Macrocephalopod - Managing a Mid-Frequency Crypto Prop Desk (S6E5)
Flirting with Models
00:00
Factor Models and Equity Factor Hedging
Hedge funds tend to have, for example, biases to particular kinds of stocks. And because of this, as the manager running the fund, you end up with a lot of incidental exposures that you don't necessarily want. If you've got say a hundred different pods, you really care about how correlated they are. You can reduce that correlation down to 10%, then instead of being able to double the sharp, you can triple the sharp just by getting rid of some of it.
Transcript
Play full episode
