Trend-Following Hedge Funds and Multi-Period Asset Allocation

Selected hedge funds employ trend-following strategies in an attempt to achieve superior risk adjusted returns.

Author(s):

Dries Darius, Aytac Ilhan, John Mulvey, Ronnie Sircar

Department of Operations Research & Financial Engineering, Princeton University

Koray D. Simsek,

Associate professor of Finance, EDHEC Business SchoolMember of the EDHEC-Risk and Asset Management Research Centre

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.

Type: Working paper
Date: le 16/09/2002
Research Cluster : Finance

See Also

Financial Times ranks EDHEC Executive Education among the Top 10 worldwide
News
- 23-05-2022
EDHEC Business School’s executive education offers rank among the Top 10 globally...
EDHEC partners with VIVATECH 2022 and offers 400 tickets to EDHEC students
News
- 20-05-2022
EDHEC is once again a partner of the unmissable tech event of the year, Viva Technology...
(Invitation) Inauguration of the Management in Innovative Health Chair - May 30, 2022 in Paris
News
- 17-05-2022
Emmanuel Métais, Dean of EDHEC Business School and Christophe Durand, General Manager...
News
- 10-05-2022
Live on YouTube !