negative-researchmarket-neutral
🧬 Graph↗The 2.3 Independent Bets Were a Measurement Artifact - and Fixing Breadth Changed Nothing
PCA on 12 alt/BTC spreads shows the portfolio already had 9.5 effective bets daily, not 2.3. Raising it to 11.5 moved returns from +0.70%/yr to +0.59%/yr, because cost eats 76-79% of gross edge.
Serg⏱ 10m 👁 34 ♥ 0