Following the trend, adaptively
Author(s)
Wei, Daren
Buraschi, Andrea
Jivraj, Farouk
Type
Working Paper
Abstract
March 2020 saw a severe downturn of at least 25% during the global sell-off across most G20 nations due to the impact of COVID-19. Trend-following, as an investing style and known for its defensive characteristics, experienced one of the highest cross-sectional dispersions in its performance, as an across the industry, over the past 20 years.
In this paper, we investigate the nuances around implementation of trend-following strategies that could help to explain this dispersion in performance during volatile periods and as such highlight the importance of such strategies in being adaptive through different market environments.
In this paper, we investigate the nuances around implementation of trend-following strategies that could help to explain this dispersion in performance during volatile periods and as such highlight the importance of such strategies in being adaptive through different market environments.
Date Issued
2020-09-01
Citation
2020
Copyright Statement
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