Category: Trend

Hurst Exponent

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

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.

Trend and Macro - AQR

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

Quantica on Trend

Today’s post looks at a recent study from Quantica Capital on the benefits of trend-following.