LongTail Alpha

Research

12 Pages

LongTail Alpha examines how multi asset trend following strategies behave when interest rates rise. The authors build a simple rules based portfolio across equities, rates, commodities and currencies back to 1970 and compare performance across rate regimes. They conclude that trend following can still work in rising rate environments because powerful trends often appear in non bond markets.

Date published: May 23, 2022

Key Takeaways

Trend basics: Defines trend following as systematically going long rising assets and short falling ones across diversified futures markets.
Rate regime impact: Explains that trend programs can earn positive returns in both falling and rising rate periods when trends persist.
Multi asset role: Emphasizes that commodities and currencies often drive results when rates rise, not just short bond positions.
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