Just curious at a high level what causes one of your asset positions to whipsaw like gold last week? The price action alone didn't seem very drastic so was it sitting on some kind of combined fundamental/trend inflection point or something?
We have some intraday/1 day strategies that trade flows. They can move around risk a lot. In the future we’re probably going to remove intradays since by the time people here see this report the signal has disappeared
Just curious at a high level what causes one of your asset positions to whipsaw like gold last week? The price action alone didn't seem very drastic so was it sitting on some kind of combined fundamental/trend inflection point or something?
We have some intraday/1 day strategies that trade flows. They can move around risk a lot. In the future we’re probably going to remove intradays since by the time people here see this report the signal has disappeared
Really cool graphs. For further clarity, what is the baseline for Cumulative Excess Returns, Log % for equities, bonds, commodities, and gold?
Is the baseline always the same (like cash)? Or does it differ per category?
Good question!
They are the cumulative excess returns over cash for each asset.
So every asset minus the cash rate, plotted cumulatively, and then log scaled for ease of visualisation.