How much trend? – MAN
Today’s post looks at a recent paper from MAN on how much trend following to include in your portfolio.
Category: Trend
The Hurst Exponent
Today’s post looks at the Hurst Exponent, which is a measure of how strongly a data series is trending.
Dirty Portfolios – Mount Lucas
Today’s post looks at an article from last year on the Mount Lucas blog about adding Managed Futures to Lazy Portfolios, to form what Mount Lucas calls Dirty Portfolios.
Trending, Fast and Slow
Today’s post looks at a paper from MAN on the speed of trend-following systems.
CTA Replication – Rabener
Today’s post looks at three articles from Nicolas Rabener on CTA replication.
Speed in Trend Following – MAN
Today’s post looks at a recent paper from MAN Group on speed in trend following.
The Market Environment for Trend
Today’s post looks at a 2019 report from Abbey Capital on The Market Environment for Trend Following.
Tail Protection Fast or Slow?
Today’s post looks at a recent paper from AQR on whether you should prefer tail risk protection that works in slow drawdowns or in rapid crashes.
How much Trend? – Carver
Today’s post looks at an article from last year by Robert Carver on how much trend we should have in our portfolios.
Relative Strength Strategies – Meb Faber
Today’s post looks at a 2010 paper from Meb Faber on the subject of Relative Strength Strategies.
Trend and Macro – AQR
Today’s post looks at a recent paper from AQR on the impact of the macro environment on trend-following returns.
