Ep. 989: Four Trend Players with Michael Covel on Trend Following Radio
Michael Covel's Trend Following
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The Importance of Diversification in CTA Portfolios
Campbell: Correlation as a measure is not a good way to capture a, let's say you have a return series like a correlation series where you're correlated all the time and occasionally that just breaks apart. If you have a rolling correlation, you won't pick it up. It just sort of will roll down and roll up again. And I don't think a lot of people have really sat down and chewed on that one yet. Campbell: You know, high pair wise correlations may underestimate the importance of diversification in CTA portfolios.
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