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.
Using simulation techniques, we aim to explore how different trend speed models behave for different drawdown sizes, durations, and volatility levels.
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.
Timing Trend Model Specification with Momentum
By Corey Hoffstein
On December 23, 2019