The Benefits of Trend Following Strategies

I would kind of disagree, because as a CTA or a futures program, we use a daily rebalancing mechanism. We adjust risk on a daily basis according to our target risk of each position and of the portfolio. So if you can achieve a 10% return with a 12% volatility, you should be able to achieve a 20%return with a 24% volatility. That's doable. We know that. And actually, by our hypothesis, we can achieve exactly the same sharp in terms of a new measure, a return and volatility in the right way. If you want pure trend, then maybe having the best sharp isn't what's going to give you the best returns over

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