Ep. 515: Epic Trend Following Episode with Michael Covel
Michael Covel's Trend Following
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The Magic of 5% Disdiscretion in Trend Following
The notion of 95% systematic and some portion of discretion was a very common marketing line in the disclosure documents of trend following CTAs for a long, long time. "We all lived in fear in the early days of the black box label," says John MacIntosh. The overall risk target of the portfolio was something they would set discretionarily on how it felt that weekday, month or epoch.
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Transcript
