The authors propose the use of short and long portfolios to analyze the risk and return
characteristics of trend-following strategies. They present evidence for the asymmetric profitability …

… In The Long and Short of Trend Followers, published in the Fall 2019 issue of The Journal
of Alternative Investments, Joakim Agerback of Finserve Nordic, Tor Gudmundsen-Sinclair of …

In contrast to previously presented alternative investment benchmarks such as the seven-factor
model by Fung and Hsieh [2001b], this article uses a rolling second moment of equity …