Comments on: More on System Blends and Low De-Trended Correlation http://www.billakanodoodahs.com/2007/12/more-on-system-blends-and-low-de-trended-correlation/ Trading, Investing, Politics, Whatever Fri, 04 Jul 2008 13:17:54 +0000 http://wordpress.org/?v=2.3.3 By: Seven Key Definitions of Investment Risk http://www.billakanodoodahs.com/2007/12/more-on-system-blends-and-low-de-trended-correlation/#comment-78659 Seven Key Definitions of Investment Risk Thu, 15 May 2008 01:00:20 +0000 http://www.billakanodoodahs.com/2007/12/more-on-system-blends-and-low-de-trended-correlation/#comment-78659 [...] The futures contract speculator is the liquidity provider to the manufacturer and producer hedgers listed above. They get paid, on net, because the hedgers are more interested in smoothing returns than in generating positive income from their activities, and the inherent leverage of the contracts makes it far more potentially worthwhile than it would be on a cash basis. The mechanized trend-follower who speculates on futures typically uses large baskets of contracts, 20+ or even a hundred different contracts, in order to smooth their results for the portfolio. Think of this as an exercise in blending non-correlated systems. [...] […] The futures contract speculator is the liquidity provider to the manufacturer and producer hedgers listed above. They get paid, on net, because the hedgers are more interested in smoothing returns than in generating positive income from their activities, and the inherent leverage of the contracts makes it far more potentially worthwhile than it would be on a cash basis. The mechanized trend-follower who speculates on futures typically uses large baskets of contracts, 20+ or even a hundred different contracts, in order to smooth their results for the portfolio. Think of this as an exercise in blending non-correlated systems. […]

]]> By: 130/30: Much Ado About … Well, Something http://www.billakanodoodahs.com/2007/12/more-on-system-blends-and-low-de-trended-correlation/#comment-73373 130/30: Much Ado About … Well, Something Wed, 09 Apr 2008 10:55:07 +0000 http://www.billakanodoodahs.com/2007/12/more-on-system-blends-and-low-de-trended-correlation/#comment-73373 [...] it’s pretty obvious that combining them would end up reducing volatility and probably increasing CAGR. Any risk-adjusted measure of return would show improved results. This combination could be [...] […] it’s pretty obvious that combining them would end up reducing volatility and probably increasing CAGR. Any risk-adjusted measure of return would show improved results. This combination could be […]

]]> By: Larry Nusbaum http://www.billakanodoodahs.com/2007/12/more-on-system-blends-and-low-de-trended-correlation/#comment-55231 Larry Nusbaum Thu, 03 Jan 2008 16:50:24 +0000 http://www.billakanodoodahs.com/2007/12/more-on-system-blends-and-low-de-trended-correlation/#comment-55231 Just read your August post: "Real Estate returns about 6% annualized, long-term, if unlevered." Superb. Just read your August post: “Real Estate returns about 6% annualized, long-term, if unlevered.”

Superb.

]]> By: Trading for the Masses http://www.billakanodoodahs.com/2007/12/more-on-system-blends-and-low-de-trended-correlation/#comment-54746 Trading for the Masses Mon, 31 Dec 2007 19:24:16 +0000 http://www.billakanodoodahs.com/2007/12/more-on-system-blends-and-low-de-trended-correlation/#comment-54746 [...] More on System Blends and Low De-Trended Correlation [...] […] More on System Blends and Low De-Trended Correlation […]

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