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Leverage Schmeverage!

Leverage Schmeverage!

Is it risky to be 150% leveraged? How about 1500%? It’s the wrong question to ask. Leverage and risk are not necessarily connected. A common argument against trend following hedge funds is that they are too leveraged. This is based on a lack of understanding of leverage. Most people who bring up this argument are just used to one asset ...

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How to Rob Commodity Investors

Gold Bars - How to rob from commodity investors

The Setup Equities live forever. It’s a close enough approximation at least. Futures on the other hand have a very short life span. This creates some unique problems. And some even more unique opportunities. Each futures contract has a predefined date of death. Expiry date as the industry euphemism goes. The 2012 September EuroStoxx contract expires on September 21 and ceases to ...

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How to Build Correlation Matrices

They key to trend following is to be very diversified, so that your return curve moves up in a reasonably smooth manner. What you need to ask yourself however is whether you are holding a real diversified portfolio or just a very expensive illusion of safety. Everyone talks of increasing correlations the new risk on/risk off world, but few topics ...

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Interactive Futures Chart

When you deal with futures trend following it is imperative that you have properly adjusted time series to analyze or you will not get any meaningful results. Our new interactive futures charts are of course fully adjusted and covering all asset classes and all major instruments. Did you ever want to analyze the long term performance of live cattle? How ...

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