PT - JOURNAL ARTICLE AU - Kun Yang AU - Edward Qian AU - Bryan Belton TI - Protecting the Downside of Trend When It Is Not Your Friend AID - 10.3905/jpm.2019.1.087 DP - 2019 Jun 30 TA - The Journal of Portfolio Management PG - 99--111 VI - 45 IP - 5 4099 - https://pm-research.com/content/45/5/99.short 4100 - https://pm-research.com/content/45/5/99.full AB - Simple trend-following strategies have been documented as cost-effective, transparent alternatives to the hedge-fund style managed futures strategies. Although largely capturing the returns of the managed futures industry, those simple strategies may periodically suffer significant losses due to oversimplified trend signals and underdiversified portfolio construction. In this article, the authors show that trend-following strategies with moderate sophistication and better diversification can significantly reduce the downside risk of simple trend-following strategies without sacrificing much upside potential. The authors therefore recommend that investors who seek the benefits of cost-effective trend-following strategies consider adding reasonable complexity to the strategies.TOPICS: Real assets/alternative investments/private equity, futures and forward contracts, portfolio construction, risk management