78 - Hacking Expectancy, or Breaking the Market? w/ Matt Hollerbach
The Trade Busters
Is the Volatility Drag for a Log Normal Distributed Return Stream?
I've become a really big fan of ensemble type methods for using to understand and predict where the market is finding different ways. Do you do some kind of look back in terms of monitoring the correlations and then based on that, that kind of informs the weightings? I don't get into that too much in the blog. And if I still think that the returns are the same, but volatility goes up, that's a signal to hold less of an asset. When volatility gets really high, you're likely going to experience a lot more drag.
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