A quick check of the M6 model with the beta neutral portfolio shows a distinct divergence in the momentum and mean reversion modes with the current skew favoring the short side (SH).
Actionable Risk Opportunities, Tactical Musings and Timing Indicators for Investors
Tuesday, February 23, 2016
Risk Management Still Job #1....02.23.16
Those pesky Brits are threatening to bail from the EU and it rattled the overseas markets overnight and now the US markets in lockstep which are crumbling badly into the close.
A quick check of the M6 model with the beta neutral portfolio shows a distinct divergence in the momentum and mean reversion modes with the current skew favoring the short side (SH).
A quick check of the M6 model with the beta neutral portfolio shows a distinct divergence in the momentum and mean reversion modes with the current skew favoring the short side (SH).
