Trend Following: Quality, not Quantity

1 August 2016

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Investors typically seek to exploit the power of diversification: it is possible to improve risk-adjusted returns simply by combining different diversifying strategies of similar risk and return. In this paper, we ask if this approach should be applied to trend following models. There are many different methods of creating trend following models, and we consider a wide range of common approaches to investigate whether the combination of several of these models can lead to improved performance, or whether there is a better way to construct a trend following system.

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