Month: February 2019
The convexity of trend may be more crisis beta than crisis alpha, where the nature of the crisis is defined by the speed of the trend following system.
We decompose trend into returns from an option payoff and trading impact, demonstrating that the historical convexity and premium have different sources.
We explore the risk-based framework that gives risk to our philosophy of "no pain, no premium" and its implications for diversification.
Three Applications of Trend Equity
By Corey Hoffstein
On February 25, 2019