Daily Archives: Jun 12, 2020 at 07:22 am EDT

Research Review | 12 June 2020 | Forecasting

Breaking Bad Trends
Ashish Garg (Research Affiliates), et al.
May 7, 2020
We document and quantify the negative impact of trend breaks (i.e., turning points in the trajectory of asset prices) on the performance of standard trend-following strategies across several assets and asset classes. The frequency of trend breaks has increased in recent years, which can help explain the lower performance of monthly trend following in the last decade. We illustrate how to repair trend-following strategies by exploiting the return forecasting properties of the different types of trend breaks: market corrections and rebounds. We construct dynamic multi-asset trend-following portfolios, which harvest more than double the average returns of standard trend-following investing strategies over the last decade.
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Macro Briefing | 12 June 2020

Some US states reporting post-Memorial Day Covid-19 surges: WSJ
IMHE’s US model forecasts second-wave risk for Covid-19 in Q4: IMHE
US stock futures rebound in early Friday trading after Thursday’s sharp loss: CNBC
Survey shows most Americans support sweeping police reform proposals: Reuters
N. Korea all but ends diplomacy effort with US with harsh announcement: BBC
Survey: economists expect US economy to start recovering in Q3: WSJ
UK economy contracted by a shockingly steep 20% in April: Bloomberg
Eurozone industrial output down a record 17.1% in April vs. March: Reuters
US jobless claims continued to rise sharply last week: CNBC