Sylvain Leroux

You can find me behind my keyboard, reading, programming, or trading equities and then losing my profits in the crypto market

[Sylvain Leroux @SylvainReloaded]

@RahulSetty_ @RTelford_invest " [...]overconcentration or oversizing (a little can go a long way); a general willingness to average down but not up."
🙋‍♂️

Two major investing issues (for me at least) summarized in one sentence. Position sizing and position adjustment when situation changes. Ideas? Suggestions?

[Rahul Setty @RahulSetty_]

Taking some time to reflect on my experience investing in microcaps & nanocaps, and have whittled down my poor performance in them specifically for the following reasons:
(1) buying value traps or cyclicals that screen cheap due to peak revenues & margins (bad business analysis)
(2) overconcentration or oversizing (a little can go a long way); a general willingness to average down but not up
(3) selling due to boredom or impatience, leading to errors of omission

My biggest takeaway is to not average down, use a basket approach picking with strong fundamentals/business momentum, and size in a way where one can hold without getting shaken out. Ideally, I want a company that can multibag, so ability to scale, optionality, trust in management, etc are key considerations, too.

What has been your experience with microcaps?

[Natan @nataninvesting]

What are you buying today guys?🩸

[Sylvain Leroux @SylvainReloaded]

L'ADAN (@adan_asso) a récemment publié son "Rapport 2024 sur la fiscalité et la comptabilité des crypto-actifs".

Passionnante lecture. Manque peut-être des pistes pour la simplification du calcul des plus-values.

Un commentaire en ce sens sur LinkedIn.

https://t.co/aD5SLQd7wJ

[Sylvain Leroux @SylvainReloaded]

@CarolineConnan @YouTube Fun fact: YouTube's automatic CC translates "Macron" as "Merkel" on several occasions in the course of the video.

It looks like AI definitely has foresight powers here.

[Caroline Connan @CarolineConnan]

French Election Results: Left-Wing Coalition Wins, Now What? https://t.co/yTdQPHNJ33 via @YouTube

[Abigail Doolittle @TheChartress]

Bitcoin may fall to $40K, here's why $XBT

[Kris Sidial🇺🇸 @Ksidiii]

I get this question a lot. Equity volatility is our area of expertise, so I will focus on that.

When looking for a tail risk hedge, the first thing to consider is whether you have any direct exposure to a single asset. For example, if your entire net worth is in $AAPL stock, you should secure a specialized hedge that is directly correlated to that asset.

Most investors have broad market exposure and are concerned about their portfolio and the global market if the S&P drops by 20% in a few months or weeks. If that is the concern, I personally believe a good equity tail hedge consists of three components:

Puts in the S&P Complex: You want to ensure you have something that will offset your exposure directly without any basis risk that could occur. Investors understand the concept of tail risk but are sometimes unaware of some operational tail risks. In the past, we have seen certain products (ETPs) not perform as expected (think VXX/TVIX), exchanges temporarily shut down, trading gets halted in certain names, and orders get clipped. When volatility is high, unexpected events can happen, so it’s beneficial to have something directly inversely correlated to what you are hedging against.

Calls in the VIX Complex: VIX represents variance, which is volatility squared. All this means is despite the market forward pricing elevated skew, during market stress, convex exposure in this complex will perform exceptionally well. Having some exposure here will significantly accelerate returns when the market is in turmoil and the whole surface becomes flat.

Puts on Low Vol ETFs: This is a bit controversial, but I believe you should always carry some derivatives on assets with extremely low volatility. Options that the market almost prices to zero are ideal. Don't try to get cute with it, just think about downside areas that have the cheapest vol (tenor adjusted). If you are hedging for a tail event, you are ultimately hedging against correlations going to 1. When correlations go to 1, assets that were trading at an 8 vol and priced at .02 can easily reprice to a 30 vol and trade at 1.00. Historically, some of the biggest returns from market crashes came from the repricing of risk in low beta names that the market did not believe would decline. Some of the underlying assets did not suffer significantly, but the repricing of risk in the derivatives market still resulted in substantial returns.

The philosophy we have at Ambrus is to think about a healthy mix of this type of exposure across 1M - 6M Vega that is dynamically monitored and balanced on a second-by-second basis, posting liquidity across different areas of the surface where we see "value".

[Sylvain Leroux @SylvainReloaded]

@CreightonLange @MarcTouati Effectivement. Merci pour vos réponses. 🙏

[Sylvain Leroux @SylvainReloaded]

@william9in @BrianFeroldi To use stop-losses or not to use stop-losses?

I noticed I tend to place my stop-loss orders such that they exit position at the lowest price, in a sense "locking in" my losses. OTOH, it doesn't feel sane not to plan in advance a fail-safe exit strategy. 🤔

[Frederik Ducrozet @fwred]

🇫🇷 Cutting through the noise of the next few days:
- either a broad coalition can be formed that is not going to face a blocking majority
- or chronic instability may require the president to resign
With that in mind, watch out for the candidate for PM picked by the NFP.

[Sylvain Leroux @SylvainReloaded]

@CreightonLange @MarcTouati Sur le long terme j'y verrais des perspectives bien sombres mais au moins on éviterait le chaos imminent.

[Sylvain Leroux @SylvainReloaded]

@CreightonLange @MarcTouati Finalement, Creighton, votre analyse serait le scénario du "moins pire". On pourrait même en venir à envisager la reconduction de G. Attal—et hop! On continue comme si de rien n'était.

[Sylvain Leroux @SylvainReloaded]

@francoisfleuret @belliott4488 I wonder if we can find online those old "math moderne" manuals. They probably have fallen into the public domain, or am I wrong? 🤔

[Sylvain Leroux @SylvainReloaded]

@francoisfleuret @belliott4488 I was a kid in France in the 70s. Actually I have pretty pleasant memories of the "math modernes", esp. regarding initiation to set theory.

My son is 11. What he has learned at school regarding math is pitiful.

[Quantitativo @quantitativo1]

Check the link for the implementation details* and the whole thought process to create it:

https://t.co/VcGcLmwPH7

[Quantitativo @quantitativo1]

The 2.11 Sharpe mean-reversion strategy revisited:

- 26.4% annual return in 25 years
- 4x the annual return of benchmark (S&P 500)
- 98% exposure by trading multiple instruments
- 149 trades/year @ 62% win rate, 0.82 profit factor

🧵 Here's how it works...

[Quantitativo @quantitativo1]

The higher the volatility, the bigger the edge in this mean-reversion strategy.

This is an interesting observation in the study to be shared tomorrow

🧵After classifying all events by the quintile they belong with respect to the Normalized ATR, this is what we found...

[Sylvain Leroux @SylvainReloaded]

@FokusInvestor @RTelford_invest @jposhaughnessy @P123Finance I must admit I can be a bookaholic sometimes, reading everything I can find on a topic.

I like technical books, but their content does not easily turn into actionable advice. I don't like entry-level books that repeat the same "old wisdom" or promise unattainable results.

[Ryan Telford @RTelford_invest]

🧵A lot of chatter and debate recently on the value reading books 📖 , and if there is any value.

Here are some of my thoughts and picks.

Investing books of value to me are either:
1. Classics
2. Niche specific
3. Non-investing
4. Not books (papers, blogs, research)