Category: Portfolio Construction (Page 1 of 20)
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.
Liquidity Cascades: The Coordinated Risk of Uncoordinated Market Participants
By Corey Hoffstein
On September 11, 2020