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Breaking Bad Trends
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AI
DOI：10.1080/0015198X.2023.2270084.png)
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摘要
En 中文
We document and quantify the negative impact of trend breaks (i.e., turning points in the trajectory of asset prices) on the performance of standard monthly trend-following strategies across several assets and asset classes. In the years of the US economy's expansion following the global financial crisis of 2008, we find an increase in the frequency of trend breaks, which helps explain the lower performance of these trend strategies during this period. We illustrate how to repair such strategies using a dynamic trend-following approach that exploits the return-forecasting properties of the two types of trend breaks: market corrections and rebounds.
Keyword:
Asset pricing
behavioral finance
market timing
mean reversion
momentum speed
time-series momentum
trend following
turning points
volatility timing
期刊
F
IF:
2.2
论文数:
1.2K
被引数:
3.1K
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