Agreed. So this is something I also get my backtest to generate amongst other things (but I don't always pay attention to it).
Apologies Rob, I think my AI must have mistaken you for someone else…
Not exactly, Mr Hegseth. What I am saying is that there might be an intrinsic risk on/risk off structural change that took place a while back and...
Thanks Rob, I have cereal with plant milk for my breakfast, which might explain it. I was in fact planning to look at equity factor risk, but I do...
Ended up the day about 1 pct down but I clearly need to do a deeper dive into my portfolio construction. There seems of late to be a very strong...
Yes. Another big down day. About the same as you.
5% down day - anyone else come close?
Very true. Although this phenomenon exists across most commodity markets. For example when spot oil is high you have backwardation (and vice...
Familiar story. Stonking start and a demoralising drawdown into -ve territory for the rest of the year. The fact even the most hardened believers...
Having kept quiet, so as not to jinx the nice run up in P&L a couple of weeks ago, doesn't seem to have curried any favour with the systematic...
Brilliant thanks - forgot about CLT!
Another question on your excellent ST framework for rule development. I don't know if you have played around with non-linear/non-gaussian rules...
Ok got it. thanks.
A thought. On idm's I assume the main purpose behind the cap is to take a haircut on the theoretical max correlation benefits (even after flooring...
Thanks Rob. Eu based currently but not a limited company.
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