Author: Corey Hoffstein (Page 3 of 67)
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.
We explore the 'how' of our what-how-when framework of diversification and demonstrate the idea of "payoff diversification" with rebalancing and momentum.
Managed futures strategies have historically provided meaningful positive returns during left-tail equity events, but will the strategy work next time?
March 2020 Update
By Corey Hoffstein
On March 11, 2020