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More from @choffstein

Corey Hoffstein 🏴‍☠️ (🖼, 🛍)

@choffstein

27 Sep

@SimplifyETFs

1/ Interesting new ETF from @SimplifyETFs got seeded today.

$TYA –
Simplify Risk Parity Treasury ETF

Ignore the name; it should basically be 2.5x 10-year U.S. Treasury futures.

I see two immediate uses.

simplify.us/etfs/tya-simpl…

@SimplifyETFs

@SimplifyETFs 2/ The first is an outright replacement from long-dated Treasury exposure (e.g. $TLT or $ZROZ).

You should get approximately the same duration, but harvest a much more attractive roll yield over time by sitting in the belly of the curve.

@SimplifyETFs

@SimplifyETFs 3/ The second is capital efficiency.

Replace a 10% position in intermediate-term U.S. Treasuries (e.g. $IEF or $VGIT) and replace it with 4% of $TYA.

You get the same net exposure, but now you can enjoy the newfound flexibility of liquidity of your freed up capital (6%).

Read 5 tweets

Corey Hoffstein 🏴‍☠️ (🖼, 🛍)

@choffstein

21 Sep

1/ Guess what?

It's time for another thread on everyone's (just me?) favorite subject: rebalance timing luck!

This time, with options.

@sbraun27

2/ All the hard work here was done by @sbraun27, who is a brilliant analyst and you should follow him.

3/ For the uninitiated, "rebalancing timing luck" is performance differential that occurs due simply to *when* scheduled rebalances occur.

I won't go into it more than that. Google the term. I've written a nauseating amount about it.

Read 11 tweets

Corey Hoffstein 🏴‍☠️ (🖼, 🛍)

@choffstein

14 Sep

1/ What is "return stacking" and how is it different than stretching for returns?

(From our paper investresolve.com/return-stackin…)

A quick 🧵... (I know, I know...)

2/ The expectation of low real returns going forward puts a significant burden on long-term investors striving to meet future needs.

e.g. Endowments who are making annual withdrawals, pensions that have future liabilities, and individuals who are saving for retirement.

3/ A phenomenon that we've witnessed over the last decade is investors moving up the risk curve by either (1) increasing equity exposure, (2) increasing credit risk (lower quality bonds), or (3) increasing liquidity risk (e.g. real estate, private equity or private credit).

Read 19 tweets

Corey Hoffstein 🏴‍☠️ (🖼, 🛍)

@choffstein

9 Sep

https://twitter.com/choffstein/status/1435214053555769351

0️⃣ I've received a couple questions about this paper and tax implications of this approach.

I'm not an accountant, but I think there are three main points to consider about tax efficiency and return stacking.

https://twitter.com/choffstein/status/1435214053555769351

1️⃣ Some funds achieve capital efficiency in a tax efficient manner, and some do not.

e.g. $PSLDX buys bonds and overlays with S&P 500 futures. That's very tax inefficient, since those S&P 500 futures are taxed at a 60% long-term / 40% short-term rate.

NTSX, on the other hand, buys the S&P 500 and then overlays with U.S. Treasury futures. Those futures are also taxed at the 60/40 rate, which *can* be more tax advantageous than buy-and-hold bond exposure, where the majority of the return (yield) gets taxed at ordinary income.

Read 8 tweets

Corey Hoffstein 🏴‍☠️ (🖼, 🛍)

@choffstein

2 Sep

@John_Stepek

@John_Stepek My ultra skeptical answer:

I put $1 in $USDC.
You start a new project $COIN.
I buy 1 $COIN for 1 $USDC.
Someone else starts $TOKEN.
I buy 1 $TOKEN for 1 $COIN.

How much money is in crypto?

@John_Stepek

@John_Stepek So you’ve got a massive ball of “money” that bubbles up, but can’t ever really be removed. So it just rips around the space.

It’s L1 tokens one month, DeFi the next, NFTs the next...

@John_Stepek

@John_Stepek So unless (1) people can start to borrow fiat against their crypto / NFTs, (2) people try to move crypto into fiat en masse, or (3) businesses accept crypto as payment, I think you just get this risk of inflated bubble money.

Read 4 tweets