A great deal has been shared on the usefulness of diversifying beyond just asset classes. Specifically:

- Rebalancing frequencies (h/t @choffstein)
- Path dependent instruments (h/t @bennpeifert)
- Signals (h/t @GestaltU )

🧵on diversifying parameters within signals

1/8 To illustrate, let’s take a simple moving average (SMA) crossover rule.

We buy SPX if our fast SMA (typically the prevailing price) > our slow SMA (typically somewhere between 6-12 months).

The classic is the price vs 12-month SMA. Let’s call that the “active benchmark”.

2/8

1/ I was curious to study the economics of the #bitcoin cash and carry trade nicely explained by @choffstein. Given that US citizens can’t do it., why isn’t everybody else on this?

A South Africans perspective 👇

https://twitter.com/choffstein/status/1388487872508874753?s=21

2/ Disclosure: I have no strong opinions on #crypto itself and this is not investment advice. Simply like understanding why such high expected return (almost) delta neutral carry trades exist in 2021