Post Profile






Risk Aspects of Long and Short Futures Trend-following [PREMIUM]

How do the long and short sides of futures trend-following strategies differently affect portfolio riskiness? In their September 2016 paper entitled “The Long and Short of Trend Followers”, Jarkko Peltomaki, Joakim Agerback and Tor Gudmundsen-Sinclair investigate via linear regression behaviors of the long and short sides of commonly used trend-following strategies across equities, bonds,
read more

share

Related Posts


Long and Short of Commodity Futures [PREMIUM]

Business & Finance / Investing : CXOAG Investmenting Notes

What is the best way to incorporate commodities into a diversified portfolio? In her August 2011 paper entitled “Long-Short Commodity Investing: Implications for Portfolio Risk and Market Regulation”, Joelle Miffre studies the perfo...

Combining Seasonality and Trend Following by Asset Class [PREMIUM]

Business & Finance / Investing : CXOAG Investmenting Notes

Does seasonality usefully combine with trend following for timing asset markets? In his January 2016 paper entitled “Multi-Asset Seasonality and Trend-Following Strategies”, Nick Baltas examines seasonal patterns (based on same cale...

Balancing Short-term and Long-term Portfolio Risks [PREMIUM]

Business & Finance / Investing : CXOAG Investmenting Notes

How should investors (particularly retirees) think about balancing short-term crash risk and long-term portfolio sustainability? In their March 2016 paper entitled “Asset Allocation with Short and Long Term Risk Objectives”, Peng Wa...

Combining Trend Following and Risk Parity across Asset Classes [PREMIUM]

Business & Finance / Investing : CXOAG Investmenting Notes

Are trend following (intrinsic or time series momentum) and risk parity complementary multi-class portfolio construction approaches? In his October 2015 paper entitled “Trend-Following, Risk-Parity and the Influence of Correlations”...

Futures Momentum Strategies and Financial Crises [PREMIUM]

Business & Finance / Investing : CXOAG Investmenting Notes

Do trend following strategies widely used by managed futures funds break down during financial crises? In the December 2013 version of their paper entitled “Is This Time Different? Trend Following and Financial Crises”, Mark Hutchin...

Comments


Copyright © 2016 Regator, LLC