GMR Strategy

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GMR Strategy 2017-03-03T15:29:50+00:00
  • Author
    Post count: 1

    I just read the white paper on this strategy. It explains the basic strategy fairly well, but it then says that it moves to bonds during downturns, with zero explanation. What signal tells you to move from the more volatile instruments into fixed income prior to (or early during) a market downturn. Thank you, Richard

  • Alexander Horn
    Post count: 366

    Richard, you are right, we probably need to expand further. The adaptive algorithm of the GMR is the same as the UIS (with difference in number of assets and parameters). See here, this paper elaborates more in detail:

    All potential pairs of risky assets and bonds are computed using allocations from 0% to 100% (100% to 0%). The pair and allocation with the highest ‘modified’ Sharpe ratio is then used. This means that the strategy can allocate 100% into fixed income when equity markets are in turmoild. The lookback parameter range is typically in the 60 to 80 days range.

    Hope this explains,

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