Peering Around Corners: How to Replicate Trend-Following Managed Futures
The paper explores methods to replicate these strategies using liquid futures markets, potentially providing a cost-effective and transparent alternative for investors.
Trend Following: Why?
The paper highlights how these strategies can enhance portfolio performance by providing return enhancement, drawdown reduction, and volatility mitigation.
Optimal Trend-Following With Transaction Costs
One of the significant contributions of the paper is demonstrating that moving average crossover rules can effectively approximate the optimal solutions for trend-following strategies when considering transaction costs.