CTA Replication – Rabener
Today’s post looks at three articles from Nicolas Rabener on CTA replication.
Category: Trend
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.
Quantica on Trend
Today’s post looks at a recent study from Quantica Capital on the benefits of trend-following.
Accelerated Dual Momentum
Today’s post looks at some tweaks to Gary Antonacci’s Dual Momentum strategy, from the guys at Engineered Portfolios.
