The Dynamic Hedge Rule During Confused Market Environments

The Dynamic Hedge Rule During Confused Market Environments by Mazin Jadallah, Alpha Clone

We’ve written extensively about our dynamic hedge, which is one of the features of our methodology that we often get asked about.  Lately that discussion has been timely.   The hedge has been triggered twice in just the past seven months, making it a good time to review the rule and our analysis of historical results.

New in our analysis {this time around} is a focus on periods when the hedge rule has yielded multiple hedge events in short succession – there have been seven since 1950.  We isolate these “clustered hedge” events and look at whether their effect on performance is any better/worse than discreet...