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SI302: The Negative Crisis Beta and CTA's Hidden Market Timing Skills ft. Nick Baltas

Top Traders Unplugged

CHAPTER

Market Timing and Carry Strategies in Finance

The chapter explores the effectiveness of market timing in trend following strategies, emphasizing the benefits of managing long equity exposure with CTAs possessing market timing mechanisms. It delves into the concept of carry strategies in various asset classes like equities, commodities, rates, and currencies, discussing the impact of capital appreciation/depreciation on carry returns. The speakers highlight the importance of combining trend following and carry strategies in a portfolio, discussing performance characteristics and optimizations to achieve effective portfolio design.

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