On the Returns of Trend-Following Trading Strategies
“We find an average difference in returns between the highest and the lowest volatility state of around 200 basis points per day for crude oil; and of around 150 basis points per day for the S&P 500.”
AssetEquitiesfutures, indices
StrategyMomentum
GeographyUS
FrequencyIntraday
Also stated: benchmark, universe of 500 futures contracts
Missing from abstract: out-of-sample test, costs, multiple testing
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The paper's neighbourhoodMomentum and trend following by year
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