Mu Hat Capital

Cue the “Average SP500 Returns After $VIX > 30” charts. Here’s ours: muhat.com/blog/volatilit…

@MacroPru @JohnHCochrane 😂 maybe the father? I don’t know how old Kerry is.

@JohnHCochrane So you're the Son or the Holy Ghost? x.com/Muhatcapital/s…

Mixed strategy Nash equilibrium

@jsachin77 @casper_smc No sir.

@casper_smc Is this a long short portfolio

New account from an institutional trader I know…finally convinced him to get on social media Give him a follow.

@Kolarov777 Those three will keep you busy for years lol. I continuously go back to them.

@Muhatcapital What more books could you recommend? Your library seems huge and I am interested in more titles.

#quant #finance is very broad. However, if your ambition is to build portfolios, stay off #reddit and study the canon. Back, Campbell, and Cochrane are the holy trinity of Asset Pricing.

A little confirmation bias - At Mu Hat, we have always internally viewed our \hat{\mu}’s as ordinal rankings rather than cardinal values.

@Manuge I used that chart back when we were first gathering assets. I just updated it and repurposed it.

@Muhatcapital What only analyze 5 years of history?

Cue the “Average SP500 Returns After $VIX > 30” charts. Here’s ours: muhat.com/blog/volatilit…

@saucedo_alex We don’t do digital assets, but I believe we have held $MSTR at different points.

@Muhatcapital Curious about your take on Bitcoin and Strategy , $MSTR

@VerySeriousPP The lesson isn’t, “buy when VIX is high”, but rather hold your investments and trust your process.

@Muhatcapital This strategy has worked well for me as well. Trump feeds fear and hope to extremes.

@truthfromthone Actually, the takeaway is that you shouldn’t try to time the market. Just stick to your convictions.

@Muhatcapital Are the returns better if you just invest when it crosses 30 vs. waiting for a full month to confirm?

@NotAdvising @casper_smc Pretty wild lol

@casper_smc 10 posts, 4k followers already? 🤣

@Daw_g5 I mean…. You aren’t entirely wrong. But everything isn’t a sinister plot to deceive. Trying to keep a memo to 2-3 pages is tough ya know?

Interesting Reads like a communication piece for clients designed to stop investors from redeeming during a drawdown… Would appreciate you addressing survivorship bias and regime dependency here because I bet if you extend the sample to dotcom you don’t see the same recovery

@NotHadji Thank you for reading though!

@Muhatcapital "Forward returns are measured cumulatively over the next three and six months after the episode ends". How, specifically, is the episode ending defined? thx

@NotHadji Nothing sophisticated, it’s simply when VIX drops below 30.

@casper_smc Thank you, sir! 🙏🏼

It's the birthday of Stefan Banach—a man whose brilliance was so natural that he had to be gently tricked into earning his own PhD. Banach was not the kind of person who chased degrees or academic titles. He loved mathematics deeply, but he had little interest in writing formal papers or preparing a doctoral thesis. To him, discussing ideas and solving problems mattered far more than collecting credentials. But his colleagues saw something extraordinary in him. They knew his ideas deserved recognition, and they were determined to help him achieve it—whether he cared for it or not. So they came up with a clever plan. They arranged for an assistant to regularly meet with Banach under the pretense of casual mathematical discussions. During these meetings, the assistant quietly took detailed notes of Banach’s thoughts, proofs, and insights. Over time, these notes grew into a complete doctoral thesis—without Banach ever formally “writing” one himself. When it was ready, Banach simply reviewed and approved it. There was still one final step: the oral examination. Once again, his colleagues used a bit of creativity. They invited Banach to discuss a mathematical problem they claimed to be struggling with. Banach, always eager to talk mathematics, showed up without hesitation. What he didn’t realize was that this “discussion” was actually his official oral exam. He passed, of course—effortlessly. And that’s how one of the greatest mathematicians in history earned his PhD: not through formal ambition, but through pure love of ideas and a little friendly trickery.

@litcapital Fake news: muhat.com

Hedge fund dudes will have setups like these just to underperform the S&P by double digits

@iblanco_finance I can’t find the paper anywhere on your website? Probably user error?

🎯 New Research! "The Beta Anomaly is State-Dependent: Why does the beta factor sometimes work... and sometimes fail spectacularly?" The paper "Risk Appetite and (Mis)Pricing" explains it: When risk aversion is HIGH: * CAPM works as textbooks say * SML slope: +226 bps/month per unit of beta * Beta earns a premium ✅ When risk aversion is LOW: * SML flips negative (-77 bps) * High-beta stocks underperform by -153 bps/month * Beta becomes mispricing ❌ I am increasingly interested in the use of state variables to time factors. Still many interesting ideas to test in this dimension. → Join 3,000+ readers: ivanblanco.ai/newsletter