In 2004 [a big investment bank I worked at] had a high frequency liquidity taking FX strategy where the only signal was order book imbalance, and it made *a lot* of money.https://twitter.com/quantian1/status/1376901887245615110 …
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I've seen many assets that had years of insane uncorrelated alpha* (CLO warehousing, CAT bonds, PIPE, SMID index rebalancing, litigation financing, etc) that even in hindsight most institutional investors don't know about. Opportunities aplenty if you're willing to look.
True though many of these require expertise, infrastructure or relationships which puts them outside the “easy alpha” bucket for most firms. Cat bonds might be an exception? When I looked a few years ago they had an incredible risk/reward ratio but idk if that has persisted.
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Agreed, esp if one isn't willing to put in the time to manage rolodex. CAT bond returns died down a bit. I structured an awesome CAT bond strat back in the day hedged with fcoj, portable generator manufacturers, Indian refineries, etc that my boss took one look at and said, "No"
Thanks. Twitter will use this to make your timeline better. UndoUndo
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