I know leverage is often seen as a “no-no” for home office gate keepers, but ETF’s like $NTSX and Simplify’s coming $TYA (sec.gov/Archives/edgar…) get my creative juices going.

e.g. 66% $NTSX + 34% $COM gives you a 60/40 with a 33% overlay in long/flat commodities
That’s a potentially interesting inflation hedge that can “turn itself off” during commodity drawdowns.

And there’s tons of examples like this if we are willing to look at net portfolio exposure rather than on an itemized basis.
All of a sudden a go-nowhere, low-vol ETF like $BTAL becomes an interesting low-correlation overlay profile.

It’s not a question of “what do I have to sell to buy this?” It’s a question of, “what do I want to layer on top of my core asset allocation?"
To benefit from capital efficiency, we either need product sponsors to start co-mingling positions (e.g. “here’s your beta + overlay”) or we need to accept that our itemized portfolio may look weird.

e.g. 60% $SPY + 16% $TYA would give you a 60/40. But you now have 24% free.
We can think of that 24% as an overlay to our 60/40, but the financing cost is embedded in the Treasury futures from $TYA!
I should add that there are a bunch of mutual funds that are doing something similar.

e.g. the PIMCO StocksPLUS series or DoubleLine Enhanced Shiller CAPE, both of which are 100% stocks + 100% bonds.

Also $MAFIX and $BLNDX are 50% SPY + 100% managed futures.
(And it’s an approach embraced by your’s truly as well.)

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More from @choffstein

10 Jul
I’ve written hundreds of research articles on the Newfound blog throughout the years.

I stopped writing last year (got burnt out), so my guess is a lot of new followers don’t even know they exist.

Here are a few that I’m especially proud of ➡️

No Pain, No Premium

- Re-thinking portfolio construction from a risk-based framework

- The philosophical limits of diversification

- The “what, how, when” diversification framework


Tactical Credit + Value and the Credit Spread

- An exploration into making credit trades based upon momentum and valuation signals


Read 20 tweets
5 Jul
It’ll be interesting to see how hedge funds on the block chain try to maintain “secrecy.”

e.g. If you know Alameda’s wallet address (debank.com/profile/0x84d3…), you can watch where they send their money and the contracts they interact with.

e.g. You can track that they recently moved money to MATIC and are farming at Adamant Finance (apeboard.finance/dashboard/0x84…)

The project’s discord is currently quite concerned about Alameda just nuking the reward token to $0 as they sell.
So what do hedge funds do?

Try to stay under the radar with a lot of smaller wallets? Possible for new funds, perhaps.
Read 6 tweets
23 Jun
The 🦬 herd is primed to stampede…
I think I’m going to go full @jam_croissant and just start using animal emojis for everything.

🦬 will be trend followers (herd mentality).
🐢 will be volatility targeters (slow and steady).
🐋 will be target date funds (large!).
🐖 will be structured products (piggish fees).
🦖will be “short volatility” strategies (because, ya know, exogenous knock-out risk)

🪳 will be for “long volatility” strategies (survive anything, but you’re ugly and everyone hates you)

🦍 will be for memestock traders

🐑 will be for anyone I disagree with
Read 4 tweets
16 Jun
Sitting in the discord of an altcoin that went from $4 to $60 over the last week, and $60 to $0.25 in the last day.
"yes we're under attack from bots. Remember to buy the dip"
Update: price now <$0.01
Read 4 tweets
28 May
Okay, new 🏴‍☠️ Pirates of Finance episode out.

We’re talking about ZED Run.

Which, on the surface, is just digital horse racing. But there’s some interesting design elements that invite some fascinating quantitative analysis…

Read on 👇

In ZED Run, horses are assigned to different classes and can only compete in races of their class (or the class above).

When a horse wins a lot, it is bumped up a class. When a horse loses a lot, it gets bumped down a class.
Right now, this is based upon a point system. Winning a race gives you +4 points and coming in 12th gives you -4 points.
Read 8 tweets
26 May
Lots of chatter in Q1 about turning momentum – and that most ETFs would miss it because they don’t continually rebalance.

If they had, they would’ve allocated far more to Financials (and more to Materials, Energy, Industrials, Staples, and Real Estate).

To adjust an equal-weight momentum ETF portfolio (MTUM + JMOM + FDMO + VFMO), we could’ve the ETF exposures by 20% and allocated to a mix of the sector ETFs to.

Doing so would’ve added ~250bp in the last few months.
That blue line is:

2.5% XLB
2.5% XLE
7.5% XLF
2.5% XLI
2.5% XLP
2.5% XLRE
20% MTUM
20% FDMO
20% JMOM
20% VFMO
Read 4 tweets

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