jgrusewski 0c5af2d9a0 feat(surfer): +0.74 autopsy — real anomaly, un-harvestable for our constraints ...

Decomposed the equity low-vol +0.74. Deployable half DEAD: long leg (low-vol, borrow-free)
alpha +0.04 / DSR 0.02 = just cohort beta. ALL edge is shorting high-vol decile (needs
expensive borrow). Episodic: top-10 days = 133pct of P&L (a few crash events). Just broke:
2026 = -2.72 (anomaly reversed). Beta-neutral residual +0.98 = genuine betting-against-beta
anomaly but lumpy/short-only/recently-inverted. Turnover low (cost was fair). Verdict: real
anomaly, un-harvestable by a small retail borrow-constrained book. Detail killed the lead
honestly. Crypto momentum+VRP remains the only deploy-grade edge.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>

2026-06-06 21:21:39 +02:00

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