A Sleeve Is Only as Good as Its Regime

Most sizing decisions use one correlation number per sleeve. It's almost always the wrong one. The figure that ends up in the risk model is a full-sample correlation: the sleeve's co-movement with the rest of the book, measured across its ...
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7 min read

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QIS in August: Carry Rebuilt. Credit Led. Correlation Reversed.

August was constructive for QIS, but it was not a return to an uncomplicated risk-on regime. Equities recovered from July’s dislocation, AI-linked exposures regained momentum and credit spreads remained exceptionally firm. At the same ...
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6 min read

What a QIS track record cannot tell you

Much of the track record you are shown for a QIS index is simulated. The useful question is not how the simulation performed. It is whether the simulation was measuring the same thing the live index measures. In one rulebook we read, it ...
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5 min read

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Decide the Role Before You Read the Track Record

Most reviews of a systematic convexity sleeve start with the strategies and work outward. That order is wrong. The constraints that decide the outcome nearly all follow from a question about role, and that question usually gets answered ...
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9 min read

Your Diversification Is Conditional. Size It That Way.

In July, an equity unwind ran through crowded technology and AI positions. The funds built to withstand exactly that kind of single-factor hit — diversified multi-strategy books — still lost about 2.2% on average. Asia-Pacific equity ...
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5 min read

ELTIF 2.0 Changed the Wrapper. It Didn't Change the Assets.

A semi-liquid wrapper does not make an illiquid asset liquid. It reschedules the illiquidity. Europe spent 2026 building the case for that sentence — rolling ELTIF 2.0 evergreen funds into wealth portfolios at the same moment the US ...
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5 min read

QIS in July: When the Average Says Nothing, Look Underneath

July broke the pattern that had supported QIS through May and June. Carry stopped being the dominant return engine. Convexity finally earned its premium, but only selectively: in rates, not across hedging strategies as a whole. The ...
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4 min read

Swap Spread Arbitrage, and the Quiet Reason It Keeps Coming Back

Swap spread arbitrage is not the basis trade. They get lumped together in every discussion of hedge fund leverage in Treasuries. They shouldn't be. Different bets, different risks, different reasons for existing. The numbers, from the ...
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5 min read

The Metric Every Pitch Deck Gets Backwards

A manager triples assets in three years and every IC memo calls it validation. Bigger book, more institutional interest, stronger franchise. Almost nobody in the room asks the only question that actually matters: at what size does this ...
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5 min read

Crowding Isn't One Trade. March Proved It.

It's the first week of July, and the book is still working through the sharpest momentum unwind since 2023 — two weeks of losses that gave back roughly a quarter of the year's gains, per Goldman's prime brokerage desk. It's the fifth time ...
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6 min read
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