Each Sunday I compose a list containing 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/Notes
Is Value Just an Interest Rate Bet? by Cliff Asness.
”It is not the level of earnings that affects duration, it is the time shape, and the only way to really affect the time shape enough to seriously move duration is to make assumptions of large and extremely long-lasting (way more than 5+ years out) growth differentials that historically do not exist.”
”If they believe that, it then follows they also believe growth stocks are considerably longer duration than normal relative to value stocks (recall that the unicorn was the only way to get any decent duration difference, though even there it’s less dramatic than many assume). Thus, if we are in a bubble, the very same bubble driving price differentials could rationally (rationally in the sense of consistent logic only after very irrational assumptions about growth) be expected to cause value to trade more correlated to interest rates than usual. Thus, a duration effect could arise from investors’ (temporarily exaggerated) belief in long-term growth differentials, even if only near-term growth differentials are likely to materialize. In other words, the very high (tech bubble level) prices being awarded to growth versus value stocks, and the realized correlation of value versus growth and interest rates, could easily be the same bubble showing up in different ways. That, or random chance – everyone’s least favorite explanation, but often the right one.”
Writings/Essays
Pygmalion Now? The Case of Sophia, the Humanoid Robot by Anna Danielewicz-Betz.
”With the ongoing technological advancements in social robots, and artificial intelligence (AI) generally, it may be possible to speak of ‘networks of desire’, whereby acts of human love, desire, and association (including mutual affection, and intimate relations) come to include a variety of interconnected pleasure-driven relations. According to this view, we no longer tend uncritically to regard the technological ‘Other’ merely as a tool to be used, but as something we could potentially form bonds with, show affection towards, or even be touched by, in an intimate manner.”
Do Good Traders Vary Bet Size? by Brent Donnelly.
”The reason that could be wrong is that the idea is only sensible if there is a known, positive relationship between confidence and accuracy. If your highest conviction trades have the same hit ratio as your ‘I’m not totally sure on this one!’ trades… There is no reason to vary your bet size.”
In Praise of Boredom by Jemima Kelly.
”This was the kind of stretching-out of time that modern life only rarely affords. But it was only once the ordeal was over — and memories of the Catholic masses I’d been dragged to as a teenager had subsided — that its unusualness struck me, and I noticed that my feelings of pleasure were now intensified. How the river glistened in the morning sunshine! How wonderful to be alive and free and on holiday!”
On the hedonic treadmill, thin desires and why traditions (behavior) prescribed by organized religions (Lent, Yom Kippur, Sabbath, Ramadan) trumps secular reductionistic reasoning.
Podcasts/Conversations
Russ Roberts and Mike Munger on Wild Problems, EconTalk.
William MacAskill on Effective Altruism, Moral Progress, and Cultural Innovation, Conversations with Tyler.
Agnes Callard: Socrates, Founder of Conceptual Literacy, Meditations with Zohar.
Daniel Lieberman on Evolution and Exercise: The Science of Human Endurace, Complexity by the Santa Fe Institute.
Hari Krishnan – Market Tremors & Tail Hedging, Flirting with Models.
2022 – Year of Unusual Volatility? with Wayne Himelsein, The Mutiny Podcast.
Using the Laws of Trading to Find Our Edge with Agustin Lebron, The Derivative.
Long vol, short prediction models 