Nick Motson

@choffstein Open access version available here openaccess.city.ac.uk/id/eprint/13733

@choffstein Great article & love the simulations! We wrote a paper on this a few years ago, some reviewers didn’t like the argument that the magic rebalancing fairy producing extra returns didn’t exist and it was just extra diversification. Eventually published here doi.org/10.1002/ijfe.1…

The "Rebalance Drag" Myth in Leveraged ETFs There's a misconception that levered ETFs don't work because of daily rebalancing. In this article, we debunk that myth and explain what the real source of drag can be.

@GestaltU @after_tax_cagr I finally found a bit of time to start updating this study, looks like market cap now beats 10% of monkeys (will add the other indices over the coming weeks)

@GestaltU @after_tax_cagr It on the “to do” list but then it has been there for about 5 years…. My suspicion is the results would look quite different, the recent massive outperformance by large cap growth would be to the detriment of monkeys and benefit of market cap.

Between Jan 1969 and Dec 2014 over 9,990 of 10,000 randomly assembled portfolios, selected from the largest 500 US stocks and rebalanced annually, would have outperformed a cap weighted index of same. If you were made aware of this in 2014 how would you have invested?

@glennhancock @CityUniLondon @BrilliantClub My pleasure Glenn!

Fantastic day at @CityUniLondon with @BrilliantClub. Thoroughly enjoyed the graduation visit to a new grad venue. Capped off with an exceptional keynote speech from @nickmotson. Thanks to everyone at City, The Brilliant Club & Nick for an extremely memorable day for my students!

@after_tax_cagr @GestaltU The result is mainly due to the volatility in the outperformance, slightly higher Sharpe over very long sample period but in the shorter term…

@GestaltU What do you make of the finding that most portfolios didn't have statistically significant differences in Sharpe? Surprised me.

@kev_inverse @GestaltU Active managers are more expensive than monkeys. Fees plus t-costs are a lot of bananas……

@GestaltU Great insights. In the paper they do show that any alternative weighting scheme also resulted in higher return, not only higher sharpe. I think you are right though, the average active manager is way overconfident and runs an even more concentrated portfolio than cap-weight.

@GestaltU It’s always the monkeys and never the scrabble index 🙄 nice to see this still going 10 years later 👍🏻

Link to deck with explanation of methodology: dropbox.com/scl/fi/kaodw37… Original study: openaccess.city.ac.uk/id/eprint/1684…

@BayesBSchool @MountainPath3 Next time more sunblock, I’m slightly pink 😬

@nickmotson @MountainPath3 Wow great photo! 👏

Just spent an amazing few days in the alps with our @BayesBSchool MBA students and @MountainPath3, a very different classroom!

@dindjic Their trend followers paper along with Mitchell & Puvino’s risk arb paper are still on my hedge fund module reading list. None of my students were surprised by how well managed futures did in 2022 😉

Fung and Hsieh (1997) #hedgefunds #classic. A quarter a century ago. #CTA #DEJAVU

@investingidiocy @investingidiocy surely this calculation is incorrect? The denominator for the 4% is the amount of ETH staked as validators (approx 10% of supply I think). So even if you say the network size is the amount of ETH circulating (not sure that is correct) it’s more like 0.4%.

So Ethereum is moving to proof of stake whereby you get paid a yield to validate transactions. And the yield is somewhere north of 4%. So it costs 4% a year to run the network. This is many, many orders of magnitude higher than the cost of running the 'fiat' banking system :-)

@neilmosley5 3 things worked well 1. Start session 10 mins early with a holding slide playing “interesting” music (students started logging on early) 2. Log in as a student on a tablet so you’re sure of what the students are seeing (theres often a lag) 3. Lots of polls (some not so serious)

What was the most effective strategy you used and/or the most important lesson you learnt whilst teaching via video conferencing (e.g. Zoom et al) over the past 2 years? #onlinelearning #HigherEducation #AcademicChatter #teacher

@oxquant @dindjic The HP12 emulator on my iPhone probably runs even faster than the platinum edition 👍🏻

@nickmotson @dindjic howibookedit.com/hp-12c-vs-hp-1…

S Programming. My business partner and I have been around for a very long time @oxquant

@jim_dickinson Unless of course you are welcoming them to @CityUniLondon 😬

Look all im saying is that when you say "welcome to *city*" rather than "welcome to *name of provider*" you reinforce the idea that you're talking to those studying away from home and ignoring commuters.

@PatrickEBoyle Not tried it but keep getting ads for this riverside.fm

@RiskyAcademics @cassbusiness @c_wiertz @richgpayne Marley just wants to know when she can go for a walk.......

@cassbusiness @c_wiertz Meet #ispini he has his own insta (@ispini2004) unlike @richgpayne or @nickmotson this lad doesn’t bite 🤣 A redeeming characteristic in any colleague nevermind a #bestpetcolleague contender

👋 Twitter: Let me introduce you to one of my office mates 🐶: Maddie. She is responsible for the persistent snoring sound when you are skyping/zooming/teaming with me....💤 Who‘s sharing your office?

@Capt_Dude @laainthedesert @Tomkonig @LDNairamb #neverwenthungry

I recognise that @laainthedesert legend @Tomkonig @LDNairamb