Larry Swedroe: Trend Following & Managed Futures

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Random Walker
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Larry Swedroe: Trend Following & Managed Futures

Post by Random Walker » Wed Oct 17, 2018 9:10 am

https://www.etf.com/sections/index-inve ... nopaging=1

Time series momentum (trend) is supported by a lot of research and intuitively there are multiple behavioral reasons to expect it to persist. Larry reviews a couple of papers on the subject. What matters is the portfolio as a whole, and the positive diversification effects on a typical portfolio can be significant. This may be especially true during extended bear markets. Larry also links to another article he wrote in the past that explains time series momentum in more depth.

https://alphaarchitect.com/2017/08/10/d ... -momentum/

Dave

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