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Ep. 1199: Rock Your Mind with Michael Covel on Trend Following Radio
Michael Covel's Trend Following
How to Know When a Strategy Is Too Expensive
When we invented fundamental index back in 04, we did not think to look at relative valuation. We noticed that fundamental index was making smaller and smaller and smaller bets. When value is trading rich relative to history, maybe you don't want to pay that much attention to the value strategies out there. If we had done this work on relative valuation at the time, we would have seen values expensive avoid value, small cap is expensive, momentum is expensive, avoid momentum. It's interesting because it helps us understand when our own strategies are likely to be disappointing.
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