Trend Following

The Best Strategies for Dealing with Inflation? Factors and Trend-Following

By |January 24th, 2022|Research Insights, Factor Investing, Trend Following, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

Inflation -- what's that? ... It has been quite a while since inflation has been considered a problem. Today, however, the angst surrounding the possibility of a resurgence in inflation is real and “top of mind” for investors.   If the current fear becomes a reality, how should investors react? What strategies and asset classes perform well in a rising inflationary environment? If inflation does resurge beyond a temporary phase, how should investors restructure or reposition their portfolios? The purpose of this article is to provide context for those decisions.

Trend-Following Filters – Part 5

By |February 15th, 2022|Research Insights, Trend Following, Trend-Following Course, Guest Posts|

There are two general types of Kalman filter models: steady-state and adaptive. A steady-state filter assumes that the statistics of the process under consideration are constant over time, resulting in fixed, time-invariant filter gains. The gains of an adaptive filter, on the other hand, are able to adjust to processes that have time-varying dynamics, such as financial time series which typically display volatility and non-stationarity.

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