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Roberto Croce - Trend and Carry Within Assets, Across Assets, and Over Time (S6E8)
Flirting with Models
Using related markets to denoise a series and improve allocation decisions
Using a single market's recent returns for positioning ignores valuable information from related markets/nUsing a basket of related markets can denoise signals for trend and create a more informative signal/nA less noisy signal from related markets can work about 60% better than using just the historical performance of a single market.
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