sysls (@systematicls)

If you strip all the algebra away, the key points are: 1. Sharpe decomposes: a. Sharpe ≈ IC × √N b. IC = skill c. √N = number of unrelated bets 2. IC is correlation: a. Between your predictions and what actually happens, after adjusting for how volatile each stock is. b. It’s a clean, scale-free m...

If you guys want some inside baseball view. On GMV = Excl leverage effects. It's entirely possible to create a portfolio where you have drawdown < 5% on GMV. Hundreds of PMs are doing exactly that. In fact, it's entirely possible to have a portfolio where a 2.5% drawdown might warrant cutting so...

@__paleologo's "Elements of Quantitative Investing" has a chapter that's prompted a lot of questions from people I've recommended the book to. Section 4.3: Alpha Spanned vs Alpha Orthogonal. Most people skim it and think it's about portfolio construction. It's not. It's actually "roughly" a no-arb...

There is alpha in choosing where to play; and there is SURELY alpha in these new frontier markets. Market efficiency isn't some fixed property of an asset class. It's a ratio. Specifically: how much sophisticated capital is deployed relative to unsophisticated capital. Crypto? Most wallets are ...

One of my mental models is that factors are just alphas that got too popular. The lifecycle: 1. Someone discovers a cross-sectional relationship. Momentum works. Low-vol outperforms. Value beats glamour. 2. They trade it. It prints. 3. They publish a paper or tell their grandma about it. 4. 10,000 ...

There are only 4 ways to make money: 1. You are selling a service - e.g. providing liquidity/options for willing buyers. 2. You are earning a risk premium for doing something risky with your cash, e.g. you are willing to buy growth stocks before they have become empirically successful and hold them ...