Lily Profile picture
May 12 4 tweets 1 min read Read on X
my favorite part of logging into twitter is seeing how the rich and powerful can spaghettify their brains in real time in online echo chambers, like a grand experiment of what happens if you remove any effort from satisfying maslow's hierarchy of needs
it turns out that if you've already won the game of life, there is no higher calling than retweeting propaganda, hate, and arguing with faceless strangers online

it is the apotheosis for the gestalt soul of mankind
more importantly, I think social media is a potent mechanism for self-radicalization, because before it, people with bizarre extremist views would likely not be in a community where those views are acceptable (barring a few places, but certainly not in a major Western metropolitan)

but with social media and algorithmic feeds, we c an exactly curate a community of people with the same views, and as people fall into those communities, there's a reactionary treadmill which develops as you normalize the baseline, so pushing further and further into weirdness incrementally becomes the norm
it's like if you're a baby learning the stove is hot, you get automatic feedback when you first burn yourself that you're an idiot and not to do that again

but now instead you can be, with enough money and online brain, the baby who touches the stove, feels nothing, and makes it your life mission to crawl naked on the surface of the sun, cheered on by a million other babies who want the same

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More from @nope_its_lily

May 9
So I've been working on a new version of my forever portfolio to add a bit of diversifiers. It's not entirely passive which I don't like as much, especially because there's a lot of subjectivity in performance of equity market neutral and managed futures funds (they're very different in overall performance over time).

The largest existing weaknesses of the Forever Portfolio, as I observed over the last year is the susceptibility to the stock/bond correlation. This isn't surprising at all, and it generally shares very high correlation to the 60/40 portfolio, since it's broadly similar, except replacing half of the bond allocation with gold.

Inspired a bit by @choffstein's Return Stacking series, I worked on an interesting variation of the All Weather portfolio. This includes managed futures and equity market neutral allocations, which, at least to me, makes it not a passive equivalent. However, it's pretty well known from AQR and others about managed futures' diversification benefits, although, it has a small tendency to have mean-reverting performance (aka one good year tends to be followed by a bad year, etc).

This allocation is an attempt to be as model-free as possible (hence the rounded numbers), but as I mentioned, it's fairly high susceptibility to manager bias - not all CTAs are built the same, and neither are all equity long/short funds.Image
The easiest ways in ETF space to get exposure to managed futures as far as I know are $KMLM and $DBMF. I'm very much a fan of "I don't know what I don't know" so my tacit view would be to diversify equal weight across many or all managed futures/equity market neutral fund offerings, to try and reduce manager bias as much as possible.

Interestingly, this portfolio, which I nickname All-Weather, has on a risk-adjusted basis outperformed the Forever Portfolio since inception (~2012), but more interestingly to me, it serves as a diversifier to the Forever Portfolio, which I quite like.

Both take periods of outperformance, and the combined results are quite good, in my view.Image
The All-Weather portfolio, definitionally, has a lower absolute return. However, the mixed 50/50 LFP/All-Weather boasts both a decent (~9% p.a.) return as well as a bonkers high Sharpe, so it can easily be leveraged. Image
Read 5 tweets
May 5
The critical difference in the recent mRNA study results versus more "conventional" (still very new) cancer immunotherapy techniques like CAR-T is:
(1) The researchers claim to have bypassed the hostile tumor micro-environment which usually involves peripheral immune tolerance -- which renders most immunotherapy techniques relatively ineffective at targeting tumor cells
(2) They do this using an innovative (proprietary) design which mimics highly infectious viral structuring - essentially multiple vesicles with personalized mRNA targeting the unique tumor genome - versus a single one
Preprint/medxriv here:

(3) Shown to be working in trial of 4 human candidates -> all patients lived longer than expected w/ aggressive glioblastoma (still alive from what I can read, but obviously they can't say how long yet)
Mirrors results from trial on 10 dogs also with terminal brain cancer
medrxiv.org/content/10.110…
ufhealth.org/news/2024/uf-d…
It seems current results on a fairly aggressive tumor (glioblastoma) indicate a massive immune response very quickly, but doesn't really have much on if there was observed pseudoprogression like other cancer immunotherapies.
That said, I haven't read the Cell article (it's behind a paywall but I might give in).
(1) The timeline for action and expected time to survival in at least the dog cases probably indicates they did not observe pseudo-progression, which tends to be tumor expansion for the first 6-12 months when immunotherapy begins.
Given expected time to death was around 60 days and observed survival was about 140 days, probably not.
Bull case:
(1) Cell is, with Nature, the most prestigious journal in biology -- it's unlikely they would've accepted this article without significant substance behind it
(2) In vivo studies look promising, both in canines as well as humans
(3) Cancer vaccines have existed for a while for very specific cancers (e.g. bladder cancer, preventative ones targeting viral induced cancers like HPV), but this is the first method which:

(1) Seems flexible (it can be created with patient-specific mRNA, targeting the cancer exactly)

(2) Seems to bypass the peripheral immune tolerance issue in relatively bulky cancers (may not work at end end stage, not sure the tumor size in the glio patients)

(3) Induces a quick and active immune response
Read 8 tweets
May 2
What's the next big theme everyone is missing?
I can keep sharing mine but I'd like some actual replies here, not just jokes.
Mine:
- Bird flu scare
- Long e-casinos, short casinos
- Long airports, short airlines
- Long gold, short long bonds (on hiatus IMO)
- Long home construction, short regionals
- Long NATO + allies defense, short US defense
- Long med devices, short fast food (finally starting to play out)
- Long georgian banks, short Russia exposed nonsense
- Long AI, short recruiting
- Long American marijuana, short Canadian
- Long single family + manufactured housing REITs, short office
Read 4 tweets
Apr 26
Pay attention to which of my shitposts go viral, there tends to be very strong market alpha.
Good examples:
- (2/5/24) When I noted in February that there was a Chinese stock which was, by all metrics, one of the cheapest 10 equities on Earth: massive engagement, mostly negative -> stock rallied 50% right after
- (3/27/24) When I joked end of March how why should anyone do anything productive other than trade meme coins: massive engagement -> Solana nearly tops to the day since
- (10/12/23) When I clown Paul Krugman for his bad inflation take stripping out things people need to live -> almost the exact local top on long term yields
- (4/26/24) When I make an observation on the yen and how it depreciated rapidly -> ???
- (2/26/24) A tweet about Bitcoin and its returns and how some people refuse to trade it for illogical reasons -> 31% rally right after
Read 6 tweets
Apr 25
To clarify to new/existing followers why I talk with the breadth I do, my trading strategy is essentially to add orthogonal (or relatively orthogonal) different L/S equity thematics, size up the ones that are doing well, size down the ones that aren't.
So the more markets I look at, the less correlation I'd generally expect (outside of maybe crises, but hopefully relatively muted performance there), the better my overall book performs.
That said:
1) My views are incredibly loosely held
2) I do not expect any given idea/thematic works, just that the average one I put on has positive expectancy
3) I am a tourist in basically every single market, so please don't ask me for analyst level advice
So please do not take anything I say with too much confidence or insight, because again, any given view represents 1-5% of my book max, and I will cut it ruthlessly if it goes the other way.
Read 4 tweets
Mar 27
Basically the whole market looks overvalued as shit, and half of you are going to short it and lose everything, and half of you are going to long it and lose like 20%.
If dogshit industrials and deep value and utilities start pumping, or god forbid EM trash is pumping, it means we're probably closer to a top than most want to admit, but who the fuck knows.
Too many dollars chasing too few things.
I have zero read whatsoever here.
I am uncomfortably long equities and crypto. I am thinking of ditching further allocation here, because frankly, if I bought here and the market went down 10%, I'd just feel stupid.
Read 7 tweets

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