Highlights

  • What drives risk variation in trend-following systems? Chief Research Strategist Kathryn Kaminski, PhD, CAIA® and Junior Research Scientist Ying Yang M.F.E. review the two-stage process in trend-following systems to explain how different design choices might impact risk exposures.
  • Analysis considers risk allocation, signal generation and position sizing related to trend conviction, and position limits and risk rescaling related to risk management.
  • A case study of 2019 demonstrates how different risk management decisions can generate different results.

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