Trend-following hedge funds and multi-period asset allocation

Dries Darius, Aytac Ilhan, John Mulvey, Koray D. Simsek, Ronnie Sircar

Research output: Contribution to journalArticle

5 Scopus citations

Abstract

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

Original languageEnglish (US)
Pages (from-to)354-361
Number of pages8
JournalQuantitative Finance
Volume2
Issue number5
DOIs
StatePublished - Oct 2002

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics, Econometrics and Finance(all)

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