Guidance to a Goldman Sachs alumnus Hedge Fund with $400 Billion-$500 Billion AUM: Alpha Trading Strategies Analysis, Maximizing Alpha for Hedge Funds, and, High Frequency Econometrics for Analyzing Price Impact of Trades, Liquidity, and, Market Microstructure

Abstract

The current report resulted from an engagement with a Goldman Sachs alumnus Hedge Fund with $400 Billion-$500 Billion AUM at the time of the engagement. Given the overriding roles of Liquidity and Volatility in the structural Market Microstructure shifts impacting Alpha of Hedge Fund Portfolios in the post-Crisis period, the report made specific recommendations for Hedge Funds strategy and execution. The specific recommendations were based upon: Alpha Trading Strategies Analysis for 400 Trading Strategies; ‘Post-Financial Crisis’ Strategies for Maximizing Alpha of Hedge Funds, and, High Frequency Econometrics for Analyzing Price Impact of Trades, Liquidity, and, Market Microstructure.

Keywords: Alpha, Algorithms, Hedge Funds, High Frequency Econometrics, High Frequency Trading, Liquidity, Market Microstructure, Trading Strategies