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Corey Hoffstein 🏴‍☠️ Profile picture
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26 Dec, 4 tweets, 1 min read
Watching WW84 and somehow turning a jet invisible makes it invisible to radar?

And then it's also magically the 4th of July just so they can fly through fireworks?

This movie is really, really bad.
WHERE DID THIS GOLD ARMOR MAGICALLY COME FROM?!
WHY DID IT JUST JUMP FROM THE 4TH OF JULY TO CHRISTMAS FOR NO REASON?!
I'm gonna say it: this might be the absolute worst super hero movie I've ever seen.

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More from @choffstein

Corey Hoffstein 🏴‍☠️ Profile picture
27 Dec
1/ As I watch the basket of retail favorite equities and BTC make new highs into the end of the year, I can only hang my head.

Because my performance was absolute rubbish this year.

What went right? What went wrong? Read on. 👇
2/ I should start by saying that my core mandates have historically sought to participate with equity market growth and preserve capital in equity market declines.

They embedded three key tilts:

1. Trend
2. Value
3. Size

(You can probably see where this is going...)
3/ Value and Size have largely been "unintended" byproducts of our portfolio design.

Specifically, we applied trend-following signals within an equally-weighted portfolio of equity sectors (e.g. Tech, Financials, Health Care, Staples etc).
Read 24 tweets
Corey Hoffstein 🏴‍☠️ Profile picture
15 Dec
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…
Read 13 tweets
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

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