Each Sunday I compose a list of the most thought-provoking and interesting content I’ve consumed during the past week. Primarily as a way to keep inventory of material that influenced me and my way of thinking.
Papers
Diversifying Diversification: Downside Risk Management with Portfolios of Insurance Securities (2020) by Vineer Bhansali & Jeremie Holdom.
”We find that even though optimization of the insurance security basket might marginally improve the performance in cherry-picked scenarios, a simple approach of equally risk weighting insurance securities in a portfolio does just as well on average, and increases the reliability of diversification in mitigation of downside risk.”
I use a variation on this, looking for insurance where I perceive relative value and overweigh in relation to 1) the value and 2) to what extent I’m in need of hard anti-correlation. For instance, I might buy a bear put spread against an out right underlying index in an environment of high skew but opt for a currency pair with an assumed trajectory in the event of a major sell-off as my convex vehicle of choice if the value proposition is right.
Hanlon’s Razor (2021) by Nathan Ballantyne & Peter H. Ditto.
”Situations, topics, and questions that do not necessarily concern morality become ‘moralized.’ And even when issues do have legitimate moral aspects, people are too harsh in their judgments of opponents’ moral character. Consequently, people often mistakenly attribute their opponents’ thinking and behavior to moral defects, rather than to differences in evidence, reasoning styles, or other epistemic factors.”
Writings/Essays
Philosophy of My Faith by Ljiljana Radenovic.
”The most important aspect of the concept of hinge commitments is that it gives us a way to think about our religious beliefs. Since our empirical beliefs need to rest on the grounds that cannot be (empirically) supported further, our faith rests on such grounds that cannot be proclaimed irrational after all. This insight was advanced by J. H. Newman in his Grammar of Assent (1870) and had a profound impact on Wittgenstein when he was writing On Certainty.”
Did I Miss the Value Turn? by Rob Arnott, Vitali Kalesnik & Lillian Wu.
”The bottom line is that even after value’s recent partial rebound, the strategy in most regional markets is still priced at very attractive valuations. In the US and developed markets, value discounts have only been cheaper at the very height of the tech bubble and during the summer of 2020. When most other liquid asset classes are priced to generate negative or near-zero real returns, only equity value strategies are priced to generate long-term real returns higher than 5%.”
Vaccine Mandates are a Systemic Risk by Joe Norman.
“My dad threw me into every sport you could imagine.” by David Epstein.
The Experts Somehow Overlooked Authoritarians on the Left by Sally Satel.
‘It’s Become Increasingly Hard for Them to Feel Good About Themselves’ by Thomas B. Edsall.
Podcasts/Conversations
Rob Henderson on Sex and Dating Apps, The Jordan B. Peterson Podcast.
Amia Srinivasan on Utopian Feminism, Conversations with Tyler.
Tobias Carlisle on Philosophy of the Markets, Infinite Loops.
Long vol, short prediction models 