The REIT paper and the Chinese sector paper seem to be a little at odds, yeah? One says "add complexity via regime detection" and the other says "complexity backfires." I think a little complexity in our models is inevitable though - it does make me wonder if the real lesson is about where complexity belongs in the pipeline, not just how much.
Like everything in life, I think there is a balance. Additionally, this balance may not be the same for all asset classes or geographical sectors. For example, some assets may be more efficient than others, and require other techniques.
The REIT paper and the Chinese sector paper seem to be a little at odds, yeah? One says "add complexity via regime detection" and the other says "complexity backfires." I think a little complexity in our models is inevitable though - it does make me wonder if the real lesson is about where complexity belongs in the pipeline, not just how much.
Like everything in life, I think there is a balance. Additionally, this balance may not be the same for all asset classes or geographical sectors. For example, some assets may be more efficient than others, and require other techniques.