Roberto Croce - Trend and Carry Within Assets, Across Assets, and Over Time (S6E8)
Flirting with Models
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The Interaction Effects of Trend and Carry on Portfolio Construction
The carry measure for an asset class tends to get bigger as that asset class gets hit. So I don't think it's as much of a concern in trend plus carry. We have other mechanisms for managing extreme risk position limits, single markets position limits and groups of markets stuff like that. And so actually they're also working across purposes or they are tempering this combination is effective.
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