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