Ep. 941: Trend Following Perspectives with Michael Covel on Trend Following Radio
Michael Covel's Trend Following
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The Importance of SKU in Asset Management
In the real world of asset management and trading, there's something called SKU. Harry Markowitz published a path-breaking paper in 1952 on how to kind of optimize a portfolio. He said this only is appropriate if the asset returns are so-called normally distributed. That means that there's no severe downside. There's no severe upside. Volatility doesn't tell you anything about the direction. It's measuring the surprises in an absolute sense.
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