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4min chapter
Eric Crittenden - All-Weather Portfolios with Trend Following (S3E7)
Flirting with Models
Taking the Ugly Side of Skew Risk
Research shows that if you try to measure skew and create a long short trade, you can actually capture a risk premium. That's an interesting take, where you look at how the skew flips before and after taking the trend. But it does bring one of the difficult aspects of man's futuresn into question, which is the whole nature of risk budgeting. And this diversification is often really a moving target.
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