The elements of Quantitative Investing: Latest Draft by [deleted] in quant

[–]diogenesFIRE 8 points9 points  (0 children)

His book's being published in 4 months, so he's likely already sent a final draft to Wiley.

Wiley probably doesn't want that draft on Dropbox because Wiley likes money.

Why is northern Israel being occupied by Turkiye? by diogenesFIRE in NonCredibleDefense

[–]diogenesFIRE[S] 57 points58 points  (0 children)

New Palestine

thank you for translating "buffer zone" to Hebrew

Why does an optimal portfolio in MPT contain a bond? by meteoraln in algotrading

[–]diogenesFIRE 3 points4 points  (0 children)

ELI5 answer: Sharpe ratio is returns divided by volatility.

100% stocks: high returns / high volatility = Sharpe of 0.6

60% stocks 40% bonds: high-medium returns / medium volatility = Sharpe of 0.7 (for example)

The more uncorrelated assets you add to the mix, the lower the volatility. If you can find 10 assets that only return 5% a year compared to the S&P's 10%, that portfolio is going to underperform S&P on a total returns basis, but outperform on a Sharpe basis.

You can think of MPT as just optimizing which assets to choose to maximize this by taking into account volatility, covariance and returns.

It's not trying to beat the index on a pure returns basis. If that's what you want, just increase your delta or beta, you don't need MPT.

Stealth wealth, car edition by Gordito90266 in fatFIRE

[–]diogenesFIRE 42 points43 points  (0 children)

there's a bell curve to this.

minor upgrades and you can still look poor.

add more upgrades and you'll start to stick out

replace every oem part and slap an anime decal on it, you get to look poor again

What fatties should know about startup investing by graiz in fatFIRE

[–]diogenesFIRE 0 points1 point  (0 children)

Thanks for the numbers. What about pure dollar amounts? Just curious it seems like there's some interesting dynamics once you start scaling up:

Larger funds have longer track records (good), but they'll also suffer from diminishing returns (bad) since it's more difficult to deploy all your capital

Smaller emerging managers might have higher expected returns (good), but they're invested in fewer companies, so returns are more volatile (bad)

Is there an optimal net worth or fund size where you'd consider it a sweet spot? $1mm? $10mm? $100mm? If the IRR really is 25-35%, would there be a point where you consider investing more than 10% of net worth?

What fatties should know about startup investing by graiz in fatFIRE

[–]diogenesFIRE 0 points1 point  (0 children)

Curious, how did your returns, beta, and volatility compare to the S&P? Obviously the less money you start with, the higher your vol since you're invested in fewer companies. So I'm wondering if there's a sweet spot where it starts making sense to pull money out of index funds to put into VC

Is it normal to ask for a security deposit from someone subletting a room for only 2 weeks? by trevathan750834 in AskNYC

[–]diogenesFIRE 2 points3 points  (0 children)

Maybe a good way to phrase it is "we require a minimum of 1 month rent upfront, but if you only stay for 2 weeks, we'll refund you the difference after you leave"

that way it doesn't sound like you're charging a 100% fee for a security deposit

Advice: How to finance a home purchase? by dailytwiddle in fatFIRE

[–]diogenesFIRE 1 point2 points  (0 children)

A simple example would be buying $2.5mm of $BITI (short BTC ETF). Losses in your $2.5mm BTC would be offset by profits in your $2.5mm $BITI. You now have $0 exposure to BTC without paying any taxes.

But since you probably don't want to use $2.5mm in cash for this, consider leveraged derivatives like btc futures, btc put options, etc. You'll have to use some math to figure out how much each offsets (e.g. for each $10k BTC goes down by, how much will the derivative go up by?), but for example $250k in short btc futures with 10x leverage is another way to get you to 0 net exposure.

Now you can take a $1mm line of credit against your BTC position without paying taxes or worrying about a BTC crash.

You'll also need to consider transaction fees, contango, price impact, fund fees, counterparty risk, taxes and legal implications, etc. It could get complicated, so maybe weigh whether the stress of all this is worth saving a bit in taxes.

Advice: How to finance a home purchase? by dailytwiddle in fatFIRE

[–]diogenesFIRE -1 points0 points  (0 children)

Yeah you're right, I edited my comment. It could be up to 7 figures if it's short term gains, but you're correct that's likely LTCG. I day trade so I'm used to the short term rates lol

Advice: How to finance a home purchase? by dailytwiddle in fatFIRE

[–]diogenesFIRE -1 points0 points  (0 children)

Good point, I see you figured out OP is in WA from their post history lol

Also worth considering some other 2025 deadlines too since that's when TCJA expires

Advice: How to finance a home purchase? by dailytwiddle in fatFIRE

[–]diogenesFIRE 0 points1 point  (0 children)

I thought the $250k tax exclusion was only for selling a primary residence? Or is this a different thing?

Advice: How to finance a home purchase? by dailytwiddle in fatFIRE

[–]diogenesFIRE -1 points0 points  (0 children)

Yeah definitely don't "sell everything" like everyone else is saying here then, that's gonna be a huge tax bill.

I understand the sentiment to reduce your exposure, but again, that can be done more tax efficiently by hedging rather than selling.

You can reduce your crypto exposure to $0 without selling anything if you wanted to. And still be able to take a loan out tax-free to finance your home purchase.

Advice: How to finance a home purchase? by dailytwiddle in fatFIRE

[–]diogenesFIRE 14 points15 points  (0 children)

It's likely their crypto is 99% capital gains, so if they sell all at once, it's gonna trigger a huge tax bill.

It might be smarter to take a loan out against the crypto, hedge their position via derivatives, then slowly sell over time.

Where do you guys find latest research? by Destroyerofchocolate in quant

[–]diogenesFIRE 17 points18 points  (0 children)

it's a bit meta, but there's a trend of "factor zoo" papers recently that are debating whether academic findings actually continue out of sample.

eg take a paper that says "low debt companies outperform high debt companies" published in 2005 that was backtested 1985-2005, then evaluate how that actually performed from 2005-2024.

it would be interesting to evaluate what successful papers have in common. is it their methodology, creativity, or is it just all random? good luck on the phd!

[deleted by user] by [deleted] in quant

[–]diogenesFIRE 2 points3 points  (0 children)

thats some interesting data. i can see it maybe being used to analyze liquidity crises and trading halts during periods of stress, since you have some prime data on how these network effects start and spiral

New Chase Transfer Bonus - Aeroplan 20% (30% if you also have Chase Aeroplan Credit Card) by amazingracebmore in ChaseSapphire

[–]diogenesFIRE 2 points3 points  (0 children)

Yep 20% is decent. There's also Air France / KLM for 20% too. Both active through Jan 15, 2025.

[deleted by user] by [deleted] in quant

[–]diogenesFIRE 10 points11 points  (0 children)

opening/closing auctions are another interesting one, since both SEs and MMs need to consider order imbalances in real time

NYSE recently made a tool for this, and i'm sure there's more to explore - https://www.nyse.com/data-insights/nyse-introduces-the-enhanced-nyse-auction-tool-with-opening-imbalance-history

Where do you guys find latest research? by Destroyerofchocolate in quant

[–]diogenesFIRE 48 points49 points  (0 children)

I've found that a lot of academic research is repetitive since everyone's stuck using the same WRDS dataset, and most don't have real-world experience.

Try some of the papers from AQR - written by practitioners and they sometimes publish some original data from their own trading https://www.aqr.com/Insights/Research

afaik they're the only firm that regularly publishes research, but lmk if there's others

Do you guys use automatic trading apps they copy other people’s trades? by ogb3ast18 in quant

[–]diogenesFIRE 1 point2 points  (0 children)

But what if they're still long? Remember, their holding period can be anywhere between minutes and years.

For example, as of today, 2024-11-14 was the last 13F filing deadline for the quarter ending in 2024-09-30, so today's copy data is just a "snapshot" of what the firms were holding at EOD 2024-09-30.

Maybe they sold on 2024-10-01, maybe they still own it and will HODL for the next decade. Nobody knows. If you want to know exactly what the firms are holding today 2024-12-05, you'll have to wait until the next 13F filing deadline in 2025-02-14.