More Opportunities or Better Opportunities
The diversifying properties of systematic trend following strategies are well-understood. But in generating those diversifying returns, the strategy itself relies on having a diversified set of underlying markets and opportunities in which to trade. Therefore, trend following managers aim to maximise the diversification available to their strategies, and there is a growing set of products focusing on trading more obscure and harder-to-access markets. In this research, we analyse the performance and diversification of trend following across different market types and liquidity profiles, considering both traditional futures, and the more esoteric and harder-to-access markets being traded in more specialised products. Is there any kind of liquidity premium or novelty premium which makes these markets more suited for trend following? Or are they just different? We show that there is no evidence of superior trend following performance in individual harder-to-access markets. However, less-traditional markets have offered better diversification and are therefore compelling additions to a trend following portfolio.
SEC Marketing Rule
With effect from 1st November 2022, Aspect came into compliance with the U.S. Securities and Exchange Commission’s (SEC’s) new ”Marketing Rule”. This video was created prior to this date (“Old Material”) and therefore may not reflect certain requirements of the Marketing Rule. Please refer to the following website here for important disclaimers and other information required by the Marketing Rule, which are hereby incorporated into the Old Material by reference, to the extent applicable.