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@FixedIncQuant @achenfinance Need WRDS credentials, so academic/affiliates only.

@achenfinance How does this work ? Can ppl without access to CRSP, Compustat etc use this ?

💥Introducing openassetpricing!💥 a Python package for easy-breezy access to the Open Source Asset Pricing dataset. Just `pip install openassetpricing` and openap = oap.OpenAP() df = openap.dl_port('quintiles_vw', 'pandas', ['BM', 'Mom12m']) and you've got B/M and momentum.

@sdav1986 @FixedIncQuant @bennpeifert Are you systematic? Do you have capacity to switch off for an hour periodically throughout the day, assuming markets well behaved? Curious how you have a personal life at all.

@FixedIncQuant @bennpeifert Mostly private stuff going on and kospi close, then research projects in the morning or some fuck up to fix from the session before, then the trading day starts till 10pm… I mean it pays a lot so I am not complaining but still over time very consuming and tired of it

Morning routine 4:30am: Wake up naturally 4:31: Reply to 4am Dad text with pic of him at the fire pit 4:32: Text Honey cute Pokémon art 4:33: Check futures, mutter "its a beautiful day for a flash crash" 4:44: Check Joe's tweets for bangers 4:45: Coffee 5:00: Check risk

@__paleologo Suppose the rebalance execution is done more intelligently. What do you think is a reasonable improvement beyond 8bps?

To transact >$250B/qtr, over *any* interval, in relatively few names, and spend 8bps in market impact seems a pretty good result, even for our poorly design rebalancing mechanisms. 4/

"The Unintended Consequences of Rebalancing" by Harvey, Mazzoleni, and Melone. This paper has even a press release. A couple of notes. (HT: Joe M. Link at the end) 1/

@Brandon7921588 @blondesnmoney You probably just picked one with an inefficient low power processor. All the intel laptop chips prior to the current generation are awful.

@blondesnmoney got one of those laptops, f'er can't make half the day on a charge...3 months old...crap is crap

Remember how 5 years ago we all thought China produced cheap plastic slop and trinkets? Now they produce cars with insane battery and high build quality, super slim laptops at half the price, and AI, knockoff or not, that is 10x cheaper than the US. No one hates commies more than I do, but consider for a second that China tech starts innovating and competing with American tech. Even if they don't branch out into Europe, at the very least they can displace the names like Tesla and Apple who do a lot of China business.

@blondesnmoney Top of line Chinese phones (Huawei) have a higher MSRP than Apple phones in China now.

@tamilna73049047 @FixedIncQuant I suspect the PIMCO confidentiality agreement has a lot of bite to it.

@FixedIncQuant U deleted everything

I used to joke the asset management industry should have GICS code of 502020 en.wikipedia.org/wiki/Global_In… Of course my former employer was an exception :). I have a fun tale about sharing information by opening one's mouth. It had to do with senior most index tranches. (1/)

@FixedIncQuant @samehueasyou @dampedspring I hear that many systematic credit shops use similar structural models for security level trading signals. Would you happen to know of any references on such?

@samehueasyou @dampedspring A related post from me. Monthly frequency data from Fed on credit through cap structure lens. Merton is a metaphor. Practically GZ like model is more usable.

Credit is just as strong as equities. No weaker. No stronger. Move along or read up on Merton if you have time.

@taobanker Fellow stats major checking in. Useful degree. You complain an awful lot. Ever consider that you might be failing the personality part of interviews?

fucking gen z gets these softball degrees while I have to baghold this worthless statistics degree

@SuspiciousBird5 @JessicaNutt96 Millennium numbers look like net returns also (at least the far right annual column)? Not sure if Verition is net return.

@JessicaNutt96 Millennium

with all the podshop discourse of late thought it would be nice to remind people what the performance looks like

@JessicaNutt96 Do you know how performance has been as AUM's grown? I recall they were ~$4B back in 2020.

@josephsbool Pure math major is for weirdos who don't want to deal with the real world. Pick a degree like applied math/stats/physics/CS/EE and learn the relevant pure math along the way.

what’s the argument for getting a math degree again? Is there any?

@yieldcurved @josephsbool Half of MIT majors in CS and applies for jobs elsewhere. Why not pick something more applicable like CS/stats? What use are the abstract algebra, topology, and analysis courses?

@SecScottBessent 🤡

Thanks to President Trump’s Fair and Reciprocal Trade Plan, the American worker will be valued and rewarded.   This is what America First looks like.

@realEstateTrent Bro, save yourself the operational hassle and just get into tflo or usfr

I love buying 30 day T-Bills and renewing each month. 4.3% rate, zero risk, your money’s not locked up, and you don’t pay state or local income taxes!

@DevaronPerry Definitely a good addition, but I think his shot creation abilities are neither his strength nor key contribution to the team. More of a slower mikal bridges with a better jumper.

De'Andre Hunter was the PERFECT addition to this team. His ability to create for himself is something this Cavs team was missing from the Wings group. He is now 17/30 (56.7%) from 3PT range since joining the Cavs.

@srmaass @bennpeifert The second one on 37th is more likely to have capacity. Nice spot, pricier drinks.

@bennpeifert Flatiron Room

Shill me a Midtown bar

@YannickKae Having some difficulty finding it - do you have a resource?

@YannickKae Available publicly?

@bennpeifert What goes in the numerator if VaR is in the denominator? Is it VaR of the portfolio subset? If so, is that quantity still meaningful as VaR is not sub-addititive?

A sensibly calculated VaR gives a derivatives manager the ability to show how much risk they are taking over time and how that risk is allocated among strategies or geographies or product types. It's an economically meaningful denominator.

The people wanted to talk about risk management in derivatives, as per the poll. As the quoted tweet implies, this is a little more involved than Greeks.

@DevaronPerry Good length, will compete, get beat off the dribble every so often due to aggressiveness (I think he should be more patient with his limited athleticism, like early career Klay).

Can't wait to see De'Andre Hunter next to Evan Mobley and Jarrett Allen