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TREND FOLLOWING AND EXPECTED RETURN

TREND FOLLOWING AND EXPECTED RETURN Trend following strategies have the reputation of being the holy grail of investment. This paper investigates the trend following strategy both from a theoretical and empirical perspective. This article also discusses conditional expected return and the drawdown with Value at Risk (VaR). VaR will not tell you how likely you are to experience changes in expected return for the securities in your portfolio. Such a number is very easy to estimate historically but not so easy to forecast i.e. how do you detect the next Bernard Madoff? JEL: O16, D81, G32 Keywords: finance, trend following, risk management http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Economics, Management, and Financial Markets Addleton Academic Publishers

TREND FOLLOWING AND EXPECTED RETURN

Economics, Management, and Financial Markets , Volume 6 (2): 39-56 – Jan 1, 2011

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Publisher
Addleton Academic Publishers
Copyright
© 2009 Addleton Academic Publishers
ISSN
1842-3191
eISSN
1938-212X
Publisher site
See Article on Publisher Site

Abstract

Trend following strategies have the reputation of being the holy grail of investment. This paper investigates the trend following strategy both from a theoretical and empirical perspective. This article also discusses conditional expected return and the drawdown with Value at Risk (VaR). VaR will not tell you how likely you are to experience changes in expected return for the securities in your portfolio. Such a number is very easy to estimate historically but not so easy to forecast i.e. how do you detect the next Bernard Madoff? JEL: O16, D81, G32 Keywords: finance, trend following, risk management

Journal

Economics, Management, and Financial MarketsAddleton Academic Publishers

Published: Jan 1, 2011

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