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That's the ideal described in quantopian tutorials, but I doubt it often works out that way.
by AlexCoventry 6y ago
That's the ideal described in quantopian tutorials, but I doubt it often works out that way.
- smabie 6y agoFrom personal experience, it really does actually work that way. Not all quant firms are running traditional market neutral factor portfolios though.
- steephills 6y agoReally? So you're saying, not all $10tn of quant funds in the US market are managed in the way you just described?
- AlexCoventry 6y agoHow much money have you personally made with this approach?
- smabie 6y agoMarket neutral strategies really only work with significant access to leverage and favorable financing. Retail investors such as myself are unable to get the kind of juice necessary to run a L/S market neutral strat. Of course, I suppose it would be possible if you discovered some amazing alpha factor. But if you did, you probably would be better just trying to get investors. So in short, the answer is $0. For my personal portfolio, I run (only started recently) a variable leveraged beta strategy that can be described in my three part series: https://cryptm.org/posts/2019/10/04/vol.html https://cryptm.org/posts/2019/10/04/vol.html https://cryptm.org/posts/2020/05/28/vol2.html https://cryptm.org/posts/2020/05/28/vol2.html https://cryptm.org/posts/2020/06/09/vol3.html https://cryptm.org/posts/2020/06/09/vol3.html
- AlexCoventry 6y agoThanks, looks interesting.