Category: Risk & Style Premia (Page 2 of 16)
While tranching can simply be a way to de-emphasize the impact of a specific rebalancing date choice, it may also introduce momentum effects in a portfolio.
We demonstrate that many common trend models are mathematically linked, but show how their differences can lead to meaningfully different signals.
Option-Based Trend Following
By Nathan Faber
On June 23, 2020