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Corey Hoffstein 🏴‍☠️ Profile picture
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15 Dec, 13 tweets, 7 min read
1/ A quick thread highlighting some of my favorite papers of the year, picking just one paper per month based upon when they were published!

(Warning: There will be a quant skew to this)
2/ JANUARY

@vol_christopher's The Allegory of the Hawk and the Serpent: How to Grow and Protect Wealth for 100 Years

artemiscm.docsend.com/view/taygkbn
2/ FEBRUARY

@verdadcap's Crisis Investing: How to Maximize Returns During Market Panics

static1.squarespace.com/static/5db0a1c…
3/ MARCH

Everything on Twitter.

Twitter was an astoundingly good resource for information and data during March.
4/ APRIL

@paradoxinvestor's Equity Styles and the Spanish Flu

papers.ssrn.com/sol3/papers.cf…
5/ MAY

@CliffordAsness's Is (Systematic) Value Investing Dead?

aqr.com/Insights/Persp…
6/ JUNE

@GestaltU's Risk Parity: Methods and Measures of Success

investresolve.com/risk-parity-me…
7/ JULY

Contagious Margin Calls: How COVID-19 Threatened Global Stock Market Liquidity

papers.ssrn.com/sol3/papers.cf…
8/ AUGUST

@longtailalpha's Monetization Matters: Active Tail Risk Management and The Great Virus Crisis

papers.ssrn.com/sol3/papers.cf…
9/ SEPTEMBER

@Jesse_Livermore's Upside-Down Markets: Profits, Inflation, and Equity Valuation in Fiscal Policy Regimes

osam.com/Commentary/ups…
10/ OCTOBER

Retail Financial Innovation and Stock Market Dynamics: The Case of Target Date Funds

nber.org/papers/w28028
11/ NOVEMBER

The Bond Problem

man.com/maninstitute/t…
12/ DECEMBER

Still reading...

So what great articles and papers did I miss?

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More from @choffstein

Corey Hoffstein 🏴‍☠️ Profile picture
13 Dec
1/ Some random thoughts on the reflexive impacts of commoditization of access in finance…

In other words, “what happens when we make something easy to invest in?"
2/ In 1991, Goldman Sachs launched the Goldman Sachs Commodity Index (GSCI). By the early 2000s, commodity futures were an popular, emerging asset class for many financial institutions.
3/ Institutional investors were ravenous for exposure, and grew their exposure in different commodity index-related instruments from just $15b in 2003 to $200b by mid-2008.
Read 14 tweets
Corey Hoffstein 🏴‍☠️ Profile picture
10 Dec
1/ As 2020 is coming to a close, I wanted to share some of my favorite graphs / pictures I collected throughout the year.
2/ March was one of the fastest sell-offs in history.
3/ The world came to a stop.
Read 26 tweets
Corey Hoffstein 🏴‍☠️ Profile picture
5 Nov
1/ Having lots of fun convos in the DM’s about positioning of systematic players (and how that positioning changes w.r.t. spot, realized volatility, and time).

I think an important equation to keep in mind is:

dL/dV = -T / V^2
2/ If we assume leverage (L) is simply equal to target volatility (T) divided by realized volatility (V) (i.e. L = T / V), then we find that the change in leverage w.r.t changes in volatility is equal to the equation above.
3/ What does this mean?

Since T is pretty much constant, it tells us that leverage changes (i.e. buying / selling pressure) will be due to changes in realized volatility (duh).
Read 9 tweets
Corey Hoffstein 🏴‍☠️ Profile picture
3 Nov
How are systematic strategies affecting equities today?

As far as I can tell, many are dead pressure at the moment.

e.g. Here’s a dashboard I whipped up of S&P 500 allocation sensitivity in one popular multi-asset momentum index.

(Definitions 👇) Image
(Yes, I am bastardizing the greeks here)

Gamma - Change in weight per 1% move in spot price

Vanna - Change in weight per 1% move in realized vol

Charm - Change in weight per 1 day change in historical data window
DlambdaDvol - Change in portfolio leverage required to maintain constant volatility target per 1% change in realized volatility
Read 5 tweets
Corey Hoffstein 🏴‍☠️ Profile picture
11 Sep
This is the most uncomfortable piece of research I’ve ever written.

I don’t believe everything in it with the same conviction.

But I think the evidence – circumstantial as it is – when taken together, paints a very interesting picture about the current market structure.
If you want to hear more intelligent people speak on some of these topics, I’d recommend:

@bennpeifert on OddLots (bloomberg.com/news/audio/202…)

@profplum99 on Grant Williams (podcasts.apple.com/us/podcast/the…)
@ArtemisVol has some really thought-provoking stuff on reflexivity and liquidity (artemiscm.com/welcome#resear…)

I would also highly recommend this paper by Vineer Bhansali (longtailalpha.com/wp-content/upl…)
Read 5 tweets
Corey Hoffstein 🏴‍☠️ Profile picture
17 Aug
1/ A quick thread on our new paper

Rebalance Timing Luck: The (Dumb) Luck of Smart Beta

Available at:
- epsilontheory.com/rebalance-timi…

- papers.ssrn.com/sol3/papers.cf…
2/ A general audio recap is available at:

podcasts.apple.com/us/podcast/cor…
3/ Okay, so what's the core problem we're trying to tackle here?

Lots of systematic equity strategies (such as "smart beta" ETFs) rebalance on a fixed schedule (e.g. every June and December).

Does the choice of "when" matter?
Read 14 tweets

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