Trend Following with Managed Futures

Greyserman, Alex; Kaminski, Kathryn

doi:10.1002/9781118891018

“…These exceptional times offer periods when trend following can deliver substantial outperformance. Greyserman and Kaminski (2014) describe the notion of 'crisis alpha' and demonstrate that trend following can realise excess returns during periods of market turmoil. In the case of this paper, the outperformance is captured through harbouring in the safe haven of Treasury Bills during periods of low returns and high volatility.…”

Section: Trend Following Portfoliosmentioning

confidence: 99%

Trend Following and Momentum Strategies for Global REITs

Moss¹,

Clare²,

Thomas³

et al. 2015

Journal of Real Estate Portfolio Management

View full text Add to dashboard Cite

This study investigates whether the risk adjusted returns of a global REIT portfolio would be enhanced by adopting a trend following strategy (which is an absolute concept), a momentum based strategy (which is a relative concept and requires individual country allocations), or indeed a combination of the two. We examine the results in terms of both a dedicated Global REIT exposure, and the impact on a multi-asset portfolio. We find that the main improvements arise when the broad index is replaced with one of the four trend following (TF) strategies. The portfolios deliver similar returns but volatility is reduced by up to a quarter to the 8-9% range, the Sharpe ratios increase by 0.1 to 0.5 with the main benefit being the reduction in the maximum drawdown to under 30% compared to 43% when the broad index was used. We thus find that a combined momentum and trend following Global REIT strategy can be beneficial for both a dedicated REIT portfolio and adding REITs to a multi-asset portfolio.

show abstract

“…Momentum trading schemes are characteristically trend-following (Greyserman & Kaminski, 2015). Therefore, they participate in most of the positive aspects (upside) at the same time keeping away from bear markets as soon as they are strongly instituted.…”

Section: Momentum Intuitionmentioning

confidence: 99%

Untitled

2020

ESJ

0

View full text Add to dashboard Cite

Exchange-Traded Funds (ETFs) have become one of the most interesting and valuable innovations in the financial industry today. These funds are expected to remain growing at a pace more rapidly than mutual funds and hedge funds in the next couple of years. Educating a new and expanding investors has become a global imperative among ETF issuers. Sensible and engaged investors need to know what makes ETFs unique. The purpose of this article is to help asset owners and investors understand and use ETFs to build institutional-quality portfolios. Through literature search in books, journal articles and the internet, the current research article explored what ETFs are, the regulatory and legal environment, benefits, drawbacks, and criticisms levelled against them as investment vehicles. The results indicated that ETFs are passive and diversified investment instruments with lower management fees, tax efficiency, transparent and easily accessible. However, the strategic investment decision in ETFs are determined by investors' objectives, risk aversion and time horizon of investment. Thus, this article is useful to CEOs, Board of Directors, Investment Managers, investors of all sizes, and prospectus investors to help them navigate the risks and rewards and decide whether these securities, now three decades old, make sense for their portfolios. The article is also useful for charterholders, graduate students in economics and finance and CFA candidates to fully absorb. Both practitioners and academics can use this article as a reference and guide.

show abstract

“…Momentum trading schemes are characteristically trend-following (Greyserman & Kaminski, 2015). Therefore, they participate in most of the positive aspects (upside) at the same time keeping away from bear markets as soon as they are strongly instituted.…”

Section: Momentum Intuitionmentioning

confidence: 99%

Exchange-Traded Funds: What You Need to Know?

Nyukorong¹

2020

ESJ

0

View full text Add to dashboard Cite

Exchange-Traded Funds (ETFs) have become one of the most interesting and valuable innovations in the financial industry today. These funds are expected to remain growing at a pace more rapidly than mutual funds and hedge funds in the next couple of years. Educating a new and expanding investors has become a global imperative among ETF issuers. Sensible and engaged investors need to know what makes ETFs unique. The purpose of this article is to help asset owners and investors understand and use ETFs to build institutional-quality portfolios. Through literature search in books, journal articles and the internet, the current research article explored what ETFs are, the regulatory and legal environment, benefits, drawbacks, and criticisms levelled against them as investment vehicles. The results indicated that ETFs are passive and diversified investment instruments with lower management fees, tax efficiency, transparent and easily accessible. However, the strategic investment decision in ETFs are determined by investors' objectives, risk aversion and time horizon of investment. Thus, this article is useful to CEOs, Board of Directors, Investment Managers, investors of all sizes, and prospectus investors to help them navigate the risks and rewards and decide whether these securities, now three decades old, make sense for their portfolios. The article is also useful for charterholders, graduate students in economics and finance and CFA candidates to fully absorb. Both practitioners and academics can use this article as a reference and guide.

show abstract

Trend Following with Managed Futures

Cited by 15 publications

References 0 publications

Trend Following and Momentum Strategies for Global REITs

Trend Following and Momentum Strategies for Global REITs

Untitled

Exchange-Traded Funds: What You Need to Know?

Contact Info

Product

Resources

About