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"Maximize return only if losses would not threaten your survival and only if you have a compelling future need for the extra gains.

"The riskiest moment is when you’re right: you’re in the most trouble because you tend to overstay the good decisions."

acquirersmultiple.com/2020/05/peter-…
"Diversification is an explicit recognition of ignorance, not only a survival strategy but an aggressive strategy, because the next windfall might come from a surprising place. I want to be sure I’m exposed.

"f you’re comfortable with everything you own, you’re not diversified."
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Darren
@ReformedTrader
1/ Strategic and Tactical Roles of Enhanced-Commodity Indices (Rallis, Miffre, Fuertes)

* Enhanced long-only commodity indices based on contract maturity, momentum, and carry
* Longer-maturity contracts have higher returns with less volatility

papers.ssrn.com/sol3/papers.cf… Image
2/ Enhanced-maturity indices roll into specific contracts in the term structure to provide average maturities of 3, 6, 9, or 12 months.

Each commodity's weight in the enhanced index is identical to its weight in the (long-only) traditional index. ImageImageImage
3/ As contract maturities increase, returns increase and volatilities decrease. Skewness and kurtosis get worse.

The authors don't control for carry, which could conceivably be responsible.

Negative commodity skewness is from the 2008 crash (skewness is positive otherwise). ImageImage
Read 7 tweets
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Darren
@ReformedTrader
On hedges over the past 6 months:

VXZ = good (long volatility + trend and carry)

TLT = good (trend, carry, recent negative correlation to stocks)

Leveraged ETFs = meh if done in small size

Bottom feeding leveraged ETFs = bad

(Beating a dead horse, I know...)
Read 4 tweets
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Darren
@ReformedTrader
...
* Why Chris Arnade left Wall Street to document ‘back row America’
* How Wall Street has changed over the years
* Importance of McDonald's to American communities
* Lessons he’s learned from traveling around America’s lower-income communities.
...
infiniteloops.libsyn.com/chris-arnade-s…
I can anecdotally confirm (I have friends who are MAGA people):
* For the most part, they agree with some criticisms of the current president, especially his behavior on Twitter
* _but_ they are tired of being lied to and manipulated by more diplomatic politicians
* They are also tired of being categorized as either lower-class or ignorant, both by politicians and the media
* Though some are flat-earthers, the more educated ones aren't "science deniers" as much as they are "null-hypothesis advocates" (think Levitt and Dubner, Freakonomics)
Read 9 tweets

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