Harris

[Harris @char_eth]

Simpler life
Focus
Breath
Peace
Sense of urgency
Systematic
Better than yesterday
“No” as default
Physical and mental health
Be kind, positive and loving
Long term thinking
Asymmetric and leverage
Bring positive influence

[Piotr Pomorski @PtrPomorski]

Why does nobody care about calmar ratio when everybody wants to see as little MDD as possible? Same with sortino when sharpe penalises you for positive vol (though here I can understand it's to tame your upside expectations). And don't get me started on ulcer index (not for HFT)

[Stat Arb @quant_arb]

Best ways I’ve come up with initial alpha ideas.

A thread 🧵

…

[Stat Arb @quant_arb]

Making alphas relative.

A thread 🧵

…

[Goshawk Trades @GoshawkTrades]

90% of traders fail due to a lack of edge,

When they thought they had one.

Here's how to identify and prove your edge with these 7 tips:

[Stat Arb @quant_arb]

Assorted tricks for Python trading algorithms!

A thread 🧵

[1/N]

[Stat Arb @quant_arb]

Beginner mistakes in quantitative research.

A thread 🧵

[1/N]

[Corey Hoffstein 🏴‍☠️ @choffstein]

Staying on trend
Designing an algorithmic trading strategy

Highlighting some new research from SocGen

[iamyourtailevent @phoenixstealthy]

Questions for the quants :

Sharpe ratio + R2 + max drawdown (or mc max drawdown compute) on equity curve are complementary metrics, and these three are enough to capture the overall value of a strategy ?

Would you exclude or add a new one ? Are you ok with that ? Many Tks !

[Harris @char_eth]

One should make his decisions within the space of seven breaths - book of the samurai

[Jackson @sheng_invest]

轉自臉友 ping ang

不只值得台灣政府學習，如果是用在經營一個家庭，這種憂患意識也值得每個人深思。
——

最近新加坡媒體專題報導新加坡的儲備金(reserve)
我的理解就是金庫
採訪李顯龍他怎麼看新加坡的儲備金和投資策略
裡面包含很多東西太雜了我就不寫了
比較讓我訝異的是

新加坡一年透過儲備金賺的投資收入佔了國家收入的五分之一!
(PS: 這邊用詞不精準，後面會再修正)

還比個人所得稅/ 企業所得稅/ 消費稅還要高
李顯龍說如果沒有這個投資收入
新加坡的個人所得稅/ 企業所得稅/ 消費稅都會大幅提升
個人所得稅上限可能就要從21趴變成42趴
企業所得稅上限可能要從17趴變成34趴

以前都不知道為啥新加坡這麼有錢
為什麼所得稅可以這麼低
或許這就是原因！？

以2021來說
投資收入:20.36b SGD(4782億 TWD)
企業所得稅:18.2b SGD(4274億 TWD)
個人所得稅:14.2b SGD(3335億 TWD)
消費稅:12.63b SGD(2966億 TWD)
2021總收入是82.49 SGD(1.9374兆 TWD)

這個投資收入正式名稱叫做
NIRC(Net Investment Returns Contribution)

NIRC由兩個東西貢獻 :
Net Investment Returns + Net Investment Income

1. 新加坡(GIC, MAS,Temasek)的淨投資回報最高抽一半

Up to 50% of the Net Investment Returns (NIR)
on the net assets invested by GIC, MAS, and Temasek

MAS:金融管理局(中央銀行)
TEMASEK:淡馬錫控股
GIC:新加坡政府投資公司

TEMASEK和GIC是新加坡的投資單位
在全球投資股票債券房地產等等
把賺到的錢
至少一半存到國家的儲備金
其他拿來當作預算花

管理的資產大小：
MAS:313b USD
TEMASEK:287b USD
GIC:>100b USD(具體數字沒透露)

2. 新加坡儲備金(金庫)的淨投資收入最高抽一半
Up to 50% of the Net Investment Income (NII)
derived from past reserves from the remaining assets.

為什麼最高只能從這兩者中抽一半
因為要把投資賺來的錢至少一半放進儲備金
以備不時之需

其實一開始儲備金的投資收入只有 Net Investment Income
(這裡的income是指從儲備金投資賺來的股息和利息)
而沒有 Net Investment Return
李顯龍說如果投資只注重股息和利息
就會失去股票漲很多但沒給啥股息的投資標的

應該要在意的10年的報酬而不是1~3年的報酬

李顯龍說儲備金就像是
新加坡多一張牌可以出
新加坡過去歷史只拿了兩次儲備金
一次是2009年金融危機拿了4.9b SGD(3.6b USD)
一次是2020-2022年疫情拿了40b SGD(29.4b USD)

當初李光耀為了不讓
後人輕易地拿這筆儲備金
所以要拿這筆儲備金必須讓總統和其委員會同意
總統和其委員會有權力否決動用儲備金

對李顯龍來說他覺得儲備金永遠沒有"夠"的時候
因為永遠不知道極端情況發生時
會需要多少錢

所以策略就是
正常情況不從裡面拿
就每年丟一些透過儲備金賺到的錢進去
極端情況(09金融危機/22疫情)才去使用
但也不是想拿就拿
得要總統和其委員會同意

不過李顯龍因為國家安全因素
拒絕透露新加坡到底有多少儲備金

GIC(新加坡政府投資公司)一開始成立是因為
MAS(金融管理局aka中央銀行)有多的錢
但是MAS的角色不適合當fund manager
MAS的目的是要穩定匯率
所以才成立GIC

GIC跟TEMASEK都是全球投資
GIC 2023投資的區域
35趴在美國
23趴在亞洲(排除日本)
9趴在歐洲(排除英國)
6趴在日本
4趴在英國

以投資策略來說
GIC的角色比較像是防守
TEMASEK的角色比較像是進攻(更高報酬)

GIC的投資標的
60趴是股票
40趴是低風險的投資(債券/房地產)

TEMASEK的話
標的全部都是股票
2002年決定開始投資新加坡之外的地方
到2023海外的投資比例不斷上升
現在是70趴海外30趴新加坡

[Bob Elliott @BobEUnlimited]

Hard to decipher what hedge funds are doing from 13fs. At @UnlimitedFnds we use our tech to infer HF positions in close to real time. Saw macro funds pick up their commodity longs just ahead of this recent rally.

Cool to talk about what we’re seeing today on @CNBCOvertime:

[Harris @char_eth]

Trend following always works. It’s timeless.

[Harris @char_eth]

Some thoughts on trend following:

Trend following is to create the highest risk adjusted return within the constraint of our client. TF strategies are trying to create something that on average does well in really bad times without costing you a ton.

[Harris @char_eth]

Buying an insurance in a form of puts forever is a very large negative expected return strategy, and trend following is a modest positive expected return strategy. Therefore it’s an “imperfect” protection with negative cost. PLUS…

[Christina Qi @christinaqi]

“Risk is randomness that you can parameterize. Uncertainty is randomness that you cannot. The best opportunities come from taking on uncertainty, not risk.” - Andrew Lo

[Harris @char_eth]

still a legend

https://t.co/lSPmgIHmoC

[Harris @char_eth]

Always know who's on the otherside of the trade

https://t.co/StZUOwc1b9