Adam Butler - Questioning the Quant Orthodoxy (S5E13)
Flirting with Models
Is There a Constraint on Concentration in a Portfolio?
Seasonality carry and trend signals largely coincided across the same markets. If all of these signals are pushing into the same markets in the same direction, you're losing diversification. But on the other hand, there's potentially conditional information about expected returns when they coincide. And so you might have two camps. One camp might say, we've lost diversification and therefore we need to de-risk. The other camp might says, no, there's conditional information here that the forward information ratio is actually higher, and therefore we can press risk.
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