Tweet

Corey Hoffstein 🏴‍☠️

5 Mar, 11 tweets, 5 min read

1/ I received a DM this morning asking me about "recommended reading" in the space of trend following.

This all depends upon what you're looking for and your expertise, but I figured I'd share some thoughts publicly...

@katykam

2/ Trend Following with Managed Futures (by @katykam)

- Approachable introduction for beginners
- Exploration of approach via data
- Explains dispersion in managed futures through strategy-specific betas

Technical Difficulty: ★☆☆☆☆

amazon.com/Trend-Followin…

@MebFaber

3/ A Quantitative Approach to Tactical Asset Allocation (by @MebFaber)

- Very accessible exploration of a simple trend rule on different asset classes

Technical Difficulty: ★☆☆☆☆

papers.ssrn.com/sol3/papers.cf…

4/ Time Series Momentum

- Puts academic weight behind what most trend followers already knew for decades
- Explores 58 liquid instruments and fast to slow time series models

Technical Difficulty: ★☆☆☆☆

papers.ssrn.com/sol3/papers.cf…

5/ Two Centuries of Trend Following

- Takes trend following "out of sample" by looking at previously unexplored historical data

Technical Difficulty: ★☆☆☆☆

cfm.fr/assets/Researc…

6/ Risk in Hedge Funds Strategies: Theory and Evidence from Trend Followers

- Models trend following based upon "lookback straddles," connecting options and trend following together

Technical Difficulty: ★★☆☆☆

academic.oup.com/rfs/article/14…

7/ The Convexity of Trend Following

- Understanding why trend following is "mechanically convex"
- ...and why its internal diversification means it might not be a great hedge against equity losses

Technical Difficulty: ★★★☆☆

cfm.fr/insights/the-c…

8/ Market Timing with Moving Averages: Anatomy and Performance of Trading Rules

- Demonstrates that most trend rule systems are actually mathematical cousins

Technical Difficulty: ★★☆☆☆

papers.ssrn.com/sol3/papers.cf…

(Related: papers.ssrn.com/sol3/papers.cf…)

9/ Trend Filtering Methods for Momentum Strategies

A technical review of different estimators of trend.

Technical Difficulty: ★★★★☆

papers.ssrn.com/sol3/papers.cf…

10/ Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies

- When it says "in-depth" it means it
- Derives a number of important theoretical results
- Amazing references

papers.ssrn.com/sol3/papers.cf…

Technical Difficulty: ★★★★☆

@alphaarchitect

11/ Finally, I’ve written a ton on the subject (e.g. blog.thinknewfound.com/tag/trend-foll…) and @alphaarchitect has a great list of posts on their blog as well (alphaarchitect.com/category/archi…)

• • •

Missing some Tweet in this thread? You can try to force a refresh

This Thread may be Removed Anytime!

Twitter may remove this content at anytime! Save it as PDF for later use!

More from @choffstein

Corey Hoffstein 🏴‍☠️

@choffstein

26 Feb

1/

Interesting little anec-data…

Taking current ARKK holdings...

I went back to 1/29 data and found implied vols for 100%, 90%, and 80% moneyness on top 15 holdings.

I also found ARKK’s IVs for 100%, 90%, and 80% moneyness

2/

Normalizing the top 15 weights, you can use this data to back out an implied correlation.

3/

Here’s the weird part…

The implied correlation was basically flat (at around 62%).

In other words, the market was saying, “if this basket falls, we don’t think underlying correlations will go up."

Read 5 tweets

Corey Hoffstein 🏴‍☠️

@choffstein

27 Dec 20

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 🏴‍☠️

@choffstein

26 Dec 20

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?!

Read 4 tweets

Corey Hoffstein 🏴‍☠️

@choffstein

15 Dec 20

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)

@vol_christopher

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

@verdadcap

2/ FEBRUARY

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

static1.squarespace.com/static/5db0a1c…

Read 13 tweets

Corey Hoffstein 🏴‍☠️

@choffstein

13 Dec 20

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