Research and publications
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. The authors 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.
Author(s):
Dries Darius, Aytac Ilhan, John Mulvey, Koray D. Simsek, Ronnie Sircar
Summary:
Selected hedge funds employ trend-following strategies in an attempt to achieve superior risk adjusted returns. The authors 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.
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Register/Log in| Type : | Working paper |
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| Date : | 16/09/2002 |
| Keywords : |
Alternative Investments |
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Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 15 business schools. Fully international and directly connected to the business world, EDHEC commands a strong reputation for research excellence and the ability to train entrepreneurs and managers capable of breaking new ground. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching is inspired by its research work and a focus on “learning by doing”, all with the aim of equipping people with the skills to succeed in business.
