Trend-Following, Risk-Parity and the Influence of Correlations
While his paper focuses on trend-following, the emphasis on managing correlations and employing sophisticated weighting schemes resonates with the core principles of return stacking.
Trend-Following and Risk Factor Diversification in 2022 and 2023: A Tale of Two Extremes
Quantica Capital’s recent research delves into the relationship between trend-following performance, the number of independent risk factors, and investment universe diversification.