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Multi-Asset Portfolio Construction with Momentum and Trend-Following

Article arXiv papers · Author: Joseph Lu et al.
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Summary

The document introduces TrendFolios, a portfolio construction framework that combines momentum and trend-following signals across several asset classes and asset-class risk factors. It describes an active investment strategy and says the framework is intended to capture return opportunities while managing portfolio volatility and drawdowns.

The authors report evaluating performance over a period exceeding 22 years and comparing the strategy with industry-standard benchmarks. They state that the analysis demonstrates excess returns alongside management of volatility and drawdown risk. However, this brief description provides no benchmark names, asset allocation details, signal definitions, portfolio rules, transaction cost assumptions, numerical results, or information about out-of-sample testing. Those omissions make it impossible to assess the strength or robustness of the reported findings from this text alone.

Key ideas

  • The framework combines momentum and trend-following signals across multiple asset classes and risk factors.
  • It uses those signals to guide construction of an active portfolio.
  • The authors say they evaluate returns, volatility, and drawdowns over more than 22 years.
  • Reported comparisons are against industry-standard benchmarks, but the description gives no benchmark identities or performance figures.
  • The brief account omits implementation details and evidence needed to independently judge robustness.

Tags

Multi-assetTrend followingMomentumPortfolio constructionRisk management
Full text
# TrendFolios: A Portfolio Construction Framework for Utilizing Momentum and Trend-Following In a Multi-Asset Portfolio


# TrendFolios: A Portfolio Construction Framework for Utilizing Momentum and Trend-Following In a Multi-Asset Portfolio









We design a portfolio construction framework and implement an active investment strategy utilizing momentum and trend-following signals across multiple asset classes and asset class risk factors. We quantify the performance of this strategy to demonstrate its ability to create excess returns above industry standard benchmarks, as well as manage volatility and drawdown risks over a 22+ year period.

Shown in full with attribution under the source's licence. Licence: abstract CC0

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.