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11 Feb, 4 tweets, 2 min read
Inspired by @EricBalchunas: which one of these four US-listed ETPs produced the worst investor return of all time, in dollar terms?
The answer is "n/a", my original query was wrong, but of the four options shown it's AMLP with a -$9.2 billion loss. VXX is only -$8.8bn, then DBC is a mere -$3.7bn and GDX outside top 25 with -$2.1bn. Also, XIV is +$2bn over its lifetime, which is in the top 5% of all ETPs!
Note this is technically 20-year investor total returns, not inception to date, but for basically every ETF except SPY and QQQ that's the same thing. Code to generate:
Mirror, mirror, on the wall- who is the baggiest of them all?

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Quantian Profile picture
17 Jan
Since she’s now officially the Main Character on here today, I’m amazed at how perfect an avatar this lady is for Econ Brain. Between her Narcan paper and her Ban the Box (can’t screen out nonviolent criminals before job interview itself), it’s a very clear pattern.
Step 1: Someone complains about [current societal outcome] and proposes [intervention] to fix it. You like CSO (or dislike funding I), but since CSO is seen as bad by normal people, you can’t directly argue It’s Good, Actually, since you work somewhere more respectable than GMU.
Step 2: Say “Look, we ALL agree CSO is bad, we just disagree on how to best address the problem! Let’s study it and find out.” Now, take a $5mm grant from the Definitely Not Causing CSO At All Charitable Trust to study it in depth [ed: This is where you underpay your RAs]
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26 Nov 20
Cooking eight ounces of A5 wagyu for myself
Came out perfect though... sous vide for 45 mins at 135 F, daub dry and stick in the fridge for 10 mins, then sear for 45 sec in a skillet
Two normal bottles, and one adorable tiny 150mL one, per person
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21 Nov 20
We’ve moved to winecon 1- one step below global thermonuclear war. Not pictured: magnum of ‘07 Beaucastel CNDP. Image
Is six bottles enough for three people? I hope so!
One down, four to go! ImageImage
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Quantian Profile picture
20 Nov 20
It's been a while since I've done one of these, but on paper many of you are following me (why?) because of quant finance tweets, so let me do a rambling stream-of-consciousness apologia for the most hated "model" in finance, the Black-Scholes model.
Specifically, the idea of IV. Like "imaginary numbers", it's an unfortunate misnomer, because it makes people think there must be *some* link between IV and historical vol. This is not the case. A better term might be something like "σ-price" vs. "$-price": it's a price.
Option prices trend in predictable ways: a near-term option will always be cheaper than a long-term one, simply because the long-term one includes the near term one. Similarly, ITM options are always more expensive than OTM options, because they contain the OTM option as well.
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Quantian Profile picture
8 Nov 20
1. Quick THREAD on using the Kelly fraction to optimally size positions in your portfolio, just like Ed Thorpe did in the 1970's (1/N):
Don't do it, you colossal idiot. It's not the 1970's, and you're not Ed Thorpe. (N/N)
Since this joke got popular, the actual explanation: The style of trades Thorp specialized in, convert arbs, have an ex-ante quantifiable E[R] that is reasonably accurate, which means your Kelly estimates are ~ right. Other asset classes and strategies do not have this property.
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Quantian Profile picture
19 Oct 20
GE was, without a doubt, the greatest single-name equity short of all time. A chronically mismanaged serial earnings manipulator with unlimited GC borrow, liquid entry/exit, zero squeeze or takeout risk, and 20+ years of 14% annualized underperformance w/o drawups? Incredible.
"Wow thanks for the idea to short a massive, inefficient conglomerate with cheap borrow, artificially smoothed numbers, and a halo effect from a famous CEO completely unjustified by recent performance 20 years too late Q, there's no way we can replicate that trade again"
🎶One of these things is not like the others/One of these things just doesn't belong/an you tell which thing is not like the others/By the time I finish my song?🎶
Read 4 tweets

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