Mateo

Family Office PM 🇨🇴🇺🇸

[Mateo @mat_tye]

Quite possibly the best podcast I’ve ever heard on portfolio optimization and optimal asset allocation. Required listening for any serious investor or allocator. Well done @TopTradersLive. https://t.co/9jvORPUSON

[Mateo @mat_tye]

Working paper on cross-asset HMMs for market regime detection. Clever bit: adding HY credit spreads pushed COVID-crash lead time from 23 to 141 days — credit markets front-run equities when institutions de-risk.

Methodology is rigorous (BIC selection, walk-forward OOS). What I'd push back on: the 141-day figure is n=1, and the 2022 rate shock gave only ~2 days notice. Walk-forward Sharpe barely beats buy-and-hold (0.881 vs 0.859).

The real benefit is drawdown protection (-17% vs -34%) at the cost of ~400 bps CAGR.

Still worth reading.

https://t.co/CSq2jGlmY0

[Mateo @mat_tye]

More data is not always better, at least according to a new SSRN paper by Barrera & Alcantara-Lopez. Two things stood out to me:

1) More data isn't always better; The authors found that 1-2 year lookback windows for beta estimation had better explanatory power than longer windows. Older data adds noise from regimes that no longer apply.
2) Most don't need six-figure software to do institutional-quality risk analysis. Their 2-factor model built with yahoo finance data captured most of the explanatory power of commercial products (like Barra).

https://t.co/lutQNy6ypY

[Mateo @mat_tye]

We track a momentum scoring model daily. Amazing to see energy (XLE) moving like a crypto asset over the last month.

[Mateo @mat_tye]

Interesting paper on AAM — basically says: stop forecasting returns, just avoid risk when it shows up.

It works. Left tail is almost eliminated.

But so is a lot of the right tail. Returns are pretty muted.

As constructed, not super practical. But add position caps, maybe some leverage, smooth the inputs… and it starts to look like a really solid overlay.

https://t.co/QnEO6tJ6UX

[Mateo @mat_tye]

S&P 500 Quant Rank top 20 listed below. Ranked on 19 factors across 6 core themes (Value, Quality, Size, Price Momentum, Fundamental Momentum, Low Vol). Each stock's percentile rank on every factor is averaged into one score; lower = better. Not a recommendation, just where the model sits.

[Mateo @mat_tye]

@RealEmirHan In the Pilot episode….incredible

[Mateo @mat_tye]

@nkozyra @DanelYang @dieworkwear @WSJ Yep for realz

[Mateo @mat_tye]

@DanelYang @dieworkwear @WSJ Correlation vs causation something something. You probably wouldn’t understand.

[Mateo @mat_tye]

@dieworkwear @WSJ COVID recovery, Derek

[Mateo @mat_tye]

@PtrPomorski 🙄😂

[Mateo @mat_tye]

@AahanPrometheus @JackFarley96 @ForwardGuidance @adamtaggart @JuliaLaRoche @MichaelKantro @TopTradersLive is great, highly recommend

[Mateo @mat_tye]

@AahanPrometheus I’m subscribed to you both, like any responsible allocator should.

[Mateo @mat_tye]

@R129159R @BowTiedColombia @SomosGlobal66 I’ll check that out, thanks

[Mateo @mat_tye]

@DailyIranNews 😂😂

[Mateo @mat_tye]

@EsTendenciaEnX Fight or play basketball, not this garbage.

[Mateo @mat_tye]

@GoshawkTrades Great book. Buy it with their quant value book, too.

[Mateo @mat_tye]

@TheFlowHorse Is 50 too old to start ?

[Mateo @mat_tye]

@Iberianamerica @neverliquidated Oh no you didn’t