Author: Corey Hoffstein (Page 2 of 17)
While tranching can simply be a way to de-emphasize the impact of a specific rebalancing date choice, it may also introduce momentum effects in a portfolio.
We demonstrate that many common trend models are mathematically linked, but show how their differences can lead to meaningfully different signals.
While most rebalancing literature has focused on combining asset classes, we believe this literature can be trivially extended to ensembles of strategies.
By Corey Hoffstein
On June 8, 2020