Overall, trend-following strategies have performed well since the beginning of the COVID-19 crisis. Their “positively skewed” performance can help to reduce tail risk in diversified portfolios. They have also demonstrated significant dispersions across asset classes over the past month.
What's in the Full Report?
A 30-day intra correlation matrix of 111 trend strategies using a supervised correlation distance clustering technique. This provides essential insights on the market positioning of strategies across implementations and asset classes.