PM @ LRT Capital - Always be optimistic.
Austin, TX
Joined April 2009
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LRT Global, Sep 2026: +6.94%; +38.23% YTD; +25.18% since inception. All numbers net. More at lrtcapital.com
Radical business idea: a fitness center / gym in Europe but with free water fountains. Raising at 30b EUR valuation now. DMs are open.
I look at X and all I read about is something about a stock “massacre”, historic degrossing, etc. S&P500 is off 157bps from its all time high. Get a grip people.
Profitable ideas are table stakes. Portfolio construction is how a modest edge turns into a profitable strategy or a total disaster - if not done right.
Lukasz Tomicki retweeted
Thank you for the review.
europeanreviewofbooks.com/th…
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The Theranos CEO and convicted fraudster reveals all — or possibly fools the world again — in a shocking, hilarious, sad film from Nathan Fielder and Lance Oppenheim.
Tap here for our film review: ft.trib.al/v0lJrdr
What are the odds of the R2k ending the year in negative territory? My guiding philosophy is that markets will do whatever will hurt the most people the most. I think the value / quality / Bill Ackman / Fundsmith implosion has room to run. No disrespect to anyone.
Since you are all so easily triggered, let me confess another unpopular opinion: America has the best food. In any decent sized US city you have more variety and quality options available than in all but a few European cities (London, Paris). Greek food is great in Greece, but try getting good Thai there. Or a decent hamburger in Croatia. Or sushi in Poland. In Austin, TX (and there are even better places than Austin - I just use it as an example of a mid-tier city), we have more variety of high quality options than almost anywhere in Europe. And you can get a wide variety of the best quality ingredients between WF, Central Market and various specialty stores. You can go out, get delivery, catering, easily have a private chef, etc.
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Every time I go to Europe I feel better about the prospects for America. A few thoughts:
Lukasz Tomicki retweeted
There are a legion of posters now putting out AI quant trading models. Most are crap.
Here’s a quote from this post: “Betting Against Beta, a classic from every textbook: minus 7.78% a year while the market rose 14.86%. A corpse.”
Of course I can’t find how it’s constructed or what period he’s referring to (or what paper he claims to base this design on).
Welp… There is no period starting from today and looking back any decent amount of time that has BAB significantly down (available on our website). It’s been flattish in the USA for a bit but still good global ex USA. Its long-term record is still great. The chief challenge to BAB comes from Robert Novy-Marx where he says it’s empirically subsumed by the profitablity. This is an interesting debate (we still prefer a portfolio of both, partially as the economic story for BAB is better than the one for profitability). Again, economics not just AI. Economics with AI can be super powerful. AI w/o economics, or any understanding of the literature, in a “small data” problem like investing *at all by high frequencies) is a recipe for silliness. Like the post below.
I suspect what has happened here is a mistake I’ve pointed out in other papers. The BAB factor needs a hedge ratio. You short less than you long as the shorts are (this is the point) much higher beta. If you do it dollar neutral you are running a very short the market position, and not doing the BAB factor as anyone serious has learned in the large literature. Thus in a bull market you wrongly think it stinks.
Or they just did it all wrong in some other way. They don’t explain a lot.
This is why AI in the hands of people who don’t know economics, haven’t read the literature, etc., is handing a nuclear weapon to those who should only have a butter knife if they pass a test and get a license.
And it’s why I think these people are suppliers not consumers of alpha for the foreseeable future.
One day that may change. Hopefully whoever takes over for me at AQR in my coming dotage (not for a while!) can deal with that.
Oh, and “corpse.” Rude as well as wrong. Cool graphics though.
Ken Griffin, who runs Citadel, just admitted that the most expensive skill of his quants, the one he paid them millions for, now costs nothing
And for the first time in history, that skill belongs not just to a hedge fund, but to anyone with access to AI
A fund's entire quant team runs one cycle: come up with a strategy, turn it into code, test it on history, deploy it to the market
Every step used to cost separate people and years of training. Now AI does the whole cycle
You describe an idea in words, it writes the strategy itself, runs it on years of real data, and if it's alive, deploys it straight to a broker
But the speed isn't the point. The point is what the retail trader doesn't understand
You take a strategy with a beautiful chart and you believe it. But a beautiful chart is no proof
Run enough versions and a profitable curve will appear even on random numbers. One just got lucky, and you decided you found gold
Funds don't trust any curve until they test it on data the strategy has never seen. There the fit falls apart, and a real edge survives
I ran two of the most-cited quant papers through this cycle
Time Series Momentum on Bitcoin: +1,537%. Alive
Betting Against Beta, a classic from every textbook: minus 7.78% a year while the market rose 14.86%. A corpse
One still prints money, the other died long ago. And trading blind, you'd never know which is which until it took your deposit
If you want to run your own idea through the same test, it takes minutes here (free trial after signing up): join.horizon.trade/qwinsiiii
The entire hedge fund is six steps. AI already ate four of them. Which ones, I broke down in the article below
