This was a popular hedge fund/macro trade for a while. Own stocks over weekends, holidays, over year end, before big announcements and earnings. Own treasuries over auctions and big announcements. Holding unwanted risk and (hopefully) getting paid for it. https://twitter.com/kyled116/status/1469241027726741504 …
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Replying to @macrocephalopod
Is it not a popular trade any more? There’s still decent expected returns in some of the things you mention as far as I know…
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Replying to @castletoncollin
Not sure, I'm in that world so much any more. I know the strategy had a period of bad returns for a while, which will have pushed some people out.
2:06 AM - 10 Dec 2021
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