Paul Kedrosky: Financial Quote du Jour: From a chat today with a hedge fund guy:
Market impact ate my alpha.
Like me, most of my readers will have heard variants of this one before, but for everyone else it's such an evocative and lovely phrase -- like out of some filmic cross between Wall Street and Godzilla -- that I had to repeat it here.
Note that unless things really go to hell in a handbasket--and as if this writing it really doesn't look like there's a noticeable chance that they are going to--the past month's liquidity panic has eaten the alpha only of the undercapitalized. For the well-capitalized, it has boosted their alpha.
Only they are staying quiet. Very quiet.