can someone smarter than me explain how the big pod shop model (Millennium, Citadel etc.) generally works pretty well? The whole idea of yanking the portfolio after some non-outlier drawdown in a relatively short period of time shouldn't really add any value imo
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agreed, mostly referring to the aggregated P&L though, not the individual manager case.
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My understanding is that allocators like them because they're market neutral and often sector neutral as well, which means low equity mkt correlation, and when you layer that with vol-target risk mgmt the idea is that you get some idiosyncratic alpha that won't suddenly grenade
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