The Best Investment Writing Volume 5: Campbell Harvey and Michele Mazzoleni, Research Affiliates – Breaking Bad Trends
The Meb Faber Show - Better Investing
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The Relationship Between Turning Points Frequency and Trend Following Performance
The negative relationship between turning points frequency and tren following performance across the distribution of individual acets carries over to multi acet trend following portfolios. A one standard deviation increaseing the average number of usets turning points translated to approximately nine point two percentage points lower annual returns, which is economically significant relative to the ten % annalized volatility level over the sample.
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