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. 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.
Year of publication: |
2002
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Authors: | Darius, Dries ; Ilhan, Aytac ; Mulvey, John ; Simsek, Koray ; Sircar, Ronnie |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 2.2002, 5, p. 354-361
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Publisher: |
Taylor & Francis Journals |
Saved in:
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