@txgermanbre Not taking CAT? what's next, not eating Schnitzel?
English
Dr. Moritz tl;dr Lehmensiek-Starke
1.1K posts
Dr. Moritz tl;dr Lehmensiek-Starke
@expectedrisk
Full-time risk mgmt consultant, part-time PM, no-time guitar playing golf pro.
Katılım Mart 2021
262 Takip Edilen154 Takipçiler
Marcel, in a moment of weakness, has fallen for the Viennese taxi scam. Many such cases. He is now beating himself up in German
English
@choffstein @macrocephalopod They use 3m t-bill for alternative trend and apex, for example. For merger arbitrage too, but charge no performance fee there, so that seems like a good compromise.
I side with you that there should be a premium for merger arbitrage due to the "implied" equity beta of the strat.
English
I'd argue that there is a difference between alpha and alternative risk premia, though.
Benchmarking true market neutral long/short to cash might be appropriate if the residual is truly alpha.
Benchmarking merger arbitrage to cash, on the other hand, ignores the embedded risk premium, in my opinion.
Where does gold fall? Trend? I dunno. There is a gray zone of hedge fund "beta" to contend with here.
English
so blackrock is making a strong push that the new 60/40 is actually 60% stocks / 20% bonds / 20% alternatives.
and how does blackrock want to benchmark it? 60% stocks / 20% bonds / 20% cash.
convenient way to generate "alpha" when your alts should do cash + 300bp over time.
English
@macrocephalopod @choffstein Don't think this was it but goes in similar direction.
x.com/i/status/16665…
Clifford Asness@CliffordAsness
True but we don’t. Most here explaining that tbills is the benchmark (you might hope for more and even expect it but anything over tbills is alpha) are right. But the bigger issue is judging anything at the bottom — and value spreads are still at the 90+ percentile. If/when they normalize do that calculation again. This “judge at the top PE bottom of a cycle” is exactly how people dump things at the exact wrong time (and vice versa).
English
@choffstein @expectedrisk That’s a correct argument if equity beta is the only (relevant) risk factor but I don’t believe for a second that Cliff would say that.
English
@choffstein @macrocephalopod That's my understanding, yes.
English
@expectedrisk @macrocephalopod Does Cliff get the final say on everything?
English
Finally got a decent aggregated portfolio performance tracker going... not as bad as I thought given the 3.5 year managed-futures drawdown I am still near the lows of...
Plus like a good Chamath investor, I have tons of carry-over losses!
English
@HML_Compounder @choffstein @macrocephalopod ... but then never report this benchmark and not using it as a hurdle for preformance fees. Though I don't think AQR it's a good example here. But many such cases and always embarrassing given real performance. Only aware of 1 exception (m&g episode macro)
English
@choffstein @macrocephalopod Would that potentially violate any rules about marketing a return target, etc...?
On that note, I've found it interesting how in UCTIS you can talk about return targets directly.
AQR will say that their Apex fund targets 6-8% return and 8-10% vol, etc...
English
@choffstein @macrocephalopod Didn't we have the discussion here and cliff argued that by virtue of capm if you are beta neutral then cash is the benchmark.
English
@macrocephalopod I'd benchmark it to, e.g., cash+300bp.
you don't benchmark equities to cash. you benchmark equities to equity beta, which includes the risk premium component.
same thought applies here.
English
@DeepDishEnjoyer Perfect, especially as you are entering Wachau now. To shoot the lights out, reach for Marille.
English
so ive been reaching to the gruner veltliner when eating because it's a regional specialty and it's a grape i like very much.
what wines should i be trying on this trip and where?
English
@DeepDishEnjoyer Guy who posted 12 variations of pork in the last 48 hours is "starving"? 😆
English
i assume it's because im starving and delirious but this is one of the most delicious meals i've ever had
peepeepoopoo@DeepDishEnjoyer
I thought my dinner tonight was going to be granola but UPDATE the austrian grandma living next door saw me eat a nonmeal and brought me this veritable feast I AM SAVED
English
@Avg__Enjoyer @DeepDishEnjoyer I see at least 2 alcohol free beers there...🤨
English
@Prospector____ @DeepDishEnjoyer That's coleslaw, no?
English
@DeepDishEnjoyer Nah, of course it's not your fault and no fault anyway, was just kidding. For warm Leberkäs' sweet seems the generally preferred choice and surely more interesting to tourists because it's a very regional thing. Not very mindful of your Leberkäs-lady.
English
@expectedrisk i just told the lady to add whatever mustard she recommends it's not my fault
English
eating something that i believe translates to "meatcheese". now this is living
English
@W98AB Think you're missing an r here Boomerreich? Otherwise: nice to see your German improving 💪
English
@__paleologo How would a superior, one-stage, process look like?
English
N.B.: sometimes *the same group* solves the problem in two stages, which is even more mind-boggling.
Not a great trade secret, after you think about it for 30s. You can quantify it in 30mins. And yet.
The (abrupt) end.
4/
English
I thought I'd mention a bad practice that I have seen... practiced more than a few times. It goes more or less like this.
First step: an algo team generates an "ideal" ("ansatz") portfolio w(t).
w(t) is the arg max of some function f of alphas and risk
1/
English
@jeuasommenulle Doesn't the private credit space suffer from adverse selection? Always seems to me like it's designed to do well until it's not doing well anymore.
English
Great piece in the FT this morning about private credit never going bankrupt with this chart
Restructuring/NPL booking practices are like banks' pre SSM so follow PIK % instead of defaulted loans.
English
@W98AB @YannickKae I use English and German prompts more or less randomly. Never really felt a difference. Perplexity sometimes sprinkles in English words in German answers.
English
@YannickKae Would be interesting to know particularly for things you believe are not well covered in english, so for you its easy to understand but for something that is first translating it to english then trying to understand it might make mistakes.
English
@txgermanbre Lufthansa seems to be increasingly shifting hub functions to Munich. Which is also a much nicer place to live than FFM.
English
Question, would it be wise to stay in Frankfurt if I need to be traveling all over Europe probably constantly for business? I’m thinking Frankfurt because it’s central and I can get to multiple countries and do business meetings in the deadset of Europe, no Netherlands. Sorry
English
@moreproteinbars @Merridew__ Lol. She surely meant bringing us europooors something from the US?!?
English
