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There is a hypothesis that markets behave differently during U.S. Presidential Election years. In particular, managed futures strategies are said to perform better during the 4th Quarter of such years than others. We would like to thank Andrew Strasman of Totem Asset Group for a timely reminder about this effect.
Empowered by AlphaBot’s ease of working with returns of different frequencies (e.g. converting monthlies and dailies to quarterly figures), we decide