Darius, Dries; Ilhan, Aytac; Mulvey, John; Simsek, Koray; … - In: Quantitative Finance 2 (2002) 5, pp. 354-361
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...