Roberto Croce - Trend and Carry Within Assets, Across Assets, and Over Time (S6E8)
Flirting with Models
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How to Make a Trend a Better Beta Timing Strategy
Many trends strategies are built in such a way that it seems like they're being built trying to capture across sectional differences in return, as well as directional differences. So if we think that trend is really a beta timing strategy then we should try to figure out how to make it the best beta timing strategy that we can. If you've got a bunch of related markets, you can use them to filter each other's recent performance and create a less noisy signal for trend. That seems to work about 60% better than using the historical performance of just that market.
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