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kind of how rhe group i founded/managed at sac ran a 1B+ book ‘o3-2004. sharpe of 4.76 made money. depends on what kind of neutrality u have. obviously, there is more than dollar, volatility, beta etc., neutral. 6 months in ‘98 +81% being net short -0.2%. So….disagree.
Really interesting thanks. Did your quant strategy incorporate any “discretionary edges” from the long/short teams?
synapse was a separate quant team. we did not know or care what analysts thought. so many times cos we were short were bought out…
often i’d do trades on side alongwith system but for most part it traded by itself electronically but had to stop some names with larger trades amd give to floor brokers…
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