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A Visual History of Multi-Asset Momentum with Mean Variance Optimization in Good and Bad Times

Many Liquid Alternative strategies are struggling in 2018. In this video, we specifically examine a Multi-Asset Momentum strategy to assess:

  • How it is fairing so far this year
  • What type of market structures tend to be ideal/detrimental for the strategy
  • Historical periods where we have seen similar market environments
  • What tends to happen shortly after these periods of turmoil