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Wifey Profile picture
@WifeyAlpha
Apr 18 • 4 tweets • 3 min read Twitter logo Read on Twitter
GM Fam. This is wild. It shows 50 years of Trend with green showing positive returns and blue showing negative returns. This shows that Trend works best in volatile, non-QE regimes. If a higher inflation rate stays with us then "Trend is the Wifey Fam's Fren" #WifeyDash #ETF Image
VolQ 3 Rs Research Process

Are your trading programs reliable, resilient and RELEVANT?

The Wifey ETF has a large overweighting of over 2/3 to Trend Momo (time series momentum). The Free Wifey Dashboard (Dash) will show you the raw Trend Momo signals on 1 week to 12 months.
Why we love trend so much. There will be many periods of losses but the convexity in returns when equities are puking hard is worth it. If you can build a program that generates some modest returns in "the good days" then then it is not a loss making hedge. We put trend (trend… twitter.com/i/web/status/1… Image
man.com/maninstitute/c…

"The multi-asset nature of trend-following helps provide much-needed diversification to a tail hedging strategy."

"Convexity for the overlays comes from their ability to add risk."

"We might look to strategies that generate downside convexity and skip… twitter.com/i/web/status/1…

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More from @WifeyAlpha

Wifey Profile picture
Apr 19
Can CTAs really move the market?

There has been a lot of tweets recently about CTAs. I thought this might help a few people. Just one quick paper then back on research ban.

quantica-capital.com/en/publication… Image
We estimate calendar-spread trading accounts on average for more than 50% and 30% of the overall trading volume in commodity and interest rate futures markets respectively. Similarly, less than 70% of the total open interest of rates and commodity futures is held directionally.
On the other hand, non-directional trading in equities, fixed income and currency futures is not relevant enough to affect the analysis. Relying on the above assumptions we showed that on average since 2020, the trend-following CTA industry in aggregate across all markets traded:
Read 5 tweets
Wifey Profile picture
Apr 15
Equities exhibit a negative skewed distribution and it is associated with significant risks from the left tail distribution. While equities can provide substantial returns, you must be aware that the downside risks can be considerable and are not evenly distributed. Image
Global macro strategies have a positive skew in returns distribution. The positive skew, however, is not a guarantee of positive returns, as global macro strategies are still exposed to left tail risks, particularly during periods of market turbulence or unexpected events. Image
Trend Momo strategies also tend to have a positive skew in returns distribution due to their focus on capturing sustained market trends. Trend Momo can hold positions for extended periods, allowing them to capture the full extent of a trend. Image
Read 4 tweets
Wifey Profile picture
Apr 14
Geopolitical Risk Thread

Five top geopolitical risks marked high by Blackrock. Heightened 🇺🇸🇨🇳 tensions present significant risks for investors

1. Russia-NATO conflict
2. US China strategic competition
3. Major cyberattacks
4. Global technology decoupling
5. Gulf tensions

1/21
1. Russia-NATO conflict

Russia launches a large-scale invasion of Ukraine. The U.S. and EU respond with financial, energy and technology sanctions on Russia.

2/21
Russia’s invasion of Ukraine is the largest, most dangerous military conflict in Europe since WWII. Russian President Vladimir Putin failed in his initial aim to destroy Ukrainian sovereignty. Ukraine has recaptured significant territory in the south and northeast, though

3/21
Read 21 tweets
Wifey Profile picture
Apr 12
Here we go. They are bringing out research on Inflation Targeting. Exactly like I said they are going to raise the inflation target from 2% to 3% then higher again. Trust the research. lol. papers.ssrn.com/sol3/papers.cf… Image
"Our country-level analysis—using the Synthetic Control Method (SCM) to compare outcomes in IT countries to a synthetic cohort—shows that IT adoption delivers significant inflation gains in about a third of the cases. At the same time, we also find limited support for the
concern that adoption of IT systematically leads to poorer growth outcomes. At a time when central banks are struggling to keep inflation in check, our results suggest that the belief that IT adoption will be sufficient to achieve this goal cannot be taken for granted."
Read 5 tweets
Wifey Profile picture
Apr 12
tRaNsItoRy Image
Some of these are going bonkers Image
American food is getting more expensive

This is sugar futures price with 2 weeks momentum (ROC 10 or Rate of Change over 10 days) Image
Read 4 tweets
Wifey Profile picture
Apr 6
Crypto Research Drop
*****************************
This thread covers an introduction into crypto. It explores trend and momentum, intraday trading and market structures. Lastly, we look at vol.

1) Introduction
2) Trend Momo
3) Intraday
4) Seasonality & Structure
5) Volatility
1) For an introduction into crypto read the paper titled "An Investor's Guide to Crypto" by Man Group.
papers.ssrn.com/sol3/papers.cf… Image
1) "Out of 9943 cryptocurrencies, we have restricted our analysis to the 7111 with at least 200 price-return observations. The median length of these time series is 446 observations." arxiv.org/abs/2302.12319 Image
Read 21 tweets

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