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Trend Following: Performance, Risk and Correlation Characteristics

Michael Covel (March 29, 2005)

Trend Following:
Performance, Risk and Correlation Characteristics

Trend Following has had positive returns over a 20 year period because trends occur in virtually all markets some of the time. Trend Followers create quantitative models to capture these long term trends while limiting the cost of doing so. These models create an expected return profile similar to being long options..."

Michael Rulle

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