The Importance of Research in Trend Following

In trend following the big challenge, and I'm sure you discussed it before, is diversification is key. By just the law of diversification, by adding more and more markets, you can lift up your overall sharp ratio. In our case, we would never do that until there is a clear rationalization or model. We always operate under the assumption that we want to implement our systematic models with a threshold of overall implementation costs of less than half a percent per year. This needs a lot of research and you can apply your research and you see an immediate effect of it because it's almost deterministic over time.

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