My boss has just handed this to me to understand:
" The nature of the strategy, with ex-post Sharpe ratios above 100%, makes the observed returns broadly uncorrelated with the typical asset classes, making of the spread mean-reversion strategy a typical Alpha generator. Unfortunately the general instability of butterfly weights makes the appeal of these trades quite limited, relying on the use of a specific ex-ante Sharpe ratio that quantifies the ex-ante attractiveness of a set of residuals, and on correlation constraints'.
He Bhagwan mujhe utha le!!