Since leverage is the topic du jour: what’s the leverage like at quant shops?
-
Depends what you are hedging (higher if you are very aggressive about hedging sector and country exposure) but 8-15x would be ballpark given a target volatility of 10-15%
That’s for a medium to long term equity market neutral strategy (holding period days to months).
-
-
That’s two sided leverage so you might see 5x long side and 5x short side for total 10x leverage. Typically several hundred positions on each side with a single name position cap of 3-5% of AUM (0.3-0.5% of gross book size)
-
So much more leverage than Archegos, but pretty tightly hedged to major risk factors (market, country, sector etc) and very diversified so a single name halving or doubling due to idiosyncratic factors would cost you like 1-2% of AUM at most.
- Show replies
New conversation -
Loading seems to be taking a while.
Twitter may be over capacity or experiencing a momentary hiccup. Try again or visit Twitter Status for more information.