The dismal truth about hedge funds and how investors can get a greater share of the profitsShocking but true: if all the money that's ever been invested in hedge funds had been in treasury bills, the results would have been twice as good.Although hedge fund managers have earned some great...

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...

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...