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Darren 🥚 🐣 🕊️

@ReformedTrader

2 Jul

1/ The Wealthy Renter: How to Choose Housing That Will Make You Rich (Alex Avery)

"As the biggest expense of our lives, how well we manage the cost of our housing has a greater impact on our cost of living than any other factor." (p. 7)

amazon.com/Wealthy-Renter…

2/ "Our housing choices determine how long it takes to get to work, how much time we spend with friends and family, where our kids will go to school, how well we do our jobs, how much money we have for other things (travel, cars, clothes, jewellery, electronics, & collectibles).

3/ "It’s the biggest factor in when/how we retire.

"We’re conditioned to want beautiful places to live. Homeownership is aggressively marketed. Pro–home ownership policy is so pervasive that it has become part of the fabric of our society. It’s enmeshed in our belief system.

Read 6 tweets

Darren 🥚 🐣 🕊️

@ReformedTrader

2 Jul

1/ Polarizing impact of science literacy and numeracy on perceived climate change risks (Kahan et al.)

"Those with the most science literacy & reasoning capacity were not most concerned about climate change; they were the group w/ the most polarization."

nature.com/articles/nclim…

2/ Sample of 1540 U.S. citizens

"We instructed subjects to rate the seriousness of climate change risk."

SCT = Science Comprehension Thesis: "Members of the public do not know/think as scientists; they fail to take climate change as seriously as scientists believe they should."

3/ CCT = Cultural Cognition Thesis: "Individuals tend to form perceptions of societal risks that cohere with values characteristic of groups with which they identify. Members are motivated to fit their interpretations of scientific evidence to competing cultural philosophies."

Read 13 tweets

Darren 🥚 🐣 🕊️

@ReformedTrader

2 Jul

@investingidiocy

Rob Carver (@investingidiocy) on @TopTradersLive

* Trend following as an inflation hedge
* The Russell 2000 is mainly comprised of companies that are losing money
* Portfolio construction for small investors
* Optimization is often counterproductive

toptradersunplugged.com/146-systematic…

https://twitter.com/ReformedTrader/status/1379203347320774660

https://twitter.com/ReformedTrader/status/1379203347320774660

From Rob's blog:

"Optimising portfolios for small accounts: Dynamic optimisation testing -> EPIC FAIL"
qoppac.blogspot.com/2021/06/optimi…

Read 4 tweets

Darren 🥚 🐣 🕊️

@ReformedTrader

1 Jul

1/ Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes (Blitz, van Vliet)

"Momentum & value strategies applied to GTAA across twelve asset classes deliver statistically and economically significant abnormal returns."

papers.ssrn.com/sol3/papers.cf…

2/ "The starting point is simple yield measures. For equity assets, we use trailing E/P. For bond assets, we use standard yield-to-maturity. Both are adjusted for local risk-free rates. (For bonds, we are effectively taking the term premium as our valuation indicator.)"

3/ "We then apply asset-specific, fixed adjustments to yields. These were chosen such that the main structural biases towards certain asset classes are removed."

'Combined' rankings weight value by 50% and momentum by 50% (split equally between 1 month and 12-1 month momentum).

Read 17 tweets

Darren 🥚 🐣 🕊️

@ReformedTrader

30 Jun

1/ Nonreplicable publications are cited more than replicable ones (Serra-Garcia, Gneezy)

"The difference does not change after publication of failure to replicate. Only 12% of post-replication citations of nonreplicable findings acknowledge the failure."

advances.sciencemag.org/content/7/21/e…

2/ "Three influential replication projects tried to systematically replicate the findings in top psychology, economics, & general science journals. In psychology (economics, Nature/Science), 39% (61%, 62%) of the experiments yielded significant findings in the replication study."

3/ "The relative effect sizes of findings that did (not) replicate were 75% (close to 0%) of the original ones.

"Prediction markets, in which experts in the field bet on results before the replication studies, showed that experts could predict which findings would replicate."

Read 18 tweets

Darren 🥚 🐣 🕊️

@ReformedTrader

30 Jun

1/ Mapping Investable Return Sources to Macro Environments (AQR)

"Style premia have less macro exposure than do asset classes. Additionally, a diversified portfolio (for asset classes and style premia) may rely less on a specific macroeconomic outcome."

aqr.com/Insights/Resea…

2/ "We must stress the limitations of this type of analysis. Any empirical result is specific to the sample period (here 1972-2013) and dependent on design choices.

"Long/short returns are scaled to target 10% annual volatility. We subtract no trading costs or fees."

3/ "The weak relation between equities & growth reflects the forward-looking nature of equity returns. The correlation between annual equity returns & our contemporaneous (*next* year's) growth indicator is 0.24 (0.50).

"Styles were positive in both up and down
environments."

Read 8 tweets

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