I 2x'ed a strategy allocation last week, on a low liquidity market.
probably can't even take 6 figs worth of capacity type market. but opportunity is there for a bunch of reasons that are not purely signal related.
I am now realizing my market impact estimator ain't that great because I am paying a lot more than expected in crossing the spread.
type things you don't deal with when you're just a risk premia harvestoor.
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I 2x'ed a strategy allocation last week, on a low liquidity market.
probably can't even take 6 figs worth of capacity type market. but opportunity is there for a bunch of reasons that are not purely signal related.
I am now realizing my market impact estimator ain't that great because I am paying a lot more than expected in crossing the spread.
type things you don't deal with when you're just a risk premia harvestoor.