Soc Gen Report Validates, Explains Managed Futures, Trend Persistence
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%.
Also see top hedge fund letters to investors
Study confirms adding managed futures trend following to . . .
SORRY! This content is exclusively for paying members. If you are subscribed and having an account error please clear cache and cookies if that does not work email support@valuewalk.com or click Chat.
|
