The Alternative View – Trend, Crises and the Cost of Protection

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In Short

Trend-following strategies are widely recognised for providing three key benefits when added to portfolios: attractive long-run returns, low correlation to traditional asset classes, and the ability to generate positive returns in difficult equity markets (sometimes referred to as ‘Crisis Alpha’).

In this paper, we focus on the latter point in particular, and seek to understand what speed of trend-following system provides the best combination of these three benefits.

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