Thank you for the thread. What's the shortest time-frame you've seen a fundamental PM have a good alpha curve on? Have always wondered if there are institutional non-quant folks who only trade AAPL/TSLA in and out or a guy who only holds through earnings etc
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That makes sense. In the case of someone with a 90% alpha hit rate on day 1 -- I guess I was thinking their churn should be (intuitively) extremely high as it'd be a bad use of balance sheet to carry ideas after their alpha decayed. In practice, not sure if this happens
The sell side “alpha capture” models that hedge funds like wace ran in the early 2000s had alpha over 1-5 days, this gradually sped up over time until almost all the alpha was realised over 1-24 hours. Churn was high!
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Bit of a special case since part of the alpha here was getting ahead of slower moving traders who followed the analyst recs but took longer to do it, ie the recs moved the market. But it’s not that unusual for analysts to have pretty quick alpha!
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May I pls ask what do you mean by “churn” here? Also, how do you quantify alpha on day 1 or the early period? Thank you
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