Trailbrake Member Posts: 11 Joined: 2/5/2004  User Profile | This is awesome. I am dually inspired. Congrats to both of you for getting these omnifunds emulations to work. I have been focused on trying to emulate some popular tactical asset allocation methodologies like dual momentum and global rotation to work better in ATM as they might in Omnifunds but, not as far along as you guys. Curious, I don't believe the Omnifunds equity curves use margin in the calculation and it appears that your portsims are 2x. Do you think this accounts for your higher than Resilient return and slightly higher vol? I do think a great strategy is to drive the strategy(s) native vol down and then lever up. Correct me if I am wrong about either of these. Cheers, Tim | |
