Great content as always, can't catch every twist and turn. I'm studying some of these factor portfolios and wondering -- how quickly do these systems catch the turns?
Eg long beta began peaking in October - December 2021 (made new highs), but we would only see the negative monthly signal after January 2022... and how could you have known that 1 bad month signaled the end of the run? Isn't that arguably too late?
It seems especially difficult to identify those regime shifts that drive all of this, or is there a straightforward way?
Yes, combination of things. My take: Its easier to avoid mistakes (beeing long high beta in a inflationary regime). It was a combination of things that got me out of high beta.... Inflation regime, ARKK behaving weak since the beginning of 2021 etc....
Great content as always, can't catch every twist and turn. I'm studying some of these factor portfolios and wondering -- how quickly do these systems catch the turns?
Eg long beta began peaking in October - December 2021 (made new highs), but we would only see the negative monthly signal after January 2022... and how could you have known that 1 bad month signaled the end of the run? Isn't that arguably too late?
It seems especially difficult to identify those regime shifts that drive all of this, or is there a straightforward way?
Yes, combination of things. My take: Its easier to avoid mistakes (beeing long high beta in a inflationary regime). It was a combination of things that got me out of high beta.... Inflation regime, ARKK behaving weak since the beginning of 2021 etc....