Tightening the Uncertain Payout of Trend-Following

Happy Monday!

It seems our commentary from two weeks ago on specification risk in a simple Dual Momentum GEM strategy caused a bit of a stir. Enough, at least, to warrant an article over at Barron's.

This week, Nathan tackles the crux of this debate – specification versus style risk – from a totally different angle.

Using the theoretical ties between trend following and option strategies, Nathan demonstrates that a diversified trend following approach increases the consistency with which the option-style payoff is achieved.

You can check it out online or download the PDF.

We hope you enjoy.

- Corey

P.S. We're hosting a get together at The Waterfront Venice today from 6:30-10PM. 60+ folks are already RSVPed. It's short notice, but if you can make it, we'd love to see you there!

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