Go Skew Yourself with Managed Futures
Skewness is a statistical measure of how returns behave in the tails of a probability distribution. Wikipedia has a more robust definition of skewness with [...]
An Empirical Challenge for Trend-Following
Editor's Note: For the foreseeable future, we'll be focusing on research that explores investment strategies that are believed to help investors manage risk and diversify [...]
Trend Following Reality: You Need Trends to Trend-Follow
You Can't Always Trend When You Want Abhilash Babu, Brendan Hoffman, Ari Levine, Yao Hua Ooi, Sarah Schroeder and Erik Stamelos The Journal of Portfolio Management, March 2020A version of this [...]
Moving Average Distance and Time-Series Momentum
For investors that use trend-following strategies, Avramov, Kaplanski, and Subrhmanyam provided new evidence supporting momentum strategies and showed that the distance between short- and longer-term momentum signals provides additional explanatory power in the cross-section of equity returns.