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breakingthemarket.com · 1,237 words · saved by 1 readers

There’s a saying about prediction models, garbage in/garbage out. All true. This begs the question, how long do you have to sift through garbage until you actually find something useful? The answer depends on what you are looking for. I’m often asked about the “look back” periods in Geometric Balancing. Many investment models use months…

January 12, 2020 January 12, 2020 by btm There’s a saying about prediction models, garbage in/garbage out. All true. This begs the question, how long do you have to sift through garbage until you actually find something useful? The answer depends on what you are looking for. I’m often asked about the “look back” periods in Geometric Balancing. Many investment models use months and months (or longer) of data to generate return and standard deviation (volatility) estimates. Many readers have written, surprised at how fast my allocations to each asset change. They wonder if Geom

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