Rethinking Trend Following: Optimal Regime-Dependent Allocation (opens in new tab)

Most trend-following research focuses on signal construction: how to detect trends better, faster, or earlier. The paper asks a different question, and arguably a more important one for investors: once a market regime has been identified, what is the optimal portfolio exposure in that regime? That is the central novelty of the paper which is [...] Rethinking Trend Following: Optimal Regime-Dependent Allocation was originally published at Alpha Architect. Please read the Alpha Architect disclo...