Holpe

RQA Insight - richmondquant.com/news/2019/7/1/…

@HML_Compounder @TaxAlphaInsider @Nicholas_Meyers i’m just saying you would get paid short proceed interest from ibkr over 100K which would more than offset the borrow cost and be favored vs diy box. caveat probaly takes more margin. and ofc needs to be a few million or more not a couple 100k

@AndrewHolpe @TaxAlphaInsider @Nicholas_Meyers Oh you’re saying you’d earn interest on the short proceeds if left in cash? Whats the point of doing this trade if you are just sitting in cash, that’s a net loss. Point is to use the proceeds to reinvest in something (levee up), no?

@HML_Compounder @TaxAlphaInsider @Nicholas_Meyers right. sell boxx at 4% implied plus the 35bp borrow and get 2.5% back on short proceeds (assuming it’s a few million or more). i don’t think the diy box is going to provide short proceeds, it will just offset your negative cash.

@AndrewHolpe @TaxAlphaInsider @Nicholas_Meyers You’re paying the borrow cost to short, not getting it, no? Do it this way you “pay” the return of BOXX plus borrow rate vs. just paying the imbedded risk free rate (and slight spread) of your own box.

@HML_Compounder @TaxAlphaInsider @Nicholas_Meyers the aim would be to get short interest (>$100k) paid to you for the short offsetting the embedded risk free rate of boxx plus the 35bp borrow. trade off is it will use some margin vs just doing the box on your own.

@TaxAlphaInsider @Nicholas_Meyers If you want to be long box spreads then we agree, no doubt BOXX is the move. I’m discussing the merits of shorting BOXX as a means to lever your portfolio vs. just doing your own short box spreads (no benefit in redeeming in-kind there, you’re losing $ on the trade).

@choffstein Congrats

$0 to $1 billion in 987 days. Thanks for all the support along the way.

@__paleologo welcome to RVA

Richmond

@choffstein congrats Corey

🎂 Newfound turns 17 today. Might as well re-up this thread from two years ago.

@Tyler_Lovingood but did you see the yield

One of the first yield chasing funds. Worse than the benchmark in all ways, with nearly 1.00 correlation.

@orrdavid @IBKR do you use them for your etf?

For over a year now I have been asking @IBKR's portfolio analyst team to fix a glitch that has been adding an extra trading to each week in the reports it generates. It does this because I once owned a miniscule - I think 100 share - position in a one Israeli stock. It'll be incredible if I wind up quitting them as a customer over this, considering I probably generate >$4 million/year in profit for them now. If you guys over at @IBKR want to improve your company, I'd take a serious study into just how this catastrophic failure has happened. There's something incredibly wrong with the incentive structure at your company's support level.

@LDrogen Congrats Leigh

@bennpeifert you had to make a decent covered call strategy vs the xyld/qyld garbage, what’s the process?

flight delayed two hours if you have more burning q's or story requests

@bennpeifert @TCK_JRubano how do you think about return and risk targets for your program. for example do you run at a target vol or simply just take what the market gives you in terms of profitable dislocations. how do you message this to your LPs?

@TCK_JRubano long incremental evolution over many many years, learned from a mentor, started mostly in OTC, ended up all in listed using market maker like execution technology

okay chat, what should i write about tomorrow morning when i wake up long before anyone should on a sunday

@gfc4 richmondquant.com/news/2022/9/7/…

@gfc4 yeah, a lead lag relationship but a lot coincidental. which makes sense as the crowd is discounting all macro data into prices. we aggregate econ fundie data into a single output that forecasts growth /contraction. this post takes that model and overlays the SP yoy change

When I was younger, I was really into fundamental macro even though I'm not sure I ever really understood it beyond parroting the analysis of others. I suppose I liked it because, compared to stock picking, macro was exciting and worldly. Think James Bond vs a local CPA doing taxes. Now that I'm older and more honest with myself, I think fundamental macro is far too complicated. For example, there are so many "flations" to consider. Or the reality that sample sizes in analyzing historical macro precedents are abysmal by statistician standards. And when you statistically analyze macro factors like CA balance, GDP growth, rate changes, etc you find they aren't more predictive than price itself. Then you realize the great macros talk a lot but their master is price action not analysis and that changes everything (or it did for me at least). Couple all that with a Buffett saying, "Name me one super-weathy economist."

@__paleologo @Gingfacekillah @Quantum_Sport @SinclairEuan in summary “Together, these ideas reflect the notion that mastery is less about finding hidden wisdom and more about dedicated practice, self-awareness, and ongoing learning. It’s a journey where the process itself leads to transformation, rather than a secret shortcut.”

"The second was @SinclairEuan who said to me “the truth is, there are no great secrets”. This is true. @__paleologo said something similar if I recall correctly." Yes. My favorite comparisons are "Kung Fu Panda" and its empty scroll, and "Jiro dreams of sushi", and @ShriramKMurthi who tweeted a few years back that if you something over and over eventually turns out into something altogether different.

It’s been a big year for writing. 2 books released: one on Bayesian sports modeling and one on options trading. Two paraphrased quotes always stuck with me when thinking of writing a book. The first was from @Quantum_Sport ‘s book “Winning Sports Betting”, where he says towards the end that you should consider giving something back to society, since profitable sports betting doesn’t really do much in that regard. The second was @SinclairEuan who said to me “the truth is, there are no great secrets”. This is true. @__paleologo said something similar if I recall correctly. There are new observations, small additions and little twists that can make something proprietary, but the base methods aren’t stealthily unknown. MCMC methods or trade structures for harvesting VRP aren’t locked away in Area 51. These ideas are what have generally made me amenable to writing a few books to help the industrious reader out, give a little something back, and make something cool - which I’ve enjoyed doing. I’ve received some really pleasant emails over the years from people that have done well for themselves after reading the various books, and that’s a rewarding feeling. At present, my total body of work is close to 1,000 pages written. I think that’s enough for now. If you read everything I’ve written you’ll have a very good understanding of how I view market games and the kinds of ways I look to crack them. Provided you’re not searching for magic beans, it should help. I hope you’ve enjoyed the books and learned something useful. It was an absolute pleasure to be able to collaborate with @SinclairEuan who is undeniably brilliant, along with @KrisAbdelmessih and @moreproteinbars - two traders whom I hold in the absolute highest esteem. I’m long overdue to get back to the actual work with complete focus. Back to the screens. The market opportunities out there are crazy right now. Basketball, hockey and football in full swing too. Let’s get it. P.S. Something my electrical foreman used to say on cold mornings: “the heat is in the tools, gentlemen.” Get to work. 🫡

@UrbanKaoboy past 8 elections - vol

👀👀👀

Musings of the Day, 10/31/24 🎃 👻 It’s a Trick and not a Treat for China. What are they gonna do when EVERY country follows suit? To NOT enact Tariffs is to de facto allow China’s Hostile Industrial Policy be inflicted on your nation.

@KrisAbdelmessih nice - Buyer's Premium 12% Buyer shall pay to Concierge a “Buyer's Premium” in addition to the Purchase Price for the Property. The Buyer's Premium is not a real estate commission; it is the fee that Concierge charges to bidders for bringing the Property to auction.

House nearby (no correlation to mine I assure you...I went into options trading not PE) live auction. conciergeauctions.com/auctions/3323-… I saw it with my kids for fun and they assumed a Warriors player lived there 😂 Realtor friend thinks it will trade high singles

@Biohazard3737 $btal

@conorsen but the 5 sharpe diversifies your entire portfolio

Large asset managers are pitching private credit like it’s a new streaming service or smartphone rather than what it is — one segment of the capital structure which can be expensive or cheap at any given time, and tends to be less attractive after a glut of issuance.

@BobEUnlimited long Qs short QYLD has a pretty decent sharpe

I wonder how many of the investors & advisors which have put $8bln in investment into $qyld know that those fat double digit distribution yields are actually leading to massive underperformance vs the outright index.

@EconomPic ntsx

If you had to pick one ETF to allocate to for a taxable investor for a period of 15 years minimum, which would it be?