Welcome to a new series where I revisit previously shared QuantMage spells and check how they behaved out of sample. Think of it as post‑sharing care—a little forward testing to keep us honest.
impressive! I mean not only the performance as such, but also the transparency of the process.
Your High Beta vs Low Volatility strategy also performed very well; I guess you didn't include it here because it hasn't been out of sample for six months? Hence, with luck, your next Hindsight piece will have another gem.
impressive! I mean not only the performance as such, but also the transparency of the process.
Your High Beta vs Low Volatility strategy also performed very well; I guess you didn't include it here because it hasn't been out of sample for six months? Hence, with luck, your next Hindsight piece will have another gem.
Thanks, Martin! Yeah, I wanted to include ones with an out-of-sample period of at least 3 months only :)
For the baltic dry you could blend it with defensive first or another defensive asset allocation during the risk off period
Thanks for sharing!
This post is also great!!