Return Stacking: Strategies for Overcoming a Low Return Environment (@RodGordilloP, @choffstein, @GestaltU)

"We describe a way to stack returns by choosing alternative fund managers already engaging in non-correlated, capital-efficient strategies."

info.rcmalternatives.com/return-stacking ImageImageImageImage
"How do you endure the ‘line item risk’ of alternatives? How do you participate in the upside of an increasingly overvalued stock market? What value do bonds bring at the zero bound? The answer boils down to some new capital-efficient ETFs & mutual funds."
podcasts.apple.com/us/podcast/res…
IMO, the authors boil down the benefits of diversification and careful leverage in the simplest way I've seen, such that even the average financial advisor should be able to understand and implement some version of the strategy that's described.

Let's see who actually does it.

• • •

Missing some Tweet in this thread? You can try to force a refresh
 

Keep Current with Darren 🥚 🐣 🕊️

Darren 🥚 🐣 🕊️ Profile picture

Stay in touch and get notified when new unrolls are available from this author!

Read all threads

This Thread may be Removed Anytime!

PDF

Twitter may remove this content at anytime! Save it as PDF for later use!

Try unrolling a thread yourself!

how to unroll video
  1. Follow @ThreadReaderApp to mention us!

  2. From a Twitter thread mention us with a keyword "unroll"
@threadreaderapp unroll

Practice here first or read more on our help page!

More from @ReformedTrader

24 Sep
1/ Betting Against Quant: Examining the Factor Exposures of Thematic Indices (Blitz)

"Investors in thematic indices trade against quants, who prefer stocks that are currently cheap & profitable. Negative factor exposures imply low expected returns."

papers.ssrn.com/sol3/papers.cf… Image
2/ "Our sample includes all S&P and MSCI thematic indices with at least 3 years of data as of end April 2021.

"Our conclusions should not be generalized to thematic investing in general, since our analysis is exclusively based on data from two index providers." ImageImage
3/ "The history has backfilled data, as the first S&P thematic indices were launched in 2016; MSCI indices were launched as recently as 2020. Backfilled returns are probably biased upwards (e.g. survivorship bias), but this is less of a concern for estimating factor exposures."
Read 12 tweets
9 Sep
1/ Explaining the Recent Failure of Value Investing (Lev, Srivastava)

"We identify two reasons for the failure of value investing: (1) accounting deficiencies and (2) fundamental economic developments which slowed down mean reversion of value & glamour."

papers.ssrn.com/sol3/papers.cf… Image
2/ "The value strategy had already lost much of its potency in the late 1980s and yielded negative returns in the 1990s, barring a brief resurgence in 2000-2006.

"The expensing of intangibles started to have a major effect on book values and earnings in the late 1980s." ImageImage
3/ "The effect of our intangibles book-value adjustments are more pronounced for glamour than for value stocks. Among glamour stocks, our adjustments had a larger effect on small than large companies, since small, high-growth glamour firms tend to invest heavily in intangibles." ImageImageImageImage
Read 10 tweets
4 Sep
1/ Is U.S. housing in a bubble?

TLDR: Maybe. Valuations are consistent with this, especially considering real yields, but borrowers are also in better shape than in 2006.

Maybe build a one-sheet Excel model for expected housing returns and decide for yourself.

Thread
2/ Most of the realtors I've talked to tell me that the housing market is even hotter than in 2005, at least when metrics like months of inventory, days on market, and rapid price increases are concerned.

3/ Where I live, houses are on the market for <20 days on average, and buyers pay an average of 10% above asking and waive their inspection contingencies. Some are coming in with all cash.

Inventory (valuation) matters a lot in the short (long) term.

Read 16 tweets
1 Sep
New SSRN papers: September 2021
(I haven't read these, but the abstracts look interesting.)

Risk-Return Relation Puzzle
papers.ssrn.com/sol3/papers.cf…

How Important Are Semi-Annual Earnings Announcements? An Information Event Perspective
papers.ssrn.com/sol3/papers.cf…

August:
Persistence of Fee Dispersion among Mutual Funds
papers.ssrn.com/sol3/papers.cf…

Stock Market and Real Economy: Unwritten History Matters!
papers.ssrn.com/sol3/papers.cf…

Alternative investments in the Fintech era: The risk and return of Non-Fungible Token (NFT)
papers.ssrn.com/sol3/papers.cf…
Sales & Marketing Workforce Growth and Firm Performance
papers.ssrn.com/sol3/papers.cf…

Earth System Interventions as Technologies of the Anthropocene
papers.ssrn.com/sol3/papers.cf…
Read 7 tweets
23 Aug
1/ Unsettled: What Climate Science Tells Us, What It Doesn't, and Why It Matters (Steven Koonin)

"This book is about how science, with its certainties and uncertainties, becomes The Science—how it gets communicated, & what’s lost in the process." (p. 15)

amazon.com/Unsettled-Clim… Image
2/ This is the author's Wikipedia page. There has been a vigorous back-and-forth discussion about this book's content.

The author has worked for BP, NYU, and Obama (undersecretary for science).
en.wikipedia.org/wiki/Steven_E.…

Thomas Kuhn's work is also relevant:
3/ “The science of climate is neither settled nor sufficient to dictate policy. Rather than an existential crisis, we face a wicked problem that requires a pragmatic balancing of costs and benefits.” —William W. Hogan, professor of global energy policy at Harvard Kennedy School
Read 41 tweets
23 Jul
1/ Zillow Talk: Rewriting the Rules of Real Estate (Rascoff, Humphries)

"The democratization of real estate data is profoundly important. The enemy of truth isn't the lie but the myth. This book deploys data to replace folklore with facts." (p. 9)

amazon.com/Zillow-Talk-Re… Image
2/ "In 1950, the average number of residential square feet per person in the United States was less than 300. By 2000, that figure had climbed to almost 900—both because homes got a lot bigger and families got a bit smaller." (p. 10)

More on this:
3/ "In 1970, companies used to plan for 600 sq.ft. per employee. Today, thanks to technology, collaboration, and the near-extinction of office libraries, secretaries, and “computer rooms,” the average number of office square feet per person has shrunk to less than 100." (p. 10)
Read 137 tweets

Did Thread Reader help you today?

Support us! We are indie developers!


This site is made by just two indie developers on a laptop doing marketing, support and development! Read more about the story.

Become a Premium Member ($3/month or $30/year) and get exclusive features!

Become Premium

Too expensive? Make a small donation by buying us coffee ($5) or help with server cost ($10)

Donate via Paypal Become our Patreon

Thank you for your support!

Follow Us on Twitter!

:(