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Nicolas Mirjolet - Multivariate Trend Following (S7E8)

Flirting with Models

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Balancing Diversification and Convexity in Trend Following Strategies

The chapter explores the challenges and benefits of expanding the investment universe in trend following strategies, including the impact on signal accuracy and program performance. It discusses the trade-off between convexity and program robustness, emphasizing the importance of balancing diversification to optimize performance. The conversation delves into the selection of markets based on liquidity profiles, the influence of idiosyncratic and macro factors, and the need for a homogeneous risk profile for investors.

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