Posted: Tue Aug 17, 2010 7:50 pm
I'm curious if anyone has built a factor-based approach with some success on the futures side of the business. Then say carry the top X liquid instruments and rebalance as needed. Then just do an asset allocation to it as an asset class rather than a long/short technical approach across multiple systems.
I do this on the equities side (multiple systems but factor based ranking rather than T/A) but I must admit I still time the equities asset class (thus completely in/out or partial based on macro timing signals) rather than having a static allocation to the asset class 365 days a year.
I think if I were going to be one of those big shot hedge-fund types, I would build nice models within an asset class and then have overall macro timing indicators which would put me in and out on a tactical basis from a macro view. The best of both worlds so to speak (top-down and bottom-up combined). Fortunately I'm not much for the marketing and baby kissing so I'll likely be sticking to my humble knitting.
Still I am curious if anyone has taken this approach on the futures side...
I do this on the equities side (multiple systems but factor based ranking rather than T/A) but I must admit I still time the equities asset class (thus completely in/out or partial based on macro timing signals) rather than having a static allocation to the asset class 365 days a year.
I think if I were going to be one of those big shot hedge-fund types, I would build nice models within an asset class and then have overall macro timing indicators which would put me in and out on a tactical basis from a macro view. The best of both worlds so to speak (top-down and bottom-up combined). Fortunately I'm not much for the marketing and baby kissing so I'll likely be sticking to my humble knitting.
Still I am curious if anyone has taken this approach on the futures side...