jgrusewski 30f944f015 feat(surfer): equity low-vol gauntlet — real structure, marginal after realistic cost ...

Full gauntlet on the lottery-aversion lead (liquid high-vol cohort). BASE L/S +0.74/OOS
+0.72 but: name-bootstrap frac>0 only 0.77 (fragile vs momentum's 1.00); edge lives at
$5-20M floor (smaller names, real spreads > the 10bp assumed), dies at $50M; the L/S edge
is mostly shorting hard-to-borrow hype names (30%/yr borrow -> +0.04 gone); long-only
realistic = +0.33, DSR 0.07 (not significant). corr to crypto book -0.05 (uncorrelated ->
would diversify IF real). DSR 0.22/0.07 -- neither clears 0.5. Closest non-crypto market,
theoretically sound, uncorrelated -- but marginal after realistic borrow+small-name cost,
NOT deploy-grade. A lead on the shelf, not a strategy. Crypto momentum+VRP remains the only
deploy-grade edge. Re-confirms the boundary.

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

2026-06-06 20:55:17 +02:00

5.6 KiB

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