Monster SocGen paper on trend. Sounds a little bit like the Trinity portfolio so you know I love it!
Chart, quote then download:
“Trend-following systems have a defensive risk profile due to their positive returns in most market downturns. They can also generate returns when the market rises. When combined with a traditional portfolio, trend following strategies tend to introduce useful diversification. With a 20% allocation to trend-following, the Sharpe ratio of a diversified portfolio increases by 40% and drawdown decreases by 8%.”
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