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  1. Prikvačeni tweet
    3. velj

    Systematic strategies' returns are not subject to the constraints of and rules for traditional value-based asset return forecasts. Returns of these strategies are derived from each system's expectation. “Higher valuations” are meaningless for systems.

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  2. prije 11 sati

    The slow death of hedge funds is taking down the S&P500 futures with it. “Active managemnt and hedge funds are a much smaller proportion of the market than they were 10 yrs ago. You’re probably looking at the death of hedge fund AUM.” a tad overstatement?

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  3. prije 14 sati

    Warnings against “insincere gestures” and greenwashing—misleading to create an image of environmental responsibility without actually becoming more responsible. “Greenwashing may soon resemble the scandal of AAA ratings for subprime mortgages.”

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  4. prije 14 sati

    “Investing is our mission and ESG is our soul.” Using ESG-related trading signals. Annual investor day menu: a feast of vegan treats and not a slice of meat in sight. “A marketing ploy or a more genuine effort?, the outcome is unquestionably positive.”

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  5. prije 15 sati

    "Much of what behavioralists cite as counterexamples to economic rationality - behavioral biases - are, in fact, consistent with an evolutionary model of individuals adapting to a changing environment via simple heuristics." "satisficing"

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  6. prije 16 sati

    "Invest strategies work like population cycles. A species is abundant, depletes its food source, the species decline. The food source eventually grows back, species numbers recover. Active managers have been like a super-abundant species...."

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  7. 4. velj

    “So, in general, if you are in an uncertain world, make it simple. If you are in a world that’s highly predictable, make it complex." - Gerd Gigerenzer “No big complex model, the trend is down, get out.”

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  8. 3. velj
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  9. 3. velj

    "Trend following tends to transform the underlying distributions of assets to generate positive skewness. More leverage can help push those pos trades even further out in the tails." unprofitable buy-and-hold markets become profitable. it's a miracle.

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  10. proslijedio/la je Tweet
    3. velj

    Per , Kyle Shanahan has now been a coach on the two Super Bowl teams with the highest win probability ... that ended up losing the game. Falcons 99.7% (vs. Patriots in SB LI) 49ers 96.1% (vs. Chiefs in SB LIV)

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  11. 3. velj

    Investors acutely sensitive to significant equity losses might consider 'trend equity strategies' that use trend-following directly on equities, seeking to generate the convexity mechanically and not through correlated [and uncorrelated] assets. brilliant, better crisis alpha.

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  12. 3. velj

    "While increasing the number of markets reduced notional exposure to stocks, the total notional exposure to trades generating positive gains during past crises was materially higher. While the 1st fact is evergreen, the 2nd may not always be the case." ty

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  13. 3. velj

    "For trend-following CTAs, more diversification means less up-side participation with equities and but higher returns when equities are neg due to more notional exposure and in past crises we've seen a large number of assets trending simultaneously."

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  14. 3. velj

    "Our strategy targets a 4% allocation to hedge funds. Over the next 3-5 years, we may raise it to 5%. After the decade's strong returns from public markets, we are anticipating that hedge funds will provide us with some capital protection." We also invest in CTAs....

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  15. 3. velj

    "The funds we invest in have capacity, constraints, they do not need to attract investors, and do not renegotiate fees. Often they focus on complex strategies and technology, which means that replicating their investment process is almost impossible."

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  16. 3. velj

    "When investing in hedge funds, I look at the track record, their ability to explain and maintain their process, a coherent strategy, with zero or neg market beta, and disciplined risk management."

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  17. 3. velj

    'Everyone now believes that private markets are better than public ones' An era of rising rates and a recession would be a hard test for private markets. With ever more abandon, a queasily large number of investors are banking on neither being faced soon.

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  18. 3. velj

    They, generally speaking, never override their models. In times of crisis, the firm will pull back [risk]. They get scared like you and I. ‘Yes, we’ll probably make money here if we stick with our models, but I’m worried about surviving’

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  19. 3. velj

    "In 2010 ⁦⁩ was bought by Flixster, which was bought the following year by Warner Bros., which in 2016 sold most of its stake to Fandango, which is owned Comcast NBCUniversal."

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  20. 3. velj

    ‘Here’s the price to be paid for listening to ‘Armageddonist’ predictions from the likes of Soros, Icahn and Gundlach’ “A recession will come eventually but the it would have to be incredibly severe for investors to be rewarded by heeding dire advice.”

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