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Interesting juncture for oil again... if it breaks the trend, it should head back to $50. 1/
Large speculator long positions are the 2nd largest in history....2/
Volatility is sanguine...3/
And Nat Gas seems to be leading the oil price.4/
And oil is the key drive of inflation expectations...5/
And therefore 10 year bond yields...6/
And also oil and gas stocks...7/
This is definitely worth watching to see what develops as it clearly partially drives the reflation thesis.
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More from @RaoulGMI see all

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Raoul Pal
@RaoulGMI
When Three Tribes Go To War, A Point Is All That You Can Score...( A thread)

There are three basic tribes on FinTwit - The Normal Distribution Tribe, the Long Tail Tribe and the Fat Tail Tribe.

1/
The Normal Distribution tribe tends to be populated by investment bank analysts, mutual fund managers, RIA's, Relative Value investors and a more than a few journalists.

They tend to do well over benign parts of the business cycle but they tend to be benchmark-huggers by nature
and thus see lower returns with low volatility. They are uncomfortable out of major consensus, prefer medium- term mean reversion and love to mock anyone who sees outside of the usual 1 standard deviation distribution of outcomes around the mean.
Read 20 tweets
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Raoul Pal
@RaoulGMI
Watching the sunset on 2020 and reflecting back on the last decade... wow, it's been a busy one!

Discovered Little Cayman, bought a stretch of beach and built a house

Did my 2nd car rally/humanitarian aid rally from Budapest to Bamako (Mali)

Went to 10 music festivals
Had 5 operations (non-serious stuff)

Joined Twitter(reluctantly)

Travelled. Lots

Launched Real Vision (barely slept since)

Moved to Grand Cayman

Got divorced :-(

Fell In love :-)

Launched Macro Insiders

Lost 3 dogs, gained 2

Turned 50

Lost my father

Got married
Let's see what the next decade brings. There will be lots of ups and lots of big downs, but such is life.

A little less stress would be nice....

All that is left is to thank you all and wish you an amazing 2020 and decade ahead - health, happiness, love, laughter & adventure.
Read 3 tweets
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Raoul Pal
@RaoulGMI
Macro Insiders is a joint venture between @realvision @JulianMI2 from the highly regarded @MI2Partners and The Global Macro Investor. It gives retail investors institutional quality research with depth and nuance. Sometime we don't agree.. and therein lies the value.
Julian is out with a Flash Update today, selling $/MEX for a trade (as a $ proxy). Im longer term and I still like the chart of the $DXY, which looks to be forming a wedge. I remain bullish. Often, when this happens, Julian nails the short term move within my longer term view...
To me, when I look into the trade deal, all I see is extra Chinese demand for dollars. They don't have enough already and their internal credit system is suffering and defaults are rising. The Chinese, if they are to meet the terms of the deal, need a LOT of dollars.
Read 6 tweets

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Tanmay Kurtkoti Quants Capital
@Quants_Capital
#Option #Greeks Simplified

#Options are definitely more complicated than equity or futures.

Their prices don’t just go up and down.

They also fluctuate based on things like #time, #implied #volatility and #underlying stock movements.
#Options #Greeks Are Simply Mathematical Shortforms

Most of you would remember from school that mathematical formulas sometimes were #Greek letters like Pi and #Delta. The same is true for options.

Don’t let them overwhelm you or scare you.
They’re simply #mathematical words to explain some very basic principles.

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Each #greek can help predict how it will behave under different circumstances and how options prices would change.
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Filomena Rocha
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Darren
@ReformedTrader
1/ Time Series Momentum (Moskowitz, Ooi, Pedersen)

"A diversified portfolio of time series momentum strategies across asset classes delivers abnormal returns with little exposure to standard asset pricing factors & performs best during extreme markets."

papers.ssrn.com/sol3/papers.cf…
2/ The authors use liquid futures and inverse volatility weight the positions due to large variations in the contracts' volatilities.

Passively rolling the most liquid contracts tends to generate positive returns. Net speculator long positions also tend to be positive.
3/ Return autocorrelation (trends) tend to exist whether returns are viewed using return/volatility or on the sign of excess return (positive or negative only).

Horizons longer than a year (years 2, 3, 4, and 5) tend to show long-term reversals.
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Reformation Day 🎃
@ReformedTrader
1/ Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference? (Goyal, Jegadeesh)

"The difference between the performances of TS and CS strategies is largely due to a time-varying net-long investment in risky assets."

papers.ssrn.com/sol3/papers.cf…
2/ The authors first replicate others' results with respect to the performance of time-series (TS) and cross-sectional (CS) momentum in individual stocks.

As expected, CS has reversals for formation periods of one month and 3-5 years. TS can be held for longer (no reversals).
3/ As expected. TS has alpha after controlling for CS but not vice versa. This effect is most pronounced for short (one month) and long (3 and 5 year) ranking periods, resulting in a U-shape if alpha is plotted vs. ranking period.
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Ayman Hossam Fadel
@aymanfadel
I sometimes feel @georgialibs don't get enough high quality, academic press #history & #sociology books. Using the GA Pines automated system, people who are members of participating libraries can get a number of very good books which have recently come to my attention.
"The oldest living things in the world" by Rachel Sussman gapines.org/eg/opac/record…. This photo essay book is a beautiful, mind-expanding paean to our biosphere. (I realize this is a #science #ecology book)
"Talking to my daughter about the economy, or, how capitalism works-- and how it fails" by Yanis Varoufakis @yanisvaroufakis gapines.org/eg/opac/record…
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Ajay
@R_Ajay_
#History/#Art thread – From my recent trip to Madurai/Tirunelveli. On Jain sites (some with a rich history dating back to at least the 3rd cent. BCE), early Pandyan rock-cut cave temples (7th-8th cent. CE) & the amazing Vettuvan koil.

Pic: Mahavira (~8 cent CE), Kizhakuyilkudi
Before I start on the places, the history around all this is fascinating & splits opinion. Is it apt to call the script Tamili/Tamil Brahmi? Did it develop independently in the Tamil country/come with the Jain monks from the north? Were 8,000 Jains actually impaled in Madurai?>
>Were the Saivites overaggressive in promoting their faith? Shall only be happy to discuss on these separately (unless it gets too long/irrational). And I’m not posting every inscription from the places here, despite their importance. Again, shall be happy to discuss them.
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