Roni Israelov

@choffstein How’d it do?

copy-pasted a matrix into chatgpt and asked, “is this positive definite” today because i didn’t want to write the code to check. this is either peak productivity or maximum laziness. i can’t tell which yet.

@CoeusCap No worries - this mistaken identity happens quite a bit given the similarity in our names and the common AQR affiliation.

@RoniIsraelov Ahh sorry! Was reading too fast and too carelessly.

Tycker årets valutarörelser verkligan visar den potentiella risken med uninteded bets och att man kan ha rätt men ändå förlora pengar. Bör vi inte generellt försöka minimera de risker vi inte har en syn på för att kunna ta mer risk där vi har en syn?

@CoeusCap I think this was my colleague, Ronen Israel (similar name but different person! 😊).

@RoniIsraelov visar i sin artikel "Craftsmanship Alpha: An Application to Style Investing" hur sharpkvoten på en värdestrategi ändras om man hedgar bort marknads och sektorrisken. Endast 32% av risken i standardfaktorn kommer från stock picking, resten är inintended bets...

@ReformedTrader I think people should be cautious & skeptical about relying on timing to avoid left-tail risk. Timing might add alpha. Timing might reduce the probability of left-tail risk. But timing doesn't eliminate that risk. Also (on covered calls and downside risk):

People think they can eliminate the negative skewness of covered calls by being very good at predicting the underlying stock. So run a backtest assuming perfect foreknowledge. You'll find that you do better just trading the stock (more beta and fewer problems with asymmetry).

@choffstein This is almost the exact opposite of what you are asking about, but it’s related (in as much as it advocates for the opposite approach), so sharing it. tandfonline.com/doi/abs/10.246…

Anybody know of any research on using lines of credit / borrowing during retirement to avoid liquidating holdings during drawdowns?

@BullandBaird @choffstein @EconomPic @awealthofcs It is wild - and it strangely doesn't square with the income crowd that appears to be price agnostic. I suppose the common thread is a disdain for total return? 🤷‍♂️

@choffstein @EconomPic @awealthofcs I mean I fully agree with you both but this poll is wild.

This person is not kidding.

@choffstein @Quantoadlly I try to be precise where it matters! 😂

@Quantoadlly @RoniIsraelov I'm glad he specified queso chihuahua. That could've gone real badly.

My wife has been gone two days, which means I've fully descended into bachelor food. I forgot pictures, but here's chicken pot pie bowl: 1 chicken breast, cooked and cubed 1 bag frozen peas and carrots, cooked 1 personal frozen pot pie, cooked Throw in a bowl and smash.

poor @RoniIsraelov … will he ever be anything more than a “former AQR quant”?

😂Time will tell. Fortunately, I consider "former AQR quant" a badge of honor! Link to the Bloomberg article: bloomberg.com/news/articles/… Link to the Devil's Bargain paper: papers.ssrn.com/sol3/papers.cf…

@INVESTMENTSHULK @choffstein Thanks! Paper is accessible on AQR's website here: aqr.com/-/media/AQR/Do…

@choffstein @RoniIsraelov HULK’S FAVORITE PAPER TO SEND TO FOOLS THAT DON’T REALLY UNDERSTAND HOW BUY-WRITE STRATS WORK.

I think that international diversification isn’t so much about protection against crash risk. All markets crash together these days. It’s mostly protection against a home country asset “lost decade” after an asset price bubble. If you were able to diversify away from Japanese stocks in 1990, US stocks in year 2020, or developed market bonds in 2021, for example, that international diversification would have really helped your terminal wealth. In my mind, international diversification becomes fantastically beneficial when it is combined with the ability (skill, temperament) to exclude assets priced to silly levels from the portfolio.

@ptuomov Agreed! Co-authored with @CliffordAsness and John Liew. aqr.com/-/media/AQR/Do…

@choffstein @SlowBrewFinance

@SlowBrewFinance I like to think it’s equal parts grit and stupidity.

@komplexkonjugat @jon_arnell åh nästa intricacy. Som @RoniIsraelov visat, optioner skyddar inte alltid på det sättet man väntar sig. Om man hade en delta neutral optionsstruktur under covid krashen hade begränsad lönsamhet. Hela lönsamheten under denna period fanns i deltan i optionerna.

Exclude with Impunity: Personalized Indexing and Stock Restrictions Yin Chen and Roni Israelov use simulated historical backtests to study the impact of stock exclusions on the performance of passive and active portfolios. ow.ly/PHEK50Q2hs2

Exclude with Impunity: Personalized Indexing and Stock Restrictions Yin Chen and Roni Israelov use simulated historical backtests to study the impact of stock exclusions on the performance of passive and active portfolios. ow.ly/PHEK50Q2hs2

My latest article for Alpha Architect dives into the research on covered calls and shows how the focus on "income" can undermine returns alphaarchitect.com/2023/11/covere…