Alexandre Rubesam Profile picture
Associate Professor of Finance at @IESEG School of Management. Quant finance, empirical asset pricing, ML, portfolio management. All views are my own.

May 6, 2022, 5 tweets

Update of #AssetAllocation strats in my package with yesterday's return. Brutal.
Worst static allocation: Sandwhich -12.4% YTD
Worst tactical allocation: Dual momentum -7.9% YTD
Best (least worse) static: Conservative income -6.85%
Best tactical: Ivy +1.36%

YTD statistics for static allocations.

All max drawdown for the year = cumulative return

YTD statistics for tactical allocations:

Why is Ivy doing better? Commodities (DBC FTW)

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