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A few things that I didn't cover yesterday when I talked about equity factor models (it's a huge area and it's impossible to more than scrape the surface)
1. How do you get the exposure matrix Xt?
There are different ways to estimate it, depending on the factor. Simplest is factors like industry or country exposure where the entries can be 0/1 depending on whether the stock is in that industry/country or not.
Some exposures can be estimated by linear regression on historical data, if you already have a time series which approximates the factor returns. E.g. exposure to the market factor (beta) is estimated this way, by regressing each stock against the S&P 500 (or some other index)
This also works for "macro" factors e.g. you can estimate exposures for each stock to commodity prices, exchange rates, interest rates, GDP or inflation surprises etc by regressing stock returns against the relevant historical time series.
Finally you can have exposures which are heuristically derived from other observable data about the stock, e.g. accounting data, analyst reports, past price movements etc. In this case you find some metric which measures the factor you care about (e.g. price to earnings) and
A few people in the DMs asking about equity factor models so here's a short explainer.
— macrocephalopod (@macrocephalopod) February 2, 2021
Let's make it a concrete problem -- you are the risk manager at a big multi-manager hedge fund with ~100 sub-PMs each of whom has a portfolio of 10-50 stocks, long and short.
1. How do you get the exposure matrix Xt?
There are different ways to estimate it, depending on the factor. Simplest is factors like industry or country exposure where the entries can be 0/1 depending on whether the stock is in that industry/country or not.
Some exposures can be estimated by linear regression on historical data, if you already have a time series which approximates the factor returns. E.g. exposure to the market factor (beta) is estimated this way, by regressing each stock against the S&P 500 (or some other index)
This also works for "macro" factors e.g. you can estimate exposures for each stock to commodity prices, exchange rates, interest rates, GDP or inflation surprises etc by regressing stock returns against the relevant historical time series.
Finally you can have exposures which are heuristically derived from other observable data about the stock, e.g. accounting data, analyst reports, past price movements etc. In this case you find some metric which measures the factor you care about (e.g. price to earnings) and
THREAD: On Jewish Atheism. People frequently ask whether you can be a Jew and be an atheist. When speaking to Jews about atheism, Rabbi Zalman Schacter-Shalomi would famously say “I don’t believe in the same God you don’t believe in.” This is the basis of my answer. 0/
Atheism as we think of it in common popular culture in America is primarily based on a Christian worldview. Atheism in this form is in contrast to Christian views of belief, belief in Christ being the integral key point to Christianity. This is not parallel in Judaism. 1/
In order to be an atheist in Judaism, you have to actively believe something very specific: The materiality of the world as we see it is definitely all there is, without any meaning or purpose. Arch materialists like this certainly exist, but I find them exceedingly rare. 2/
Throughout Jewish history the theology has been incredibly diverse. The idea of a man in the sky pulling the strings has not been prominent for over a millennium. Even Biblically it wasn't the norm. For great Biblical theology, check out this book: https://t.co/tq6tk2OSUj 3/
Classical Rabbinic ideas varied widely. Merkabah Mystics did transcendental journeying for experience of the supernatural realm; Tzadokim denied the supernatural realm; the Mishnah (below) simply said don't go there. Jews always went There, but never settled on what "There" is.4/
Atheism as we think of it in common popular culture in America is primarily based on a Christian worldview. Atheism in this form is in contrast to Christian views of belief, belief in Christ being the integral key point to Christianity. This is not parallel in Judaism. 1/
In order to be an atheist in Judaism, you have to actively believe something very specific: The materiality of the world as we see it is definitely all there is, without any meaning or purpose. Arch materialists like this certainly exist, but I find them exceedingly rare. 2/
Throughout Jewish history the theology has been incredibly diverse. The idea of a man in the sky pulling the strings has not been prominent for over a millennium. Even Biblically it wasn't the norm. For great Biblical theology, check out this book: https://t.co/tq6tk2OSUj 3/
Classical Rabbinic ideas varied widely. Merkabah Mystics did transcendental journeying for experience of the supernatural realm; Tzadokim denied the supernatural realm; the Mishnah (below) simply said don't go there. Jews always went There, but never settled on what "There" is.4/
I woke up this morning really pissed off that I had to write this thread because a senior guy who doesn’t like me very much just happened to write this article about things I was tweeting about and in the process downplayed homophobia and got the story wrong 😡
I’m pissed also at everyone who read that blog entry and walked away thinking, “oh he sounds like a good guy who has been unfairly maligned who should have a space telescope named after him.” Excuse me, what?
Most of you would never been foolish enough in 2021 to say such a thing about a man who sanctioned institutional anti-Black racism but you think that’s an ok message to send to queer people, including Black queer people?
And he’s gonna get away with it too. No matter what I say, that blog entry will keep making the rounds and people will believe it even though it hasn’t been through a formal edit and fact check process.
Next time Hakeem should maybe send me an email rather than write vague, unprofessional personal attacks like: "astrophysicist who propagated unsubstantiated false information as if it were true without performing proper scientific rigor to investigate its veracity"
So let me be really clear: a lot of astronomers believe that new evidence has been uncovered that James Webb has been unfairly maligned as a homophobe. The evidence actually shows:
— \U0001f1e7\U0001f1e7 Ethereal Bisexual Chanda Prescod-Weinstein (@IBJIYONGI) January 25, 2021
- he wasn\u2019t the first homophobe (shock)
- after 1950 he knew about it, was in charge, did nothing
I’m pissed also at everyone who read that blog entry and walked away thinking, “oh he sounds like a good guy who has been unfairly maligned who should have a space telescope named after him.” Excuse me, what?
Most of you would never been foolish enough in 2021 to say such a thing about a man who sanctioned institutional anti-Black racism but you think that’s an ok message to send to queer people, including Black queer people?
And he’s gonna get away with it too. No matter what I say, that blog entry will keep making the rounds and people will believe it even though it hasn’t been through a formal edit and fact check process.
Next time Hakeem should maybe send me an email rather than write vague, unprofessional personal attacks like: "astrophysicist who propagated unsubstantiated false information as if it were true without performing proper scientific rigor to investigate its veracity"
There is very little glamorous about the average western woman. No grace. No subtlety. No shyness, cuteness or warmth. Not sophisticated nor classy.
Coarse, obnoxious, aggressive, and openly, shamelessly promiscuous.
This is what "women's freedom" looks like.
Take a good look.
Perhaps if she had been a little less free to live life on her own terms, she may have retained some of the natural features of femininity that could endear a man to marry her for life.
The moral of the story here is too much freedom is even worse than too little for a woman.
Yes we may denounce the practices of more authoritarian cultures in how they limit their women, and how those women suffer at the hands of abuses of patriarchal power. But at least those women still resemble something that actually looks like a woman. They stay feminine & unugly.
Free women suffer an altogether different abuse, one only comparable to something akin to childhood neglect. Unattended, they lose their warmth and grace in their bid for self-reliance, stripping their femininity bare of all but its ugliest parts.
Free women are feral women.
And a feral woman is what you see in the video at the beginning of this thread.
An unmarriageable husk, an abomination that has all the negative qualities of the feminine, and all of the negative qualities of the masculine, with none of the positives of either
Neglect is abuse.
Coarse, obnoxious, aggressive, and openly, shamelessly promiscuous.
This is what "women's freedom" looks like.
Take a good look.
The ruse is up pic.twitter.com/Wq68n9QIwE
— CCide (@chimericide) January 19, 2021
Perhaps if she had been a little less free to live life on her own terms, she may have retained some of the natural features of femininity that could endear a man to marry her for life.
The moral of the story here is too much freedom is even worse than too little for a woman.
Yes we may denounce the practices of more authoritarian cultures in how they limit their women, and how those women suffer at the hands of abuses of patriarchal power. But at least those women still resemble something that actually looks like a woman. They stay feminine & unugly.
Free women suffer an altogether different abuse, one only comparable to something akin to childhood neglect. Unattended, they lose their warmth and grace in their bid for self-reliance, stripping their femininity bare of all but its ugliest parts.
Free women are feral women.
And a feral woman is what you see in the video at the beginning of this thread.
An unmarriageable husk, an abomination that has all the negative qualities of the feminine, and all of the negative qualities of the masculine, with none of the positives of either
Neglect is abuse.
Hello, gentrified farm & food media.
Get your shit together. Clean up your house.
There are thousands of BIPOC and working-class activists doing the real work of building viable, accessible, long-term food systems.
And y'all prefer to work with actual crackpots over them.
This isn't an isolated event. Joel Salatin has been completely candid about his white supremacy, and the food movement kept platforming him for years. Here's just one journalist talking about how he did so despite Black women repeatedly asking him not
Baker Creek kept platforming very special militant white dude Cliven Bundy until their own customers boycotted them out of
In today's food & justice world: Latine meat plant workers are one of, if not the hardest-hit demographic in the pandemic.
Indigenous communities are scrambling to vaccinate older tribe members to keep their languages from going extinct.
More than 1 in 750 Indigenous & Black Americans have already died from COVID.
https://t.co/yFq67WLZxL
And your response to this horror is… horse around with a dude who makes movies about how it's fake? And tries to overturn free and fair elections?
*That's* what you've got?
Get your shit together. Clean up your house.
There are thousands of BIPOC and working-class activists doing the real work of building viable, accessible, long-term food systems.
And y'all prefer to work with actual crackpots over them.
Just your reminder that Mikki Willis - a COVID conspiracy theorist who was photographed storming the U.S. Capitol - was on the advisory board for @kissthegroundoc until like five minutes ago.
— SOMETHING ELSE. (@SylvanaquaFarms) January 11, 2021
This isn't an isolated event. Joel Salatin has been completely candid about his white supremacy, and the food movement kept platforming him for years. Here's just one journalist talking about how he did so despite Black women repeatedly asking him not
Baker Creek kept platforming very special militant white dude Cliven Bundy until their own customers boycotted them out of
In today's food & justice world: Latine meat plant workers are one of, if not the hardest-hit demographic in the pandemic.
Indigenous communities are scrambling to vaccinate older tribe members to keep their languages from going extinct.
More than 1 in 750 Indigenous & Black Americans have already died from COVID.
https://t.co/yFq67WLZxL
And your response to this horror is… horse around with a dude who makes movies about how it's fake? And tries to overturn free and fair elections?
*That's* what you've got?
For those of you concerned about the "damage" done to the field and academic freedom by the push to cancel transphobes in philosophy, I have this to say
The above is from Gen. Sherman on what is necessary to restore the Union during the Civil War, the sentiment is apt for my position on philosophy: if we are to have an inclusive field and the structure of the field prevents that, then that structure must be destroyed. (2/n)
Now, I understand that this sounds harsh, but consider why it sounds harsh: so much of the pushback against transphobia in philosophy, and the recommendations made to address transphobia in philosophy sounds like "damage" to philosophy by established philosophers. (3/n)
And in response to that perception of damage or destruction, they push back hard to preserve the "integrity" of the field, regardless of the harm being done to the marginalized people who have to survive an inhospitable field that refuses to change. (4/n)
Now, this position was anticipated by Sara Ahmed in the following:
“Indeed so often just talking about sexism as well as racism is heard as damaging the institution. If talking about sexism and racism is heard as damaging institutions, we need to damage institutions.” (5/n)
"We do want and will have an inclusive field of philosophy. That we will have, and, if it involves the destruction of your departments and institutions, we cannot help it."
— Dr. Johnathan Flowers says "Fuck your Democracy." (@shengokai) January 13, 2021
The above is from Gen. Sherman on what is necessary to restore the Union during the Civil War, the sentiment is apt for my position on philosophy: if we are to have an inclusive field and the structure of the field prevents that, then that structure must be destroyed. (2/n)
Now, I understand that this sounds harsh, but consider why it sounds harsh: so much of the pushback against transphobia in philosophy, and the recommendations made to address transphobia in philosophy sounds like "damage" to philosophy by established philosophers. (3/n)
And in response to that perception of damage or destruction, they push back hard to preserve the "integrity" of the field, regardless of the harm being done to the marginalized people who have to survive an inhospitable field that refuses to change. (4/n)
Now, this position was anticipated by Sara Ahmed in the following:
“Indeed so often just talking about sexism as well as racism is heard as damaging the institution. If talking about sexism and racism is heard as damaging institutions, we need to damage institutions.” (5/n)
The "hope" that @krishgm mentions is forlorn, in this case.
A thread in which I prove (using ONLY published Pfizer trial data) that the UK CMOs and JCVI have not so much ignored the science, as left it bleeding at the roadside.
Intrigued?
Read
From the moment, the decision was announced to delay 2nd vaccine doses, I've felt uneasy.
This is not my field of expertise, but I trained as a scientist (two chemistry degrees), worked professionally in IT, and understand the importance of testing.
My principal concern was about the Pfizer vaccine.
As vaccines go, it's "new tech", the first mRNA vaccine and the results are stunning.
Perhaps one should be cautious about deviating from a clinical trial procedure, at least until there is greater experience of mRNA vaccines?
I've been investigating this for over a week and haven't been able to sleep properly since I started.
At best, the 12 weeks strategy was based on one critical assumption, namely that the 2nd dose has NO effect on efficacy in the first 7 days after it is given.
And if it did?
My journey started with a friend pointing me towards an article in @bmj_latest which indicated that a single dose of @pfizer vaccine had an efficacy of
A thread in which I prove (using ONLY published Pfizer trial data) that the UK CMOs and JCVI have not so much ignored the science, as left it bleeding at the roadside.
Intrigued?
Read
The trial data said that after a single dose of the Pfizer vaccine coverage was 52%. Six days after the second dose that rose to nearly 91%. The new policy to delay 2nd dose is based on the idea that the 91% was in fact due to the first dose. We must hope that is true.
— Krishnan Guru-Murthy (@krishgm) December 30, 2020
From the moment, the decision was announced to delay 2nd vaccine doses, I've felt uneasy.
This is not my field of expertise, but I trained as a scientist (two chemistry degrees), worked professionally in IT, and understand the importance of testing.
My principal concern was about the Pfizer vaccine.
As vaccines go, it's "new tech", the first mRNA vaccine and the results are stunning.
Perhaps one should be cautious about deviating from a clinical trial procedure, at least until there is greater experience of mRNA vaccines?
I've been investigating this for over a week and haven't been able to sleep properly since I started.
At best, the 12 weeks strategy was based on one critical assumption, namely that the 2nd dose has NO effect on efficacy in the first 7 days after it is given.
And if it did?
My journey started with a friend pointing me towards an article in @bmj_latest which indicated that a single dose of @pfizer vaccine had an efficacy of