“When the market turns and goes negative, strategies like Trend Following tend to do really well. They provide that hedge. So it’s completely inappropriate to compare Trend Following to a long equity portfolio, because Trend Following has different properties - it has hedging properties.”—Cam Harvey
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In This Episode, You'll Learn:
- How to manage a portfolio through a crisis
- The motivation behind writing his new book
- Various methods of portfolio protection
- Diversification within Trend Following systems
- Volatility targeting and why it can be a powerful tool
“When you have a portfolio of different assets, the noise cancels out, you reduce the volatility, and that’s good for you.”—Cam Harvey
- The journey of volatility going from a measure to an input
- Drawdowns as an important metric to monitor
- Timing portfolio rebalances effectively
- The 60 / 40 portfolio, diversification, and inflation
Follow Cam Harvey's work:
Visit the Website: Campbell Harvey at Duke University
Follow Cam on Twitter
Papers mentioned in the Episode:
Momentum Turning Points
Bayesian Inference in Asset Pricing
Bayes vs. Resampling - A Rematch
A Backtesting Protocol in the Era of Machine Learning
“People don’t truly understand diversification, because it’s not just about reducing volatility, it’s also about reducing some of the tail-risks. So when I think about a diversified portfolio, I want to reduce the noise, and reduce the variance, but I also want to reduce the skew.”—Cam Harvey