Dec 16, 2019
in
mean regression | Regime Change | Video
Layering 2 strategies on top of each other for better return — and importantly this can improve the consistency on a year-to-year basis. The mean reversion strategies tend to add more return when things are volatile and high returns — but less relative to the benchmark when the market is rising on low volatility. That said, low volatility uptrends are often an excellent environment for absolute gains and you should participate strongly in such a market — just not with giant outsized returns.
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