<t>Hi guys, I am a new stat arb pm. Just got an offer. My question is what is the standard package for a stat arb pm? Base salary?pnl cut of gain? 10%? 15%? 25%?Is there a bonus if the firm is losing money but you are making money?Who owns the intellectual property? The firm or pm?Any other concerns...

Say if some one have some working signals, no matter where they from, and she does not want to trade on her own, how to sell them?

<t>Hi guys, in Stat arb, you have long side and short side. And you want to have a position limit, say in terms of percentage of volume. My question is, what percentage one should have? say 10%? The second question would be, should each symbol have the same percentage? If not, what consideration mak...

Any good answer on this one? Thanks

Edouard, I read somewhere else about your allocation too. But still wonder why not a different set of weight but just proportional to SR? Any mathematical proof? Another question is why not just allocate all money to the higher SR one? What's wrong with that?Thanks.

Any rigid mathematics deduction? I tried, but it becomes quite messy soon.

If one has two strategies A and B. A has higher Sharpe ratio than B. How would you allocate money between them? Thanks!

Thank you very much

This seems really a good question. I would like to hear from any advice too

In a two-leg pairs trading, say, A and B, suppose A is more liquid than B, any consideration on how to execute a trade after identifying arbitrage?Thanks!

Each day I calculate daily return, X1...Xn. If I use mean(Xi)/sd(xi) * sqrt(252) ~= 6 But if I annulize each return by 252 * Xi = Yi, then obviously mean(Yi)/sd(Yi) = mean(Xi)/sd(Xi) = 0.37.Which number is correct?Thanks

if one trade eod of SPY from beginning of year, what's the sharpe ratio?

<t>Hi Dawg, I got some questions after reading some pairs trading papers recently.Some paper says to use Engle-Granger two step to regress y on x to a get a beta, and then trade with y-beta * xI have two questions about this:1. This beta generally will not give you market neutral, which means that y...

<t>regress A on B, get very small R square, say 1% and B is not significant in t-testregress A on C, r-squared 57%, C is significant in t-testbut A regress on B + C, R square is 79%, and both B and C are significant in t-testQuestion: is A ~ B+C linear regression valid? What does it mean that A on B...

Thanks