Systematic Trading research and development, with a flavour of Trend Following
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Entries Tagged as 'research paper'

Managed Futures: still the Better Diversifier?

October 7th, 2012 · 4 Comments · Equities, Futures, Trend Following

A decade ago, Cass Business School Professor Harry M. Kat wrote a paper entitled Managed Futures and Hedge Funds: A Match Made in Heaven. In the paper Kat studied the impact of adding managed futures to traditional bond/stock portfolio allocations. In comparison to hedge funds, Kat found that: Apart from their lower expected returns, managed […]

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Reconciling Behavioral and Modern (EMH) Finances?

October 26th, 2010 · 4 Comments · Books

After the post on Fama’s rebuttal of Moving Averages (and a few strong reactions to it), it might be worth taking a more balanced look at the argument. Andrew Lo introduced the Adaptive Market hypothesis (AMH) in a 2004/2005 paper (download here). With the AMH, Lo attempts to reconcile the Efficient Markets Hypothesis with behavioral […]

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Trend Following returns breakdown

July 1st, 2010 · 4 Comments · Strategies, Trend Following

Following the previous post on backwardation, contango and crude oil, let’s look at how several factors can play a part in the overall trend following trading system performance. I have previously referenced the study by EDHEC Risk, which shows the different sources of return of a Trend Following strategy. The authors build the Mt. Lucas […]

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Weekend reading

June 25th, 2010 · 1 Comment · Trend Following

I have recently been browsing the great resource that is the SSRN (Social Science Research Network), looking for some Managed Futures/CTA/Trend Following papers. Here is a list of some I have bookmarked:

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Vince’s Leverage Space Model: better than MPT?

March 22nd, 2010 · 33 Comments · Backtest, Money Management

Ralph Vince‘s book Handbook of Portfolio Mathematics has been shamefully lying untouched on my desk for a few months… I started reading it but never finished it. I recently found a 30-page paper introducing the ideas and principles of his Leverage Space Model. I thought reading it might be a good way to get back […]

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Mammoth Hedge Fund moves into Trend Following

January 28th, 2010 · 5 Comments · Futures, Trend Following

AQR is a top hedge fund, managing around $24B in Assets. Lately, they have been making noise about their moving into the Managed Futures space (a.k.a. Trend Following). They seem to be working at institutional investor’s acceptance of trend following as an “investment” concept. They might just be trying to catch up with another mammoth […]

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Price Distributions and Trend Following

December 8th, 2009 · 8 Comments · Data, Forex, Trend Following

I posited in an earlier post that fat tails are one of the main reasons why trend following works. The underlying concept can be summarized as follows: trend following attempts to capture big price moves (a.k.a. trends). Since price distributions are leptokurtic (i.e. they exhibit fat-tails) long trends occur at abnormal frequency, providing greater sources […]

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