@choffstein AQR (of course) has a good piece on how active extension helps mitigate this aqr.com/-/media/AQR/Do…
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Liam Underwood
431 posts
Liam Underwood
@Lubird9
Former Canada 7s and 15s player. Queen's University Alumni
Toronto, Ontario Katılım Nisan 2012
311 Takip Edilen654 Takipçiler
I feel like one of the big points that gets missed for long-only active is that in an increasingly concentrated market, it becomes more and more difficult to run a high active share without expressing a negative bet on the top names.
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The top 10 largest stocks in the S&P 500 are 50% more volatile than the S&P 500 itself right now.
Important for risk... but more important for alpha right now.
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@choffstein Interesting that EM is meaningfully below DM ex-US expected returns. And that vol difference... ouch.
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I don't put much stock in capital market assumptions...
but I do find it interesting that Vanguard forecasts that the median outcome for US aggregate bonds is higher than for US equities over the next decade.
Especially since everyone hates bonds right now.
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@verdadcap Very interesting! Have you looked at this with Mahalnobis distances to take into account the covariation of economic signals?
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To do this, we created a measure of macroeconomic similarity that incorporates the full range of predictive economic signals that we rely on like high-yield spreads, inflation, stock-bond correlation, and the yield curve. We converted the economic data at each point into a vector and calculated the Euclidean distance between that vector and all historical vectors. Read the full analysis here: mailchi.mp/verdadcap/anal…?
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Today’s market conditions are most similar, in reverse chronological order, to the following 8 periods: 2019, 2007, 2000, 1995, 1989, 1979, 1973, and 1969. These periods were generally defined by conditions that encourage risk taking.
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@NomadicSamuel Have you come across any comparable ETFs? FLSP seems similar but much lower vol
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@NomadicSamuel A related piece I’m sure you would find interesting
oneriveram.com/alternatives-w…
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@NomadicSamuel Any good sources of historical data to back test the multi asset carry portion?
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@awealthofcs Isn’t that relatively the same thing that has happened every hiking cycle over the last 40 years?
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Unemployment rate when the Fed started raising rates a year ago (from 0%):
3.8%
Unemployment rate now that the Fed has raised rates to nearly 5%:
3.6%
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@choffstein The managed futures exposure sounds similar to the methodology $DBMF is using. Is that a fair comparison but maybe a broader universe?
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Return Stacked ETFs are finally here.
Introducing the Return Stacked Bonds & Managed Futures ETF – RSBT.
The ETF seeks to provide $1 of broad U.S. bond exposure and $1 of a managed futures strategy for every $1 invested.
Learn more at returnstackedetfs.com.
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📚 Need a new book. Recently read:
🏘️ Bubble in the Sun
🍌 The Fish That Ate the Whale
🏭 Lessons from the Titans
Recommendations?
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@CliffordAsness could you explain why m (multiple expansion) is not considered in the leveraged return calculation and is only added after?
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@4golfonline How important is using the same type of ball (whatever that brand may be) to your consistency in a year of golf? Ie if you’re bouncing between different brands/categories does that have a meaningful impact on your scores?
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Have you had your driver fit for your game?
Do you ever wonder what to look for in a fitting?
In this video, I share 5 tips and tricks to help you get the best fitting for your game.
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@BobEUnlimited Do you think this applies across the PE/privates landscape or more contained to VC? Or maybe VC is just the most extreme example?
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While it may be difficult to predict the public markets in '23, it is pretty easy to figure out that Venture Funds are on track to lose $1 trillion in value from peak.
The vast majority of these losses have yet to be recognized. '23 will bring more realistic marks. A thread.
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@choffstein @drctypea Any thoughts on why in the economic trend following section, expansionary monetary policy is bearish for fixed income? I can see it for future expected returns, but for trend I would have thought it was bullish
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Quick white paper from AQR asking a few simple questions about Trend:
- What the hell were the 2010s?
- Are we in a new regime?
- Does trend trend?
aqr.com/Insights/Resea…
(h/t @drctypea)
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@andrewdbeer1 any thoughts on $HFND and the potential similarities to $DBMF
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@BigBreakfastLob @HML_Compounder Because most of the year the curve has been bear flattening?
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Not sure how to really feel about this. How could it be losing money in the middle of bear steepening? @HML_Compounder
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