Trend-following Hedge Funds and Multi-period Asset Allocation
نویسندگان
چکیده
Selected hedge funds employ trend-following strategies in an attempt to achieve superior risk adjusted returns. We employ a lookback straddle approach for evaluating the return characteristics of a trend following strategy. The strategies can improve investor performance in the context of a multi-period dynamic portfolio model. The gains are achieved by taking advantage of the funds’ high level of volatility. A set of empirical results confirms the advantages of the lookback straddle for investors at the top end of the multi-period efficient frontier.
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