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Sep 18 • 6 tweets • 2 min read
While equity hedge funds struggle in the past 2 years, apparently dumb #CTA money seeing great returns and chugging along - increased my trend/managed futures exposure way ahead into this ‘crisis’ - I don’t care about complexity when it comes to money! Easy money is better…TREND
FOLLOWING will continue to see some outsized performance in this divergent market - their returns are: price stickiness. Trend returns in commodity futures can be decomposed into roll yield and spot change. Term structure slope enforces trends!
(1) spot change has been somewhat sticky since they are due to long term structural supply constraints, geopolitical warfare etc. Hence oil, gas etc.
(2) rising federal funds rate is historically correlated with roll yield contribution to trend returns (0.6-0.7, Greyserman) - this increases market divergence and hence trend stickiness
The combination of 1 + 2 is a boon to the commodity space and as long as you believe both are structurally here to stay, perhaps you should consider allocating trend into your portfolio.

See Barclays/SocGen benchmarks.
Return stacking baby! @choffstein

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More from @HangukQuant

HangukQuant Profile picture
Aug 24
In korea, there is a game called the `ladder' game. Friends asked me how come the results always lead to a one-one mapping in terms of ranking. heard of the game @saanglee ?

If only they read simple mathematical proofs for invertibility...haha
basically you draw a ladder like this, and each number will be mapped to a unique letter, no matter how you draw it.

We can easily proof this: we want to show that two numbers cannot map to the same letter. Suppose not. Then there exists two numbers pointing to same letter.
Now consider that the ladder game is also a legitimate game if you look at it from the bottom up. Then, there exists a letter that maps to two numbers. This is a contradiction.

Drinking session turned math lecture.
Read 4 tweets
HangukQuant Profile picture
Aug 16
We implemented a fully functional database service with PyMongo as our driver, and integrate it with the data retrieval service this week. This version of the paper adds 30 pages of discussion and code implementation, totaling a 55-page report.

(post linked, GIVEAWAY below) ImageImageImageImage
In the next report, we cover topics in asynchronous programming, multi-threading, batch processing, reducing network trips and HTTP handshakes to increase read-write throughput.

From the first 100 RTs, we will pick 5 for full access to v2 paper, and another 5 for full access to
next iteration. To participate, RT and comment `please dad' then SS and send me a DM.
Read 4 tweets
HangukQuant Profile picture
Aug 5
Few days ago, I posted out 20 pages of free code for data retrieval, making a data service layer. Full version is out now. Sample invocations:
Next up is to discuss challenges involved during this mini project, and the design of database systems in relation to issues discussed. -
I would likely show integration with a NoSQL DB (not decided yet). If you like the content and want more free previews of code, please help to share and RT! Love whoring for all the attention I get from strangers :)
Full Version: hangukquant.substack.com/p/data-service…
Read 4 tweets
HangukQuant Profile picture
Jul 29
HangukQuant is 1Y OLD! Some comments/announcmenet
1. We are very thankful for the support of > 1500 passionate traders.
2. We will be pivoting our stance towards stringent code policies and be more liberal about what we share with our readers

hangukquant.substack.com/p/1-y-annivers…
3. We will be sharing more compiled resources, including code, alpha ideas, test results, food for thoughts and disseminating them as digital books
4. We will be discussing a broader range of topics, both in terms of systematic trading processes and discretionary approaches.
5. We will be deleting/archiving posts once we reach ~80 alpha reports and aim to maintain about 100 alpha reports available at any time.
Read 5 tweets
HangukQuant Profile picture
Jul 19
got some questions asking about combining quantitative equity forecasts and discretionary forecasts with options - I don't particularly have a solid framework around it. but I think I want to stress a point brought up by @therobotjames and @SinclairEuan around option in that if
you intend to use equity long triggers as some muddly way of shorting puts then you are getting into a grey area where you cannot distinguish whether the pnl is coming from the equity models or the variance premia
either way it is easy to fool yourself that your equity models have alpha, particularly when you are picking up alot of negative skew in your portfolio.
Read 6 tweets
HangukQuant Profile picture
Jun 16
Stars Aligned in the East of Asia; Chinese Equities?
Here’s 7 reasons why I am looking at the Chinese market, and some malleable thoughts.
1. Russia vs Ukraine

The moratorium of exports out of Russia into the Western World undoubtedly causes upward pressure on energy prices and commodities alike. Everything tangible goes up. Meanwhile, China and Russia are holding hands and ramping up international trade.
The last 20 years have seen Russia increase exports to China at annualized rate of >10%. Actually, they aren’t really holding hands now.
Read 25 tweets

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