Trend following strategy in futures using non binary forecasts Project motivation As David Ricardo, a British economist in the 19th century once said, ‘cut short your losses and let your profits trend’ allude to the point that trend following as a profitable strategy could exist even back then.
Having read AQR’s papers on the Time Series Momentum (TSMOM, I am keen to explore this topic in the futures space (Moskowitz, T.
Framework for capital allocation In this resource starved world, capital is scarce. Every dollar that you own has its place and deserves to be allocated properly.
Currently, I already have a huge chunk of capital tied up in a diversified portfolio levered up to 1.4 times. Portfolio has (& expected to) outperformed/ matched up to market returns with 2 to 3 times lower risk - in terms of standard deviation and drawdown.