Volatility Targeting Is Trendy: How Trend Following Explains Alpha in Volatility-Managed Strategies
“We test the hypothesis that this outperformance is mainly due to a loading on trend following that arises because of the negative correlation between return direction (trend) and magnitude (volatility), the so-called “leverage effect.””
AssetMulti-assetfutures, indices
StrategyMomentum
GeographyGlobal
ClaimAlphaexcess return
Also stated: Long-only, benchmark
Missing from abstract: out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodMomentum and trend following by year
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