Selected hedge funds employ trend-following strategies in an attempt to achieve superior risk adjusted returns.
Department of Operations Research & Financial Engineering, Princeton University
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|
|Pôle de recherche||Finance|