Corey Hoffstein 🏴‍☠️

41.3K posts

Corey Hoffstein 🏴‍☠️

@choffstein

CEO & CIO, Newfound Research | 🥞 Return Stacked® ETFs | 🌊 Liquidity Cascades | 📆 Rebalance Timing Luck | ⚡️ Risk cannot be destroyed, only transformed.

🎙 www.flirtingwithmodels.com Katılım Ekim 2009

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Corey Hoffstein 🏴‍☠️@choffstein·28 Ağu

My company, Newfound Research, turned 15 today. Coming up on this anniversary, I reflected quite a bit on my career. I’m not sure why, but this milestone feels larger than I would've expected. So I decided to write something. 15 Ideas, Frameworks, and Lessons from 15 Years

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Corey Hoffstein 🏴‍☠️@choffstein·11h

@GestaltU @ReformedTrader ☝️

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Adam Butler@GestaltU·11h

@ReformedTrader @choffstein I think you would bring a lot to the conversation, and you shouldn’t be shy about contributing your thoughts.

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Corey Hoffstein 🏴‍☠️@choffstein·15h

Was literally just having a discussion on trend signal overlap with a peer today. Including signals with information redundancy can reduce path dependency, lowering the dispersion of terminal wealth even if it makes no difference "in expectation".

Darren 🥚🐣🕊️@ReformedTrader

"Removing the 125-day layer improves Sharpe ratios and drawdown efficiency while maintaining benchmark correlation. "This result challenges the common belief that more horizons always improve diversification." NOTE: This is a short sample (2015-25). semanticscholar.org/paper/Revisiti…

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Corey Hoffstein 🏴‍☠️@choffstein·13h

@GestaltU @ReformedTrader I'm starting to think it's "it's [XYZ] all the way down" all the way down.

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Adam Butler@GestaltU·13h

Ok but … is there any reason to believe the results aren’t just noise? Also, notwithstanding an optimization layer, a combination of trend signals constitutes a single impulse response weight on historical returns. We can discuss optimal functions and even discover the optimal impulse using projection pursuit, but it doesn’t mean the optimum generalizes. It’s hyperparamters all the way down. Like everything else.

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Corey Hoffstein 🏴‍☠️@choffstein·15h

@mrzepczynski x.com/i/status/20554…

Corey Hoffstein 🏴‍☠️@choffstein

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Mark Rzepczynski@mrzepczynski·19h

Important finding if you think that diversification across time will improve performance.

Darren 🥚🐣🕊️@ReformedTrader

Revisiting the Structure of Trend Premia: When Diversification Hides Redundancy (Etienne et al.) "The medium-term trend-following signal band contributes little incremental performance or diversification once short- and long-term components are included."

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Corey Hoffstein 🏴‍☠️@choffstein·17h

@trash_pm what do i look like, a investigative journalist?

GIF

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Cry-Baby Capital@trash_pm·17h

@choffstein Corey I want to know how kalshi & co hedge their positions

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Corey Hoffstein 🏴‍☠️@choffstein·19h

I dropped an absolute banger of an episode on Monday and y'all are sleeping on it. We're talking token launches, market making deals in crypto, inventory risk management, spoofing, adverse selection, defi, arbitrage, and plenty of other buzz words. flirtingwithmodels.com/episodes/BC4DC…

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Corey Hoffstein 🏴‍☠️@choffstein·22h

@pinkhasov @bennpeifert Consider that, perhaps, we don't all see the same things on our timelines. I've had nothing but pleasant interactions with Benn for the last 5+ years. Sounds like that wasn't the same for other folks.

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Corey Hoffstein 🏴‍☠️@choffstein·1d

I don't understand the grave dancing on QVR's downfall. It's tough to build any business and sad to watch a few bad months sink 5+ years of hard work. I hope everyone there lands on their feet. I really don't get the pile-on against @bennpeifert personally. He's contributed tons of education to the discourse on options/volatility on this hellsite. You can dislike his politics/personal choices without cheering his downfall.

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Corey Hoffstein 🏴‍☠️@choffstein·1d

@RealHerbHoover @SowingAlphaSeed @bennpeifert Never had a bad interaction with the guy personally. And he spent untold hours with me in 2020 helping me calibrate a vol surface model with zero expectation of anything in return.

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HH@RealHerbHoover·1d

@choffstein @SowingAlphaSeed @bennpeifert He is a complete piece of shit dude

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Corey Hoffstein 🏴‍☠️@choffstein·1d

@MichaelENewton1 @bennpeifert Here's the last factsheet I received on the Multi Strat.

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Corey Hoffstein 🏴‍☠️@choffstein·1d

@MichaelENewton1 @bennpeifert Looks like Absolute Return closed in Oct '24. The Multi Strategy (and, specifically, Benn's "Centerbook") were the ones that suffered the -30% drawdown, as I understand it.

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Corey Hoffstein 🏴‍☠️@choffstein·1d

@SowingAlphaSeed @bennpeifert Yeah, people keep saying he was extremely aggressive in his political views lately. I didn't see that on my timeline at all. (Not saying it didn't happen... just never showed up for me.)

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Farmer@SowingAlphaSeed·1d

@choffstein @bennpeifert I'm not grave dancing. But I did see him call a Jewish guy (that I respect) a Nazi. So for some it's a little past just regular politics and wouldn't be too shocking. Haven't seen much on my timeline though.

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Corey Hoffstein 🏴‍☠️@choffstein·1d

@MichaelENewton1 @bennpeifert Some factsheet snapshots for their Convexity Alpha and Absolute Return strategies.

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Michael E. Newton@MichaelENewton1·1d

@choffstein @bennpeifert Is there a publicly available track record for his fund(s)? Did he post good results before this collapse?

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Corey Hoffstein 🏴‍☠️@choffstein·1d

@allaboutvol @EvgenyGaevoy @EvgenyGaevoy certainly has a standing invite

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vol@allaboutvol·1d

@choffstein @EvgenyGaevoy I mean, from my understanding they've ramped up considerably their presence in hip-3, certainly have a lot of views on it / other aspects? but I could be wrong; would really enjoy the ep for sure :))

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Corey Hoffstein 🏴‍☠️@choffstein·1d

Look, its cool that Hyperliquid has tons of volume in these markets, but, uh... That's 11 billion of dollar volume on tradfi markets.

zkTuring.hl@zkTuring

btw @tradexyz CBRS has tighter spreads than NASDAQ and is leading in price discovery. The change is happening right in front of our eyes. Hyperliquid

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Corey Hoffstein 🏴‍☠️@choffstein·1d

@allaboutvol Frankly, beyond my pay grade. Would need to talk to market makers about their costs on trading on each venue, which include the obvious transaction costs, but also toxicity of flow, cost of capital considerations, etc.

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vol@allaboutvol·1d

@choffstein would you expect spreads to be tighter or wider if hyperliquid had 11bi in volume? (legitimately asking, thanks!)

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Corey Hoffstein 🏴‍☠️@choffstein·1d

@svrnco @SowingAlphaSeed tfw you realize running an asset manager is a lot more business operations and a lot less investment management than you hoped it would be

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Samuel Lee@svrnco·1d

@SowingAlphaSeed What you're doing right now is what I would be doing if I had the free time. Just programmatically find market neutral long-short pairs with strong autocorrelation and trend follow them. Right now I'm doing lots of business/operations :(

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Farmer@SowingAlphaSeed·1d

Wow. This is just long $VT, short another ETF. Borrow fee is double digits, but seems worth it...

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Corey Hoffstein 🏴‍☠️@choffstein·1d

@LyleHender56329 @HML_Compounder A parade of highly confident people who were primed to believe an image was something it was not, shaping their replies. Broad implications for how information is framed shapes replies and feelings. Not an unknown phenomenon, but quite stark here.

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Lyle Henderson@LyleHender56329·1d

@HML_Compounder @choffstein Not really. Unless you needed a “study” to tell you most people haven’t considered what makes a Monet valuable. This is just a parade of people who haven’t really considered what they’re talking about. Including the OP and everyone who quotes it.

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Corey Hoffstein 🏴‍☠️@choffstein·2d

My favorite Twitter post is the day.

Jediwolf@Jediwolf

What happens when you post a real Monet and say it’s AI? The coolest art social experiment I’ve seen in a while. Thank you @SHL0MS

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Corey Hoffstein 🏴‍☠️@choffstein·2d

@EricBalchunas @Todd_Sohn I'm sorry... Is that 1.7 billion in a day? I'll be in the corner contemplating some of my life choices.

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Eric Balchunas@EricBalchunas·2d

Are you sitting down? Ok good. $DRAM and $ARKK took in the most cash of any ETFs yesterday.. And a 2x Sandisk ETF nabbed the 10th spot. Do with this information what you will.. @Todd_Sohn is at Costco rn loading up on canned goods and batteries.

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Keşfet

@GestaltU @ReformedTrader @mrzepczynski @trash_pm @pinkhasov @bennpeifert @RealHerbHoover @SowingAlphaSeed