Ryan Sands

Investors? Possibly you!

[Ryan Sands @imshortgamma]

ELE - Everybody Love Everybody

[Ryan Sands @imshortgamma]

Microsoft excel is an esport…

[Ryan Sands @imshortgamma]

It’s all one giant basis trade

[Ryan Sands @imshortgamma]

Be hungry, yet humble

[Ryan Sands @imshortgamma]

Vix calls are trading cheap compared to the intraday variance we’ve been seeing as of late

[Ryan Sands @imshortgamma]

It’s a simple game of liquidity preferences and opportunity costs.

[Ryan Sands @imshortgamma]

Term premia in rates is starting to turn positive. Significantly positive real term premia means that stocks just look all the more unattractive in this environment.

[Clifford Asness @CliffordAsness]

Never again. Again.

[Ryan Sands @imshortgamma]

@InverSistem @NomadicSamuel Super tax inefficient with svol, it makes sense if you’re replacing a credit exposure but to be a main equity exposure, eh

[Ryan Sands @imshortgamma]

Like just look at Japanese stocks this year, hedged yen is phenomenal, unhedged, mediocre. A CTA that is overweight in fx exposures would’ve done a great job at dynamically doing the currency hedge for you.

[Ryan Sands @imshortgamma]

Systematic macro funds and CTAs act as a great currency hedge for foreign equity exposure, instead of statically hedging x% currency exposure

[Ryan Sands @imshortgamma]

@choffstein @OmniBubbleBear @NomadicSamuel @thinknewfound @InvestReSolve @returnstacked Also just give them less than a dollar if you want less than a dollar of exposure, @choffstein is just making it accessible.

[Ryan Sands @imshortgamma]

Add in a multitude of other complimentary factors like fundamental macro and expected variance in the underlying, then aggregate them into z-scores. This is a pretty solid cross-asset portfolio. Doesn’t have to be static risk; rather, dynamic where you scale with expected return

[Ryan Sands @imshortgamma]

integrated cross-asset style premia models like trend, carry, and value act as the numerator for expected returns. Whereas defensive/quality/low risk; acts as the denominator in determining expected risk adjusted returns

[Ryan Sands @imshortgamma]

Just like how expensive vol might not necessarily be a sale. If the spread is not juicy enough between some forecast of realized. I think a better way of measuring value spreads is that implied-realized valuation thinking.

[Ryan Sands @imshortgamma]

If you think about price multiples as a sort of growth premia, and measure the expected growth premia vs real growth; then value is not just necessarily low multiples. Rather, some sort of spread between implied growth multiples and some sort of realized.

[Ryan Sands @imshortgamma]

@HML_Compounder @SpencerMoslow @markcecchini Room for both, private equity and vc is still a growth play, it’s purely a multiples trades, it should go in an equity bucket not an “alts” bucket. Private credit is more interesting because of flexible covenants and little duration exposure.

[Ryan Sands @imshortgamma]

@CliffordAsness

[Ryan Sands @imshortgamma]

what can you do with a drunken sailor. You can recreate AQR's style premia fund with etfs with a 42% R^2 lol

[Ryan Sands @imshortgamma]

*40% R^2; also didnt lever to the same vol but you get the gist

[Ryan Sands @imshortgamma]

@darjohn25 Yea this took me a couple years to learn, rich vol is not necessarily a sell, it’s about your vrp signal in proportion to variance of volatility