Eric Crittenden - All-Weather Portfolios with Trend Following (S3E7)
Flirting with Models
Using a Monte Carlo Simulation to Test Trend Following on Random Data
There's the sort of mechanical convexity that tren following has, just if you followed the systems. The premium emerges from either being a liquidity provider or through mathematically the auto correlation in the market. I spent probably three months of my life trying to build a system that traded on observable skew in the markets. It wasn't to prove that trend following works on random data. But you just brought up an interesting point. People talk about skew and the convexity. And i think that might be what you mean when you sayh the risk premium that skew risk"
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