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s_r_constantin's profile
Sarah Constantin
Sarah Constantin
Sarah Constantin
@s_r_constantin

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Sarah Constantin

@s_r_constantin

Math/ML/data-science person now working on solving aging...and helping with COVID19?! Founder, LRI and Daphnia Labs. Married to @oscredwin

Be
srconstantin.posthaven.com
Joined February 2019

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    1. Sarah Constantin‏ @s_r_constantin 7 Sep 2019
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      An exceptional single *company* can have a higher rate of return, though: Amazon has been growing at an average rate of 36% a year since it IPO'd. If you had to pick between being Jeff Bezos and being a typical VC, on purely money grounds, you'd want to be Bezos.

      2 replies 1 retweet 6 likes
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    2. Sarah Constantin‏ @s_r_constantin 7 Sep 2019
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      It's apparently possible to be a VC firm that raises large funds and underperforms; DCM Ventures is in the top 10 firms for largest funds raised and the IRRs I could find are as follows: DCM II: 0.20% DCM III: 2.1% DCM IV: 4.89% DCM V: 18.69% DCM VI: 3%

      2 replies 0 retweets 4 likes
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    3. Sarah Constantin‏ @s_r_constantin 7 Sep 2019
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      The generalization of this is a martingale. https://en.wikipedia.org/wiki/Martingale_(probability_theory) … Your expected value at the next time step is the same as your present value, but your variance grows over time as you keep reinvesting your winnings. In the long run, you get rich...or go broke.

      3 replies 1 retweet 4 likes
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    4. Sarah Constantin‏ @s_r_constantin 7 Sep 2019
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      A martingale can have a positive expected rate of return but a zero "drift" term (modeled as a geometric Brownian motion, e^(mu*t + sigma W_t), martingales have mu=0.)

      1 reply 1 retweet 2 likes
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    5. Sarah Constantin‏ @s_r_constantin 7 Sep 2019
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      The Kelly Criterion https://en.wikipedia.org/wiki/Kelly_criterion … would say that to maximize your long-run growth, you should not invest in martingales at all -- after all, they have no long-run tendency to grow!

      2 replies 1 retweet 4 likes
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    6. Sarah Constantin‏ @s_r_constantin 7 Sep 2019
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      So do the portfolios of VCs have a positive exponential growth rate? i.e. do they have a systematic tendency to grow, or are they just exponentials of random walks? (which only make money on average because you exclude those which go broke).

      2 replies 1 retweet 5 likes
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    7. Sarah Constantin‏ @s_r_constantin 7 Sep 2019
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      You can't know for sure, but you can do quick-and-dirty Z-tests to see if the firm's long-run IRR is outside a 95% confidence interval away from zero. My data is very incomplete but so far it looks like some firms meet this criterion and some don't.

      3 replies 0 retweets 4 likes
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    8. Sarah Constantin‏ @s_r_constantin 7 Sep 2019
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      But I just made up the 95% confidence interval; investors are not necessarily foolish for investing in VCs that "can't reject the null hypothesis", especially if they invest in a diverse set of VCs that together have a mean growth rate >0.

      1 reply 0 retweets 1 like
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      Sarah Constantin‏ @s_r_constantin 7 Sep 2019
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      The basic overall conclusion is that VC’s as a class make about the same return you’d expect to compensate for their level of risk. This average includes a mix of VC track records, from “no better than coin flipping” to “way above-market returns.”

      12:11 PM - 7 Sep 2019
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      • Nathaniel Eliot Mashal Waqar ELLIOTT MAKES REVOLUTION Plague Misha Roko Mijic
      2 replies 0 retweets 5 likes
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        2. Aaron‏ @aaron_etc 7 Sep 2019
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          Replying to @s_r_constantin

          Interesting. Do you have a sense of how useful it is as part of a portfolio – how uncorrelated it is to other asset classes?

          1 reply 0 retweets 0 likes
        3. Sarah Constantin‏ @s_r_constantin 7 Sep 2019
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          Replying to @aaron_etc

          No clue, except that VC dips lower in recessions and soars higher in booms than the stock market, so "pretty correlated with stocks". (Don't have numbers offhand, sorry.)

          0 replies 0 retweets 0 likes
        4. End of conversation
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        2. ELLIOTT MAKES REVOLUTION‏ @neozero497 7 Sep 2019
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          Replying to @s_r_constantin

          I think you have inadvertantly discovered factor investing. I am willing to bet that @benjaminwfelix or someone equally as talented could probably prove that the risk adjusted performance of VCs can be explained by their investing in small cap companies.

          3 replies 0 retweets 1 like
        3. Sarah Constantin‏ @s_r_constantin 7 Sep 2019
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          Replying to @neozero497 @benjaminwfelix

          factor investing = following this? https://en.wikipedia.org/wiki/Fama%E2%80%93French_three-factor_model …

          1 reply 0 retweets 0 likes
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