Yustache

A one-legged man in an ass-kicking contest. I am the 3rd man to rise from the grave after Lazarus and Jesus.

[No Context Brits @NoContextBrits]

This man was a visionary.

[Oh Canaduh @CanaduhOh]

Canada has two seasons:

[Yustache @Yustache]

@ngendapatrick Sawa😂

[Yustache @Yustache]

@ngendapatrick 🤣🤣 ndaha mubi

[Yustache @Yustache]

@rodriga25 @yigenga @UmunyakaramaM @ngendapatrick Haha nta nzigo dufise nukuri,turabakeje ku ntsinzi😂

[Made In Canada @MadelnCanada]

Only in Montreal do they make a Stanley Cup replica out of city construction cones 😂🔥

[Barron's @barronsonline]

Meet the Newest Tool of Economic Policy: The U.S. Navy. https://t.co/nY3H6WhRlA

[Christine Lagarde @Lagarde]

. @MarkJCarney was once a rock star central bank governor.

In his current role as 🇨🇦 Prime Minister, he is working to reinvent multilateralism.

I was delighted to write a piece for
@TIME reflecting on why he is one of the world's most influential people https://t.co/WJ3QuSTDjI

[Douglas A. Boneparth @dougboneparth]

So if Iran decides to blockade our blockade of their blockade, we will just have to blockade their blockade of our blockade blockading their blockade.

[addam @addammy1]

#Breaking A Conservative MP has crossed the Strait of Hormuz

[Domino's Pizza UK @Dominos_UK]

just had Morocco come in and collect Senegal’s order

[Reuters World @ReutersWorld]

Fitch revises Rwanda's outlook to 'stable' on easing regional security tensions https://t.co/MPBb8jihmy https://t.co/MPBb8jihmy

[Yustache @Yustache]

If your name is Kelly and you work at @Kigali_Memorial please reach out #RwOT

[Nassim Nicholas Taleb @nntaleb]

Testing reveals speed, not depth. Real life is about depth.
RIP Jim Simons

[Yustache @Yustache]

😀

[Clifford Asness @CliffordAsness]

TL;DR version: Learn how to do performance evaluation 101 or at least read up on those you're going to attack to see how to do it: https://t.co/IYIiNZ3cWt

Now the much longer and angrier version.

Gee some bad and nastily personal “analysis” (multiple tweets implying hypocrisy) from someone selling a twelve-minute old statistical futures-based replication product. Shocking.

This is bad analysis in multiple ways. Gross returns on both? Not even sure where you get those. I get somewhat different numbers using the net returns that are out there, and that I would think anyone would use? But that’s not a huge difference (though guess which direction it goes?). The bigger thing is the superficiality of the analysis. It’s almost like it was intentionally superficial to fit a predetermined sales pitch.

Among a whole bunch of things wrong, in particular we have noted many times that the SG index has a fair amount more long-term equity beta than we have (we believe this is because many have added carry-like strategies over time trying to improve returns over the desultory 2010-2021 period). Instead, we believe we have improved in ways that preserved convexity (carry is concave). In other words, we didn’t just add beta to try to make returns better like we believe many did. Long carry/beta “works” for that purpose it’s just not the point of managed futures. Our key improvements involve chasing not just past price trends but also past relevant fundamental trends for each asset (“economic trend“) and extending the universe to harder-to-access markets and strategies (“alternative trend“). We have written on this idea of improving trend following without taking on passive beta, the taking on of which again ruins much of the point of trend (https://t.co/IYIiNZ3cWt). But, alas, researching us carefully and actually reading our stuff before launching a hit tweet wasn’t on the menu!

Hint, look at alphas vs. the stock market — a big part of the point of trend following or any alternative asset. Look at it for us and for the SG index over the whole period. Look at Sharpe ratios (which is unfair to us as an index of managers gets impossible diversification — no, sorry, replication won’t do it — but look at Sharpes anyway even if we’re at a disadvantage both due to this diversification effect and, as I just said, many in the SG index adding carry / stock market exposure — which is positive Sharpe and will improve Trend stand alone but, again, that is not the point of trend). Better yet, look at the IR (residual Sharpe) relative to the stock market. Do it for AQR and for SG. Take the difference between the two and regress it on the stock market over the full period. This is like “performance evaluation 101.” Or, in fact, don’t do it yourself just read our piece which one would think you’d have done before coming at me by name. Or forget the whole thing and don’t look at any real performance analysis / risk adjustment and just hurl superficial stats that fit your marketing story while braying about how others do that.

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[Yustache @Yustache]

@ChristianNgan Du courage, frère.

[Bank of Canada @bankofcanada]

We have lowered our policy interest rate to 2.25%

Learn more: https://t.co/C7my5oFsAN

#economy #cdnecon

[Bank of Canada @bankofcanada]

Bank of Canada lowers policy rate to 2¼%

https://t.co/C7my5oFsAN

#economy #cdnecon