Trend Following Mindset by Michael Covel

Author:Michael Covel
Language: eng
Format: epub
Publisher: Harriman House
Published: 2021-03-02T15:01:44+00:00

Part 2: Collected Research and Publications

The following chapters present a series of research reports and publications by Tom Basso, as well as Tom’s podcast interview with Aaron Fifield on Chat With Traders.

Adding Low Sharpe Ratio Investments Can Increase Your Sharpe Ratio

Many fund of funds managers have focused their attention on higher Sharpe ratio managers with as little correlation as possible. The logic is by adding many high Sharpe ratio managers together you get an even higher Sharpe ratio portfolio.

By comparison, CTA style hedge fund managers have had lower Sharpe ratios than the traditional hedged managers.

Some fund of funds have ignored this area because of the lower Sharpe ratios. This study shows that to be an oversight on their part, since adding lower Sharpe ratios actually increased the Sharpe ratio of the total fund.

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