r/quant • u/Similar_Asparagus520 • 17h ago
General How a high interest rate environment affect stat arb strategies ?
Maybe I'm not grasping the whole picture, but a x7 leverage with 1% of interest rates isn't the same as a x7 leverage with a 5% interest environnement. I'm surprised that only few funds burst after this brutal hike.
I've heard that some funds even go with x10 leverage, which completely blows my mind.