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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.
Looking at the passive and active components of a portable beta strategy can shed insight on how they perform individually and interact with each other.
We explore the 'how' of our what-how-when framework of diversification and demonstrate the idea of "payoff diversification" with rebalancing and momentum.
One Hedge to Rule Them All
By Nathan Faber
On March 30, 2020