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Darren 🥚 Profile picture
@ReformedTrader
Jul 2, 2021 • 1 tweets • 1 min read • Read on X
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

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More from @ReformedTrader

Darren 🥚 Profile picture
Mar 28
1/ Everything Is Never Enough: Ecclesiastes' Surprising Path to Resilient Happiness (Bobby Jamieson)

"One of happiness’s many paradoxes is that you don’t get happy by aiming at happiness but by leading a life worth living." (p. xi) Image
2/ "Ecclesiastes tells the story of someone who saw it all, got it all, experienced it all, and in the end found fault with it all - yet the author of Ecclesiastes still didn’t find what he was looking for. Having it all won’t make you happy." (p. xi)

amazon.com/Everything-Nev…
3/ "The primary author is identified not by name but by title, “Qohelet.”

"Qohelet does far more unsettling than satisfying. He disquiets more than he quiets.

"Ecclesiastes is a strange book. It sets contradictory statements side by side without warning or framing.
Read 11 tweets
Darren 🥚 Profile picture
Nov 4, 2025
1/ Behavioral Investor: How psychology shapes wealth, risk, and investment decisions (Crosby)

"A great intellect is nothing if it is not paired with a self-understanding to match. All exceptional investing is, at its core, behavioral investing." (p. ix)

amazon.com/Behavioral-Inv…
2/ "Since shared beliefs hold humankind together, breaking those bonds is no small task, even in the face of damning contradictions.

"Humans, capable of great complexity of thought, are accordingly capable of great self-deception." (p. 7)

More on this:
3/ "Money is important, but it is so important that we eschew reason, ignoring what is economically best in favor of what is emotionally satisfying.

"Become a student of market history rather than falling back on your limited lived experience of markets." (pp. 18-19)
Read 58 tweets
Darren 🥚 Profile picture
Apr 25, 2025
1/ Moneyball: The Art of Winning an Unfair Game (Michael Lewis)

"Baseball was at the center of a story about the possibilities—and limits—of reason. It showed how an unscientific culture responds (or fails to respond) to the scientific method." (p. xiv)

amazon.com/Moneyball-Art-…Image
2/ "A small group of undervalued professional players & executives, many of whom had been rejected as unfit for the big leagues, turned themselves into one of the most successful franchises.

"How did one of the poorest teams, the Oakland Athletics, win so many games?" (p. xi)
3/ "Hitting statistics were abundant & had, for James, the powers of language. They were, in his Teutonic coinage, 'imagenumbers.' Literary material. When you read them, they called to mind pictures. He wrote... 'To get 191 hits in a season demands (or seems to) a consistency...
Read 6 tweets
Darren 🥚 Profile picture
Feb 4, 2025
New papers: February 2025
(I haven't read these, but the abstracts look interesting.)

Does Trend-Following Still Work on Stocks?
papers.ssrn.com/sol3/papers.cf…

Application of the Kelly Criterion to Prediction Markets
semanticscholar.org/paper/Applicat…

Jan 2025 edition:
x.com/ReformedTrader…
December Effect in Option Returns
papers.ssrn.com/sol3/papers.cf…

Unintended Consequences of Rebalancing
papers.ssrn.com/sol3/papers.cf…

Speculate against Speculative Demand
semanticscholar.org/paper/Speculat…

Seasonality Patterns in the Crisis Hedge Portfolios (Quantpedia)
quantpedia.com/seasonality-pa…
Bank Fragility After Mergers
papers.ssrn.com/sol3/papers.cf…

Mutual Fund Investors and the Economic Cost of Seeking Alpha
papers.ssrn.com/sol3/papers.cf…

Stock split signaling: Evidence from short interest
papers.ssrn.com/sol3/papers.cf…
Read 15 tweets
Darren 🥚 Profile picture
May 18, 2024
1/ Skewness and kurtosis

* Everything has excess kurtosis
* Unlike market returns, individual stocks aren't negatively skewed
* Option prices underestimate kurtosis and overestimate negative skewness
* Implied moments don't consistently predict stock returns
* Sell options?? Image
2/ Asset classes have fat tails, and most have negative skewness.

Kurtosis & expected returns


Kurtosis-Based vs Volatility-Based Asset Allocation


Impact of Skewness and Fat Tails on Asset Allocation

.



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3/ This has practical consequences, and it's a good idea to be prepared.

Give me a moment: Optimal leverage in the presence of volatility, skewness, and kurtosis


When Genius Failed: The Rise & Fall of Long-Term Capital Management


Image
Read 5 tweets
Darren 🥚 Profile picture
Jan 1, 2024
1/ Fact, Fiction, and Factor Investing (Aghassi, Asness, Fattouche, Moskowitz)

"We reference an extensive academic literature and perform simple but powerful analyses to address claims about factor investing."

aqr.com/Insights/Resea…
Image
2/ #1. Fiction: Factors are Data-Mined with No Good Economic Story

"Value, momentum, carry, and defensive/quality pass the more stringent statistical tests.

"Many of the factor tests conducted in papers are on variations of a few central themes."


…

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3/ "Value, momentum & defensive/quality applied to US individual stocks has a t-stat of 10.8. Data mining would take nearly a trillion random trials to find this.

"Applying those factors (+carry) across markets and asset classes gets a t-stat of >14."


…


Image
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Read 14 tweets

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