Soc Gen Report Validates, Explains Managed Futures, Trend PersistenceMark Melin
Managed futures trend following strategies have a very different return profile than those of standard assets, a Societe Generale study noted, while recommending inclusion of the strategy in a portfolio. By just adding a 20% trend following exposure to a portfolio, the Sharpe ratio of the diversified equity portfolio increased by 40% and drawdowns were reduced by 8%.
Study confirms adding managed futures trend following to . . .
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