jgrusewski be084b5154 result: hedge-fund reframe -> moat is cheap leverage, not the strategy ...

Multi-strat with foxhunt's own ideas. (1) Combine uncorrelated premia: ~0.72 Sharpe 2019-26 but
~=60/40, only when streams net-positive (traditional 2010-26 combine +0.51 < equity +0.68 = dilution).
(2) Edge-decay-trust allocation (Page-Hinkley theta, resurrection) genuinely helps: +0.16->+0.27,
correctly down-weights decayed streams. (3) Static risk layer crushed returns (one-way latch);
ADAPTIVE layer (continuous self-recovering DD de-lever + Kelly-floor + z-score corr + EMA vol)
beat it (+0.03->+0.14, maxDD -18.7->-14.5) -- value is drawdown control. (4) THE MOAT = cheap
financing: adaptive 1x Sharpe +0.48 vs 2x +0.14; retail 6-7% margin kills leverage benefit. Funds
lever ~0.7 Sharpe only via prime-brokerage SOFR+1-2%. Deployable best = ~1x adaptive-risk-managed
diversified book (~0.5-0.7 Sharpe, unlevered), scales with capital. Foxhunt ideas improve execution
(validated); engine value = risk-mgmt not alpha. Ceiling ~0.7 ironclad.

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

2026-06-07 19:48:46 +02:00

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