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Darren 🥚🐣🕊️ Profile picture
@ReformedTrader
Oct 14, 2020 • 36 tweets • 12 min read • Read on X
1/ THREAD: Magazine cover predictions, shoeshine boy tips, and other questionable calls

"On Aug 13, 1979, the front cover of Business Week featured a crumpled share certificate in the shape of a crashed paper dart: ‘The Death of Equities.‘ "

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2/ Business Week's dot-com bubble prediction:

3/ "Each bull market has its rationale. In 1987, it was that since Japanese stocks were more absurd at 60x earnings, U.S. stocks were held to be safe.

"A bull market is a bit like falling in love: it has never happened to anyone before."

4/ 1967: "The Go-Go era reached an epitome with Fred Carr. Carr invested in tiny growth companies and letter stock (unregistered shares, often of highly dubious companies, marked to absurd valuations). He was lionized in the press as “cool and decisive.”

5/ Back to Business Week's 1979 prediction ('The Death of Equities'):


In 1983, Business Week flips its stance:
6/ "The American media had been wrong on the war from the beginning. Fed by the U.S. War Department, the New York Times in the first weeks after Pearl Harbor was exaggerating small successes of the allies and under-reporting damage to the Pacific fleet."

7/ "Predictions from the Iowa Electronic Markets, in which speculators bet on election outcomes, have been much better than those of political pundits and polls. Three-quarters of the time, the IEM was more accurate than results of pre-election polls."

8/ Academic research also often seems to be oversimplified and misunderstood when summarized by the media. One example:

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11/ "When the world becomes your local neighborhood [via increasingly worldwide media coverage], a 50% decline in the violent crime rate over the last two decades still means there are tens/hundreds of thousands more opportunities each day to freak out."

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12/ Flashy stuff wins more attention but lower returns:

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14/
...
“Why do I believe [whatever]?”

For fiat thought, the answer is always some permutation of “because someone told me so.” Maybe that’s a politician. Maybe it’s a business leader. Maybe it’s a public intellectual or “thought leader.”
...
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18/ "Contrary to his media image as an investment guru, he has massively underperformed the index over the past 20 years. This hasn't prevented raising tens of billions of dollars: he is always in the papers visiting and opining on emerging market."

19/ "When the media identifies an event or action as the primary cause of another event, what is the probability of that assessment being correct?"

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20/ "Media coverage relates positively to perceptions about the economy. Partisan bias produces a 7-9% difference in survey respondents viewing the economy as getting better."

21/ "If you were wondering why scientific studies contradict each other all the time, this is why."



22/ "We jump from bullet point #1 to a currently popular proposed solution without considering all the healthy debate that needs to happen in between.

"Social and news media degenerate to name-calling. Result: less cooperation and understanding."

23/ "Negative news gains eyeballs (and sells ads).

"Highlighting positives can sap profits. So if you think, “All I hear or read is bad news!” that’s probably true! But it’s not necessarily because all is bad in the world. It’s media firms making money."

24/ "Most of the world (including the media) just looks at raw returns without adjusting for risk (and then get excited about stock A, B, or C). Sometimes they even look at arithmetic returns one year at at time without considering compounding. It's sad."

25/ "The media actively shape public attention and categories of thought, and they create an environment within which the speculative market events we see are played out." -Robert Shiller

26/ On the Beanie Baby bubble:
27/ "The examples presented to us by mass media and social media typically are of the more extreme and questionable variety. That's what tends to get people's attention and makes the world look extremely polarized - and possibly polarizING."

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30/ "Ignore the forecasts of Wall Street strategists. There are three types of forecasters: those that don’t know where the market is going, those that don’t know they don’t know, and those that know they don’t know but get paid a lot to pretend they do."

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More from @ReformedTrader

Darren 🥚🐣🕊️ Profile picture
Jan 1
1/ Fact, Fiction, and Factor Investing (Aghassi, Asness, Fattouche, Moskowitz)

"We reference an extensive academic literature and perform simple but powerful analyses to address claims about factor investing."

aqr.com/Insights/Resea…
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2/ #1. Fiction: Factors are Data-Mined with No Good Economic Story

"Value, momentum, carry, and defensive/quality pass the more stringent statistical tests.

"Many of the factor tests conducted in papers are on variations of a few central themes."


…

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3/ "Value, momentum & defensive/quality applied to US individual stocks has a t-stat of 10.8. Data mining would take nearly a trillion random trials to find this.

"Applying those factors (+carry) across markets and asset classes gets a t-stat of >14."


…


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Read 14 tweets
Darren 🥚🐣🕊️ Profile picture
Dec 31, 2023
1/ Happily Ever After? Cohabitation, Marriage, Divorce, and Happiness in Germany (Zimmermann, Easterlin)

"The formation of unions (separation or divorce) has a positive (negative) effect on life satisfaction. We also see a 'honeymoon period' effect."

researchgate.net/publication/49…
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2/ "The model's four terms describe different life stages for an individual who marries during the sample period. The intercept reflects the average life satisfaction of individuals in the baseline period [all noncohabiting years that are at least one year before marriage]."


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3/ " 'How satisfied are you with your life, all things considered?' Responses are ranked on a scale from 0 (completely dissatisfied) to 10 (completely satisfied).

"We center life satisfaction scores around the annual mean of each population subsample in the original population."
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Read 29 tweets
Darren 🥚🐣🕊️ Profile picture
Aug 13, 2023
1/ Short-sightedness, rates moves and a potential boost for value (Hanauer, Baltussen, Blitz, Schneider)
…
* Value spread remains wide
* Relationship between value and rates is not structural
* Extrapolative growth forecasts drive the value premium
…
robeco.com/en-int/insight…
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2/ "The valuation gap between cheap and expensive stocks remains extremely wide. This signals the potential for attractive returns going forward."


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3/ "We observe a robust negative relationship between value returns and changes in the value spread.

"The intercept of ≈10% can be interpreted as a cleaner estimate of the value premium, given that it is purged of the time-varying effects of multiple expansions & compressions." Image
Read 7 tweets
Darren 🥚🐣🕊️ Profile picture
Aug 5, 2023
1/ Advanced Futures Trading Strategies (Robert Carver)

This really interesting book tests some strategies that I haven't seen in the academic literature.

Read Part 1 to see how the author builds portfolios; the new stuff is explored in Parts 2-5.

https://t.co/p1QdFCE9F1amazon.com/Advanced-Futur…



Trend and carry in various volatility regimes
Trend using spot prices
Carry with seasonality corrections
Value (5-year mean reversion) in futures markets
2/ Part 1: Basic directional strategies
Part 2: Adjusted trend, trend and carry in different risk regimes, spot trend, seasonally-adjusted carry, normalized trend, asset class trend
Part 3: Breakouts, value, acceleration, skew
Part 4: Fast mean reversion
Part 5: Relative value


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Skew
Fast mean reversion (approximately two-day holding period)
Fast mean reversion conditioned on trend
3/ Related reading

Time-Series Momentum


Two Centuries of Trend Following
https://t.co/R6JQb6Cg96

Carry
https://t.co/poFk6OWQsO

Value and Momentum Everywhere
https://t.co/l0wVgAOrhL

Leveraged Trading
https://t.co/1bKFEaD5cu



Read 4 tweets
Darren 🥚🐣🕊️ Profile picture
Apr 2, 2023
1/ Natural course of health & well-being in non-hospitalised children & young people after testing for SARS-CoV-2

"Some test-positives & test-negatives reported adverse symptoms for the first time at 6- & 12-months post-test, suggesting multiple causes."

thelancet.com/journals/lanep…
2/ "The broadly similar pattern of adverse health and well-being reported as new-onset at 6- and 12 months among test-positives and test-negatives highlights the non-specific nature of these symptoms and suggests that multiple aetiologies may be responsible."
3/ Related reading:

Efficacy of Vaccination on Symptoms of Patients With Long COVID


Immunoglobulin signature predicts risk of post-acute COVID-19 syndrome
Read 4 tweets
Darren 🥚🐣🕊️ Profile picture
Mar 29, 2023
1/ My conversation with ChatGPT:

What is the best way to manage an absolute return portfolio?

"As an AI language model, I do not have personal opinions, but here are some general guidelines for managing an absolute return portfolio."

chat-gpt.org/chat Image
2/ Do you hedge out market beta in order to make the portfolio more risk balanced?

"Yes, hedging out market beta can help.... This can be achieved through various methods such as shorting market index futures or investing in negatively correlated assets." Image
3/ What are some examples of negatively correlated assets that offer positive CAPM alphas?

"Some examples of negatively correlated assets that have historically offered positive CAPM alphas include gold and equities, government bonds and equities, and REITs and equities." Image
Read 10 tweets

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