Darren 🥚🐣🕊️
@ReformedTrader
Followers
15K
Following
32K
Media
7K
Statuses
39K
Trend, value, quality, carry, and volatility... Strength is made perfect in weakness. See the pinned tweet for compound return generators.
Joined July 2011
1/ How do you maximize compound returns?. A. Don't use too much risk. B. Don't rely on bounce-backs. C. Appropriate risk depends on expected Sharpe ratios. D. Diversification increases Sharpes. E. Hedge the (relevant) tails. "Rule #1: Never lose money.".
1/ Fortune's Formula (William Poundstone). "Even unlikely events must eventually come to pass. Therefore, anyone who accepts small risks of losing everything eventually _will_ lose everything. The compound return rate is acutely sensitive to fat tails.".
12
60
312
Certainly! Generative AI and its Impact on Academic Writing (in Finance).
0
0
2
"@TaxAlphaInsider Know any providers who will set up a L/S SMA for under $1 million?" question by @arbseekerguy
@arbseekerguy Invesco: $500k.Burney: $250k.Brooklyn: $250k (maybe $500k can't remember).
1
0
1
Thread:.
Value+momentum:.Long-only -> tax burden of 2.6% / year.130% long exposure / 30% short -> tax burden of 2.3% / year.Long/short -> tax BENEFIT of 0.3% / year. Adjusting the timing of transactions increases the tax benefit of long/short to 6.1% per year.
0
0
2
Tax aware long/short effectively turns short-term capital gains into long-term capital gains, removing one of the objections to having a meaningful allocation to managed futures. L/S factor investing and managed futures are synergistic for both diversification and taxes.
Tax-aware long/short strategies aim for alpha and capital losses. Could they also power additional diversification?. A 150/50 strategy begins with a core portfolio (individual stocks or an index fund in this case) and adds 50% long and 50% short "extensions.". How does taxable
2
0
5
Low Frequency Trading Arms Race: Machines Versus Delays. When Primaries Polarize: Candidate Ideological Variance and Option-Implied Volatility.
1
0
1
84/
2/ "The consequence of not paying attention is the often-overlooked phenomenon of volatility drag. Losses increase at the square of volatility:. "Go down 10% & up 10%, and you’ve lost 1%. "Go down 20% & up 20%, and you’ve lost 4%. "Go down 30% & up 30%, and you’ve lost 9%.".
0
0
1
2/ "The consequence of not paying attention is the often-overlooked phenomenon of volatility drag. Losses increase at the square of volatility:. "Go down 10% & up 10%, and you’ve lost 1%. "Go down 20% & up 20%, and you’ve lost 4%. "Go down 30% & up 30%, and you’ve lost 9%.".
0
0
1
1/ Making the Most of Market Volatility (Schatz). "At a monthly horizon, HAR outperforms. This is consistent with prior research, which finds that HAR is often more robust than complex alternatives like GARCH when forecasting vol beyond 10-day horizons.".
1
2
11
Revisiting factor momentum: A one-month lag perspective. Information Factor: What Are Skilled Investors Buying and Selling?.
1
0
2
Normal Distribution Myth. Portfolio Theory without a Risk-Free Asset: Safety as a Fragmented and Endogenous Concept in a Multipolar World.
1
0
2
New papers: July 2025.(I haven't read these, but the abstracts look interesting.). Overvaluing Simple Bets: Evidence from the Options Market. Volatility: A Dead Ringer for Downside Risk. June 2025:.
0
0
0
Temporal Category Boundaries and Investor Behavior: A Perceptual Explanation for the Turn-of-The-Month Effect.
1
0
1
Beyond Independent Fund Failures: Addressing Correlated Liquidations in Hedge Fund Risk Analysis. Apples and Oranges: Benchmarking Games and the Illusion of Private Equity Outperformance.
1
0
1
Investigation into the Causes of Stock Market Return Deviations from Real Earnings Yields. Reaching for yield: Evidence from households.
1
0
1
Bias of IID resampled backtests for rolling-window mean-variance portfolios. Linking Futures and Options Pricing in the Natural Gas Market.
1
0
1
New papers: July 2025.(I haven't read these, but the abstracts look interesting.). Overvaluing Simple Bets: Evidence from the Options Market. Volatility: A Dead Ringer for Downside Risk. June 2025:.
New papers: June 2025.(I haven't read these, but the abstracts look interesting.). Correlation neglect in asset prices. Predicting Commodity Returns: Time Series vs Cross Sectional Prediction Models. May '25:.
2
0
4
2024 Private Equity Fundamentals (Verdad). "The bull case for PE used to hinge on financial engineering and multiple expansion. Today, with debt expensive and exit multiples compressing, the tools that fueled outperformance are turning into liabilities.".
2
3
21
"Matt and Katie talk with Cliff Asness of AQR about momentum, meme stocks, value, market timing, publishing, academics, explaining factors, how much to charge for alpha, private assets and machine learning.".
0
0
3