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There is a *massive* difference between a quant equity book (carefully hedged to sector, country and factor exposures) which can run 10-15x leverage and still be pretty low volatility vs. levered 5x long in concentrated shitcos "hedged" with index futures
This is particularly awful. If you have a concentrated long book in stocks which are broadly all in the same sector, and you hedge that with index futures ... that is a bad hedge! You are taking a fuckload of risk if you do that!pic.twitter.com/zeyB2xxGKE
Don't worry though they have "sophisticated quantitative models"pic.twitter.com/nDZmS66cTv
This, diversified should not be taken to mean hedged appropriately.
Ploy to both placate risk dept at sell-side and lower funding costs? Assuming 5bps funding over interbank, dollar neutral L/S funding would be Pay: Libor+5, Receive Libor-5 for 10bps fixed financing vs Libor+5 for long only. Plus convince risk to allow "vol targeting" ^^
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