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Robin Wigglesworth Profile picture
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16 Mar, 6 tweets, 2 min read
“Indexing doesn’t constitute any real threat to professional managers because its goal is mediocre performance.” Cleaning up some of my book research notes, and there are some 👀 quotes there.
(From the Boston Globe, august 24, 1976)
David Babson REALLY didn’t like the smell of this new fad.
“Index funds... an idea whose time has passed”. Professor Roger Murray in 1976.
🤪
If you like this, then pretty-please pre-order my book! amazon.com/dp/0593087682

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More from @RobinWigg

Robin Wigglesworth Profile picture
17 Mar
Just $93m is enough to lift bitcoin price by 1%, estimates Bank of America. Gold needs about 20x that net inflow. Image
The smattering of institutional investor/corporate announcements over the past year have helped pump the price of bitcoin, but Grayscale remains the dominant holder. Image
For decentralised money its pretty dang centralised. About 95% of all bitcoin are controlled by just 2.4% of accounts. Image
Read 8 tweets
Robin Wigglesworth Profile picture
9 Mar
Retail investors now accounts for almost as much US trading as all mutual funds and hedge funds *combined*. Our deep dive into the frenzy, how it differs from past retail trading booms, and whether this will prove a lasting phenomenon. ft.com/content/7a91e3…
Go home US stock trading volumes, you're drunk.
Just sayin'
Read 4 tweets
Robin Wigglesworth Profile picture
16 Dec 20
Good piece on a really cool idea that unfortunately fizzled. Short thread on what I thought might have been the Achilles heel (which I didn’t appreciate enough when I wrote about the phenomenon a few years ago on.ft.com/3696uEP )
Basically, I think I (and Quantopian obviously) underestimated the compounding power of collaboration and institutional knowledge. Essentially, you probably had thousands of people independently coding very similar algos on large cap US equities.
But that is just ferociously difficult. If you were a novice quant joining say DE Shaw or Two Sigma and tried to find a way to trade S&P stocks, you’d get laughed at. All the simple stuff a novice might naturally try was thoroughly mined decades ago.
Read 8 tweets
Robin Wigglesworth Profile picture
15 Dec 20
HELP! Can't decide what US cover to go with for my upcoming book on the history of index funds (out sept 2021) so I thought I'd throw it out to the hive mind. Poll below, and feel free to comments to explain (or to ask for smaller font, make fun of my weird name, etc etc).
What cover?
I’ll die if this ends up being 52-48.
Read 4 tweets
Robin Wigglesworth Profile picture
14 Dec 20
“We’ve created a caste system for credit. It’s significant, because its basis is entirely a function of size, not quality.” Our big read on how is better to be a bad but big company than a good but small one - and what it might mean for the US recovery. ft.com/content/1ae439… Image
I think the increasingly bifurcated corporate access to credit is a big, underappreciated issue in the US. It is the big downside to the size and vibrancy of the American bond market - if you're too small to tap it, then you're kinda screwed.
I think the mounting importance of capital markets funding, and the parallel decline of banks' small business lending - which the coronavirus exacerbated massively, but predates it - could help explain why we are seeing big companies just get bigger and bigger and bigger.
Read 7 tweets
Robin Wigglesworth Profile picture
7 Dec 20
This is great, as you’d expect. But IMO the missing part of a lot of the discussion around the hedge fund basis trade unwind in March is what *could* have happened. 1/n
Yes, hedge fund selling of Treasuries was in pure nominal quantity certainly less impactful than the broad, global “dash for cash” that led foreign central banks and mutual funds to dump Treasuries.
That dash for cash overwhelmed market-makers, and caused the off-the-run/on-the-run and cash-v-futures dislocations. That in turn impacted Treasury relative-value trades at hedge funds. So one can see them as “victims” rather than “culprits”. At least in the initial stages.
Read 8 tweets

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