Category: Trend (Page 4 of 7)
We decompose trend into returns from an option payoff and trading impact, demonstrating that the historical convexity and premium have different sources.
Long/flat trend-following strategies look like call options with uncertainty. Combining multiple trend models can reduce this uncertainty in the payout.
We demonstrate how simple differences in dual momentum implementations can lead to annual performance differences up to thousands of basis points.
In this research note we discuss three simple signals – term spread, momentum, and prior equity returns – for timing exposure to 10-year U.S. Treasuries.
G̷̖̱̓́̀litch
By Corey Hoffstein
On February 19, 2019