tag:blogger.com,1999:blog-261139923818144971.post5692359263392871101..comments2024-03-27T07:58:49.946+00:00Comments on This Blog is Systematic: Optimal trend following allocation under conditions of uncertainty and without secular trendsRob Carverhttp://www.blogger.com/profile/10175885372013572770noreply@blogger.comBlogger1125tag:blogger.com,1999:blog-261139923818144971.post-12944710076602573802024-02-29T01:46:30.395+00:002024-02-29T01:46:30.395+00:00huh, that's a great way to approach the questi...huh, that's a great way to approach the question! Definitely a different result than I expected.<br /><br />My naive expectations would be 1) minimal correlation (which you found w/ 60/40 long only & long term trend), 2) similar means. So I'd maximize Sharpe by doing a 50/50 risk allocation to minimize overall volatility (w/ equal volatility targets, I guess that's 50/50 risk or cash). <br /><br />I guess I can interpret the results here as a sign of long term trend just having a notably superior Sharpe than long only 60/40 in your data sample?Grant Lincolnhttps://www.blogger.com/profile/16674789472333693224noreply@blogger.com