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alpha neutral and beta neutral
3.4K posts
alpha neutral and beta neutral
@aanalystbro
quantitative equity researcher (professional backtest overfitter)
New York Katılım Nisan 2009
727 Takip Edilen1.6K Takipçiler
don't worry. we are moving up and to the left. the days of 3-5% equity yields don't make sense sense if AGI is real. it isn't the safe harbor you think it is...
Patient Investor@patientinvestor
Howard Marks: "When you buy the S&P 500 at a 23x P/E, your 10-yr annualized return has always fallen between +2% and –2%, IN EVERY CASE, EVERY CASE!"
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@JaredKubin Quiet day for my multi strat across the board
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Outlier days in factors, names etc always get me interested because someone likely getting stopped out... consider myself an oil/commodity tourist.. but this is interesting
Thursday was literally unprecedented... In 31 years of data that I have, there have been 4 days where CRUDE surged 10%+. The other 3 SPX had sizable down days... Thursday is the only one that closed positive
This is Liquidation Nation... more violent + fatter tails...breaking historical trends
1. Crude v SPX daily scatter
2. Crude > 7.5% what did SPX do?
the REAL question is so what? I will leave that to the experts to piece the mosaic together... all i know is... MANAGE RISK.
Pierre Andurand 🇺🇦🇫🇷🇪🇺🕊️@AndurandPierre
The oil market now reminds me of when prices were around $30 in March 2020. Plenty of people who never looked at oil were going long oil futures, not realising what could happen to the roll. A few weeks later prices traded negative, with a $50+ contango for WTI a day before expiry. They looked at oil futures like equity, not understanding the impact of futures roll. This time is similar, plenty of people shorting the oil market thinking the Strait of Hormuz will eventually reopen and things will go back to normal. Many are trying to call the top. Without realising they might have to roll their shorts at $30, $50, $70+ backwardation?
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@volisdead Much of mkt neutral L/S equity also had a bad month. Not universally though.
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Funny with all the noise about equity L/S pod blowups seems like every factor neutral + systematic L/S shop keeps printing money.
Only ones getting hit are the large cap tech bros who have no choice but to run long hyperscalers, NVDA, and AVGO with the 70bn at 50% nets
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@bucketshopcap I don’t think there will be elections in 2028 lol
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Dems should be able to take the White House easily in 2028 tbh. At least if they ditch any over the top woke nonsense. Ppl are fed up with the nonstop buffoonery of this admin & we are inching closer to UBI every day thanks to AI, so at this point not so far fetched.
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Why is business insider so hot on the monthly HF returns beat
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@nerdcircus_ Average or median? Kinda matters in cases like this.
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look, i get PE has its own share of issues / misaligned incentives / etc.
& we mostly only hear about the bad case studies
but this is cool ! life-changing dollars for these ppl
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alpha neutral and beta neutral retweetledi
Lmao the reason this leaked was because he wanted to buy IDEF, a totally illiquid BlackRock fund that trades ~$100k a day, instead of ITA which trades hundred of millions, so he had his brokers call up the issuer and ask for a direct creation under his name
Samuel Oakford@samueloakford
A broker for Pete Hegseth, the US defence secretary, attempted to make a big investment in major defence companies in the weeks leading up to the US-Israeli attack on Iran, according to three people familiar with the matter. ft.com/content/744ea8…
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@PolicyEngineer Alliance Bernstein moved their back office there. All the portfolio managers are largely still in ny
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How many more relocations will Albany ignore before making a tax/regulatory course correction? The alarm should have sounded in 2018 when AllianceBernstein (an NYC institution) said it was leaving for TN. Others followed, many to FL. Now two stock exchanges are opening in TX.
Sujeet Indap@sindap
NEW: Apollo wants a 2nd HQ outside of NYC and will put it in a red state: ft.com/content/efeca6…
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@BigJohn043 What % of the front office is in NY vs FL?
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This is only shocking to those putting their heads in the sand in NY, CA & IL. Half of both Thoma Bravo and GTCR are in FL. Others are following suit. Whole firms won't move but they will open an office, encourage moves and then focus new hiring in the better location...
Sujeet Indap@sindap
NEW: Apollo wants a 2nd HQ outside of NYC and will put it in a red state: ft.com/content/efeca6…
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@antoniogm The only thing that matters to me for restaurant service is whether I get free tap water that is refilled promptly.
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NYC is the only American city with restaurant service as skilled and professional as Europe.
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Guy I want to meet: NYC transplant who's a Mets fan *because* they’re owned by the founder of Point72 Asset Management
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@aleksizy @BoringBiz_ Long/short tech has enormous capacity as a strategy. They have done well in doing that and so have gathered assets. Where they have strayed from their core competency (systematic, privates/VC buying growth at any prices) it has gone poorly.
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This news article is absolutely insane and probably a good glimpse into what the future of hedge funds look like in an AI driven world
Coatue backed hedge fund, Epicenter, is using AI to replace massive teams of hedge fund analysts
Their AI bot, Eve, is plugged into every part of the firm, including emails and every trade that the fund puts on
Without any prompts, the AI bot is able to assign tasks to human analysts and write code on their behalf
Eve also contains a screening tool which scours through more than 13,000 company disclosures, listens to podcasts, and summarizes news reports on specific businesses
The AI bot can then generate primers and custom podcasts on behalf of the human analysts without requiring any instructions beforehand
If you read this and don’t think that AI is going to impact headcount in finance, you are absolutely mistaken
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@annanay There’s a world where you know the data you’ve generated must be useful for alpha but you don’t have the know how to convert it to alpha yourself. This is why all data vendors exist.
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'Selling alpha to hedge funds' is not a valid business model.
If your alpha is so good, why don't you monetize it yourself? Why are you selling it?
The only 2 valid exceptions I see are
(1) 'my execution isn't good enough', but this is applicable mostly to HFT strategies. If you have the infrastructure to train, validate and backtest on tick level data, why haven't you just decided to go ahead with order entry?
> 'I don't have enough capital' this one is potentially fair enough, but if you need a LOT of capital, chances are that your strat is low Sharpe and you have just overfit your 'alpha'.
This bizarre 'alpha as a SaaS' discordance is simply Silicon Valley techbros failing to understand the first thing about trading alpha: it decays, and it's zero-sum. There's no open source here.
Unlike in tech, quality assurance is not the only factor in deciding whether to build vs buy. Alpha is purely what your model sees that your competitors don't. Half of the reason for hiring a great quant is just to ensure that your competitors don't get him or her.
So tell me, how many of my competitors have these bots?
Agustin Lebron@AgustinLebron3
"We're going to generate tons of alpha with a new approach and..." Don't say it. Don't say it!!! "sell it to trading firms." They said it.🤦♂️ wsj.com/tech/ai/openai…
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@AgustinLebron3 I find it plausible they will generate useful data. They just have no idea how to convert it into alpha. That’s why data vendors exist!
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"We're going to generate tons of alpha with a new approach and..."
Don't say it. Don't say it!!!
"sell it to trading firms."
They said it.🤦♂️
wsj.com/tech/ai/openai…
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alpha neutral and beta neutral retweetledi
>sell side produces an index
>ask them if it’s predictive or overfit
>they don’t understand
> pull out illustrated diagram showing what is predictive and what is overfit
>they laugh, “it’s a good index sir”
>place a trade
>it’s overfit
Nic@nicrypto
This is Wild. Deutsche Bank has developed an index that helps to predict the next TACO by Trump. It has proven effective in previous big Trump pivots. The "Pressure index" combines one-month change in approval ratings, one-year inflation expectations and performance of the S&P 500 & t-bill yields. The higher it goes, the greater the chances of 🌮
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@WestsideLAGuy The difference between a 1450 SAT and 1600 is not that many questions.
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I firmly believe that women are getting preferential treatment in admissions. Without it, top colleges would be at least 60% male. This is deliberate policy & it has had seismic second order consequences, including dating, marriage, family formation.
Werner Zagrebbi🇦🇿@zagrebbi
The "greater male variability" hypothesis is pretty robust. At SAT 1400, female applicants to Columbia outnumber males. At 1600, males outnumber females nearly 2-to-1.
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