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Darren 🥚 🐣 🕊️ Profile picture
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2 Jul, 4 tweets, 2 min read
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…
From Rob's blog:

"Optimising portfolios for small accounts: Dynamic optimisation testing -> EPIC FAIL"
qoppac.blogspot.com/2021/06/optimi…
"There is no easy way to get around the problem of having insufficient capital to trade loads of markets. Any kind of dynamic optimization, either by simple ranking or a complex formula, isn't very effective & makes a straightforward system ugly indeed."

qoppac.blogspot.com/2021/07/talkin…

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More from @ReformedTrader

Darren 🥚 🐣 🕊️ Profile picture
3 Jul
1/ Retail Bond Investors and Credit Ratings (deHaan, Li, Watts)

"Retail investors appear to select bonds by first screening on a credit rating level, then sorting by yield. They systematically trade in the opposite direction of accounting fundamentals."

papers.ssrn.com/sol3/papers.cf… Image
2/ "Ratings are known to lag observable fundamentals & prices and can be biased due to ratings agencies' incentive conflicts, so investors have good reasons *not* to use ratings.

"At least two major online brokers' bond search tools allow investors to screen on credit ratings." Image
3/ "Formal discontinuity tests confirm the buy-sell imbalance break across the investment-grade cutoff.

"Our tests indicate that retail investors seem to use rating levels at least as a starting point for making bond trading decisions and generally prefer safer-rated bonds." Image
Read 22 tweets
Darren 🥚 🐣 🕊️ Profile picture
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… Image
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 🥚 🐣 🕊️ Profile picture
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… Image
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." ImageImage
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 🥚 🐣 🕊️ Profile picture
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 🥚 🐣 🕊️ Profile picture
1 Jul
New SSRN papers: July 2021
(I haven't read these, but the abstracts look interesting.)

Who Profits From Trading Options?
papers.ssrn.com/sol3/papers.cf…

Yield Curve Momentum
papers.ssrn.com/sol3/papers.cf…

June 2021 edition
All-Weather Portfolio Approach: Analysis of the Strategy on a 10-Year Timeframe, Insights and Investment Lessons
papers.ssrn.com/sol3/papers.cf…

Motivating Role of Sentiment in ESG Performance: Evidence from Japanese Companies
papers.ssrn.com/sol3/papers.cf…
Operating Leverage, Profitability, and Stock Returns under Different Aggregate Funding Conditions
papers.ssrn.com/sol3/papers.cf…

FIEs and the Transmission of Global Financial Uncertainty: Evidence from China
papers.ssrn.com/sol3/papers.cf…
Read 6 tweets
Darren 🥚 🐣 🕊️ Profile picture
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… Image
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." Image
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

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