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SI274: Can You Time Trend Following? ft. Nick Baltas

Top Traders Unplugged

CHAPTER

Quantifying Asset Class Returns and Performance in Different Volatility Regimes

This chapter explores the performance of trend following systems in different volatility regimes, analyzing the contribution of asset classes and identifying trends. It discusses how trend following systems perform well in both high and low volatility regimes, with fixed income contributing in high-volatility regimes and equities in low-volatility regimes. The chapter also discusses the synchronization of volatility movements across asset classes and the difference between volatility regimes.

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