The Effect of Shorter Term Strategies on Returns

A new paper says that managers generally seem to have been pretty close to the optimal look back window if they look at returns in the past. The study also found that people believe you get better protection from shorter term strategies this is something that has been hammered over and over and over by mainly the shorter term managers. But it might be a little bit surprising for some people when they hear that I wouldn't disagree, but even if you're not short term you can actually deliver great protection at the same time deliver better return. It doesn't necessarily mean that the market operates in this fashion with shorter moves having more predictability about the subsequent moves.

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