Darren 🥚🐣🕊️ Profile picture
Nov 25, 2021 8 tweets 4 min read Read on X
1/ Effectiveness of Adding a Mask Recommendation to Other Public Health Measures to Prevent SARS-CoV-2 Infection in Danish Mask Wearers: A Randomized Controlled Trial

"95% confidence intervals are compatible w/ 46% reduction to 23% increase in infection."
acpjournals.org/doi/10.7326/m2…
2/ "During the study period (3 April to 2 June 2020), Danish authorities did not recommend masking. Use was uncommon (<5%) outside hospitals.

"Participants were randomly assigned to mask/control groups.

"Those in the mask group received 50 3-layer, disposable surgical masks."
3/ "Participants received follow-up surveys to collect information on antibody test results, adherence to recommendations on time spent outside the home, development of symptoms, COVID-19 diagnosis based on PCR testing done in public hospitals, and known COVID-19 exposures."
4/ "A recommendation to wear a surgical mask when outside the home among others did not reduce, at conventional levels of stat. significance, incident SARS-CoV-2 infection vs. no mask recommendation. We designed the study to detect a reduction in infection rate from 2% to 1%."
5/ "The findings, however, should not be used to conclude that a recommendation for everyone to wear masks in the community would not be effective in reducing SARS-CoV-2 infections, as the trial did not test the role of masks in source control of SARS-CoV-2 infection."
6/ "The face masks were high-quality surgical masks with a filtration rate of 98%.

"Face shields covering the eyes has been advocated to halt the conjunctival route of transmission, but we observed no stat. significant interaction between wearers & nonwearers of eyeglasses."
7/ "Practical challenges to implementation include potentially incorrect wearing, reduced adherence, reduced durability depending on type of mask & occupation, weather, physical & psychological discomfort, and changing to less cautious behavior due to a false sense of security."
8/ More:

Assessing mandatory stay‐at‐home and business closure effects on the spread of COVID‐19


Global Assessment of the Impact of Masking on COVID-19: A Country Level Comparative & Retrospective Analyses Using the Richards Model

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More from @ReformedTrader

May 18
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


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Read 5 tweets
Jan 1
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…
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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."





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Read 14 tweets
Dec 31, 2023
1/ Happily Ever After? Cohabitation, Marriage, Divorce, and Happiness in Germany (Zimmermann, Easterlin)

"The formation of unions (separation or divorce) has a positive (negative) effect on life satisfaction. We also see a 'honeymoon period' effect."

researchgate.net/publication/49…
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2/ "The model's four terms describe different life stages for an individual who marries during the sample period. The intercept reflects the average life satisfaction of individuals in the baseline period [all noncohabiting years that are at least one year before marriage]."


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3/ " 'How satisfied are you with your life, all things considered?' Responses are ranked on a scale from 0 (completely dissatisfied) to 10 (completely satisfied).

"We center life satisfaction scores around the annual mean of each population subsample in the original population."
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Read 29 tweets
Aug 13, 2023
1/ Short-sightedness, rates moves and a potential boost for value (Hanauer, Baltussen, Blitz, Schneider)

* Value spread remains wide
* Relationship between value and rates is not structural
* Extrapolative growth forecasts drive the value premium

robeco.com/en-int/insight…
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2/ "The valuation gap between cheap and expensive stocks remains extremely wide. This signals the potential for attractive returns going forward."


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3/ "We observe a robust negative relationship between value returns and changes in the value spread.

"The intercept of ≈10% can be interpreted as a cleaner estimate of the value premium, given that it is purged of the time-varying effects of multiple expansions & compressions." Image
Read 7 tweets
Aug 5, 2023
1/ Advanced Futures Trading Strategies (Robert Carver)

This really interesting book tests some strategies that I haven't seen in the academic literature.

Read Part 1 to see how the author builds portfolios; the new stuff is explored in Parts 2-5.

https://t.co/p1QdFCE9F1amazon.com/Advanced-Futur…



Trend and carry in various volatility regimes
Trend using spot prices
Carry with seasonality corrections
Value (5-year mean reversion) in futures markets
2/ Part 1: Basic directional strategies
Part 2: Adjusted trend, trend and carry in different risk regimes, spot trend, seasonally-adjusted carry, normalized trend, asset class trend
Part 3: Breakouts, value, acceleration, skew
Part 4: Fast mean reversion
Part 5: Relative value


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Skew
Fast mean reversion (approximately two-day holding period)
Fast mean reversion conditioned on trend
3/ Related reading

Time-Series Momentum


Two Centuries of Trend Following
https://t.co/R6JQb6Cg96

Carry
https://t.co/poFk6OWQsO

Value and Momentum Everywhere
https://t.co/l0wVgAOrhL

Leveraged Trading
https://t.co/1bKFEaD5cu



Read 4 tweets
Apr 2, 2023
1/ Natural course of health & well-being in non-hospitalised children & young people after testing for SARS-CoV-2

"Some test-positives & test-negatives reported adverse symptoms for the first time at 6- & 12-months post-test, suggesting multiple causes."

thelancet.com/journals/lanep…
2/ "The broadly similar pattern of adverse health and well-being reported as new-onset at 6- and 12 months among test-positives and test-negatives highlights the non-specific nature of these symptoms and suggests that multiple aetiologies may be responsible."
3/ Related reading:

Efficacy of Vaccination on Symptoms of Patients With Long COVID


Immunoglobulin signature predicts risk of post-acute COVID-19 syndrome
Read 4 tweets

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