Trend followers search for answers after a year to forget
Quants have new ideas to address strategy’s vulnerability to reversals
The first half of this year was a period systematic trend followers might like to forget. The second they’d prefer to remember. The inquest into what caused the Jekyll and Hyde performance is just beginning.
An up and down – or rather, down and up – 12 months has brought into focus some of the strategy’s weaknesses and reignited a debate about whether and how systematic ‘trend’ might be improved.
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