Tag: trend (Page 1 of 2)
In this research note, we ask whether trend-following techniques can be applied to the active returns of long-only style portfolios.
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.
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.
The Speed Limit of Trend
By Corey Hoffstein
On April 15, 2019