practice not common in factor construction (an input vs. x period forward return)?

          1 reply 0 retweets 1 like
        2. Show replies
        1. d-spike capital‏ @dopamine_uptake 15 Nov 2021
          Replying to @macrocephalopod @TheStalwart and

          Cc @MebFaber

          0 replies 0 retweets 0 likes
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        4. New conversation
        1. BisphamGreen‏ @BisphamGreen 15 Nov 2021
          Replying to @macrocephalopod @TheStalwart @EnriqueDiazAlva

          What happens when you use years ending in 1?

          2 replies 0 retweets 0 likes
        2. macrocephalopod‏ @macrocephalopod 15 Nov 2021
          Replying to @BisphamGreen @TheStalwart @EnriqueDiazAlva

          For the CAPE plot? I don’t know, I don’t have the data easily to hand. AQR redid the analysis a while ago and concluded that it’s not statistically significant if you do the analysis properly. My own view is that it probably has some weak predictive power.

          2 replies 0 retweets 6 likes
        3. Show replies
        1. David Fitzpatrick‏ @Fitzdaf 15 Nov 2021
          Replying to @macrocephalopod @TheStalwart and

          Appreciating you for this thread

          0 replies 0 retweets 0 likes
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        6. New conversation
        1. Lily.wav‏ @nope_its_lily 15 Nov 2021
          Replying to @macrocephalopod @TheStalwart and

          Would this hold for residuals as well? Aka 6hr MA observations diff(1).

          1 reply 0 retweets 2 likes
        2. macrocephalopod‏ @macrocephalopod 16 Nov 2021
          Replying to @nope_its_lily @TheStalwart and

          6hr observation diff(1) is fine, if the 6hr periods don’t overlap. You only get problems if you have eg 00:00-06:00, 01:00-07:00, 02:00-08:00 etc in the same data set.

          1 reply 0 retweets 2 likes
        3. Show replies

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