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KEY TAKEAWAYS:

  • What drives risk variation in trend-following systems? We review the two stages in the process to explain how different design choices might impact risk exposures.
  • Trend-following strategies are designed to measure the overall strength of trends in a wide range of global markets.
  • There are several methodologies for readjusting risk in trend-following systems that can impact how risk exposure varies both across assets and by overall level.

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