This paper will review why it is difficult to apply the current custody rule to cryptocurrency hedge funds, and how the rule can be modified to better fit the peculiarities of this new asset class. The paper will look at the present state of the rule and its general application to hedge funds....

We give a simple explicit formula for turnover reduction when a large number of alphas are traded on the same execution platform and trades are crossed internally. We model turnover reduction via alpha correlations. Then, for a large number of alphas, turnover reduction is related to the largest...

We give an explicit algorithm and source code for combining alpha streams via bounded regression. In practical applications, typically, there is insufficient history to compute a sample covariance matrix (SCM) for a large number of alphas. To compute alpha allocation weights, one then resorts to...