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Eric Crittenden - All-Weather Portfolios with Trend Following (S3E7)
Flirting with Models
Is There a Filter in the System?
It's now been 15 years since you published that paper, and i wanted to ask you, what have we learnedo sample? I can't believe it's been 15 years. That's a long time. At a sample, i feel like that strategy did exactly what i expected it to at a sample. But i'll share this with you, it is incredibly uncomfortable. It's an incredibly uncomfortable strategy. So those risks premia that data scientists can tease out of the data look great in a back test. They look great on paper, but they exist for a reason, because they are incredibly uncomfortable to harvest in real time.
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