Richard Craib@richardcraib · 2026/08/20赛道影响tell new hire: you won’t be able to increase the speed of our heavily optimized backtest simulations.
new hire: I used Fable to increase the speed of the backtest simulations by 60%!
this type of thing occurs daily now.
but not just to us to every technical company in the world all the time in parallel.
do you see?
AI：偏主题投资表达，释放对基础设施与新叙事的偏多信号。
Richard Craib@richardcraib · 2026/08/20观点输出How important is the quant hedge fund’s Sharpe in this analysis? Do things get bad if the hedge fund component is the same 10% return but on 20% volatility (Sharpe 0.5)? or way better if the hedge fund is 10% return on 5% volatility (Sharpe 2)?
Assuming the same 10% expected return and varying the volatility, Sharpe isn’t actually such a big deal.
Median outcome of $1 in QQQ + 10% uncorrelated alpha past 10 years.
Sharpe 2 → $15.8
Sharpe 1 → $15.3
Sharpe 0.5 → $13.2
(QQQ alone → $6)
Sharpe 0.5 simulations have drawdown coincidence with QQQ a little more often and more vol drag so you lose a little. But the difference between Sharpe 1 and 2 is 50c in 10 year median.
The real Sharpe tax is survival. A standard -20% LP drawdown limit fires the Sharpe 0.5 fund in 97% of paths!
AI：延续个人公开立场，强调长期主义、执行效率与行业方向判断。
Richard Craib@richardcraib · 2026/08/20观点输出@CliffordAsness 😂😂
AI：延续个人公开立场，强调长期主义、执行效率与行业方向判断。
Richard Craib@richardcraib · 2026/08/20政策影响no publicly available one does (regulations and tax laws stop these products reaching the public pushing the public to overpay for high beta stocks to juice their returns). but an institutional investor with quant fund book can easily do this or ask their hedge funds to do it for them.
AI：偏政策推进，强调合规落地与规则明晰，对监管主线更敏感。
Richard Craib@richardcraib · 2026/08/20观点输出https://t.co/meMo8HINWa
AI：延续个人公开立场，强调长期主义、执行效率与行业方向判断。
Richard Craib@richardcraib · 2026/08/20观点输出@rivatez @qbioinc @AskVenice this is the only service with the precision to prove my muscles were growing from exercise. highly recommend.
AI：延续个人公开立场，强调长期主义、执行效率与行业方向判断。
Richard Craib@richardcraib · 2026/08/20赛道影响my Claude being cold af:
The deepest offense is that it’s short ARK’s own thesis. The entire ARKK pitch is right-tail hunting — convex, power-law payoffs from disruption. An autocallable is the precise inverse: the note gets called away the moment the stock rallies, truncating the right tail, while the holder keeps the left tail below the barrier. If Cathie’s right, you collect 17.5% and get called; if she’s wrong, you own the innovation universe down 60%. It monetizes belief in the thesis by selling the thesis’s payoff profile.
Then the standard grooves: capped upside with equity downside is exactly what geometric compounding punishes — Kelly allocates near-zero to that shape regardless of the arithmetic yield. Coupons aren’t income, they’re premium; return-of-capital risk relabeled as return on capital. The basket is one factor wearing forty tickers, so the barriers knock in at correlation one, in precisely the state of the world where everything else you own is also bleeding — anti-insurance, losses delivered at maximum marginal utility of wealth. And the vol being sold is opaque to the seller: retail can’t see the strike vol or the dealer margin embedded in each note, but the exotics desks on the other side can, to the basis point.
The final insult is that it will work beautifully for a while. Short-vol equity curves are the most seductive objects in finance — smooth monthly coupons compounding trust that gets spent all at once in a knock-in. Years of Sharpe, one afternoon of skew.
Richard Craib@richardcraib · 2026/08/20政策影响“Jane Street lost $15 billion in July and the correct response was spectatorship. Fifteen years ago that loss lives inside a bank — atop depositor capital and hedge fund portfolios — and we are all conscripted as its creditors. The Volcker Rule (Dodd-Frank §619) exiled proprietary risk from deposit-funded balance sheets; Basel III’s capital rules made it too expensive to smuggle back in. So the loss was quietly absorbed by the same year’s trading profits — losses met by the owners’ own winnings, not the public’s money. This is what regulatory victory looks like: catastrophe as a private matter.”
— my Claude (likes Volcker regs)
AI：偏政策推进，强调合规落地与规则明晰，对监管主线更敏感。
Richard Craib@richardcraib · 2026/08/20赛道影响VCs btw can capture a giant pool of risks and returns unavailable to public equities eg by buying Anthropic or even Numerai (we were $10m valuation when VCs invested in us and now $500m when AUM was $1m now $740m).
So VCs earn returns no one can earn. There wasn’t some proxy OpenAI or Numerai you could buy on public markets in 2016 instead imo.
But where things get tricky is the story for levered public equity factor bets. It’s unclear these survive the future. Allocators with Claude will get demanding. Claude will be like super Venn.
AI：偏主题投资表达，释放对基础设施与新叙事的偏多信号。
Richard Craib@richardcraib · 2026/08/20赛道影响I tried to get a VC friend to give me a QQQ benchmark on his fund. Let’s just say I didn’t get the allocation 😂.
But the bar vs publics gets even higher if you consider the existence of quant hedge funds.
If you invested in a market and factor neutral quant fund with 10% net return (above cash) on 10% volatility and blended it with QQQ portable alpha style, your 10 year growth was:
$1 → ~$14 vs $1 → $6 in QQQ
30% return vs 20%.
This is why uncorrelated alpha is valuable. Not because it’s high return, but because its return geometry lets it stack onto any portfolio without it.
Try the same trick with a beta and factor exposed ‘hedge’ fund, and you have a portfolio in extra distress in 2022 (>-50%!). Because you have drawdowns stacking instead of returns!
You can think of a fund that tilts into factor bets as making a mess of your return geometry by taking risk on things your already own. For example, your portfolio doesn’t need a hedge fund to tilt you into a bet on AI. The S&P is ~48% an AI bet (so far). By betting on AI beta, the hedge fund “unhedges” to earn returns you own already and sends you a bill for fees.
So when you hear a quant hedge fund with 10% net excess return on 10% vol for 10 years with no factor or market exposure, don’t think “wow you lost to QQQ — think wow you beat *anything* by 10% per year, including QQQ, and you’d be a 99th percentile VC too 🤯”. Uncorrelated alpha. Don’t forget this is the whole point.
评论
暂无评论