Almost 37 years ago occurred the single largest stock market collapse in history, colloquially referred to as Black Monday. Blair Hull steps in and is the only person in the CBOT pit actively buying, initially 150 contracts of the Major Market Index, sparking the rally that some
"Buy to the sound of cannons, sell to the sound of trumpets." -Lord Nathan Rothschild, 1810
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"I'd rather be an average trader in a great pit, than a great trader in a bad product." -An average trader I once worked with.
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The concept of carry has been studied extensively in academic literature. Simply put, it can be defined as the return on a particular asset given price remains constant.
But does this hold predictive power? is it consistent across asset classes? And if so, might it be a
Transaction costs have negative returns, zero volatility, and an infinitely negative Sharpe Ratio.
Does it get much worse? We discuss this in a clip from our most recent webinar:
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The thoughts
We like this simple analogy to demystify machine learning and its application in predicting equity returns.
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The thoughts and opinions expressed in this content are solely those of the author.
