Deepak Gurnani on Building Winning Investment Strategies
Macro Hive Conversations With Bilal Hafeez
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The Importance of Cross-Sectional Strategies
The global equity tactical trading strategy essentially ranks exactly the way you mentioned, but it does not rank based on momentum alone. It uses 30 different forecast models from micro models which are looking at microstructure of the markets to using economic data. I think the key there is to, that once you have multiple models and your forecast models are designed to make money as markets become volatile, that lends itself to positive convexity. So if you have forecast that do well when markets are volatile, even cross-sectional strategies design correctly can generate significant positive convexities.
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