Author: Corey Hoffstein (Page 3 of 69)
We've begun releasing episodes of Season 3 of Flirting wiith Models and will continue to release throughout July 2020.
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.
In this note, we explore tranched versus non-tranched trend implementaitons and find that tranchig has been superior for many assets over the last 30 years.
Tail Hedging
By Corey Hoffstein
On June 8, 2020