- Advertisement -
- Advertisement -

Trend-Following and Long/Short Quality: Attack Wins You Games, Defence Wins You Titles

Report: Systematic Strategies

- Advertisement -

By Yash Panjabi and Graham Robertson – Man AHL: How can we protect against sharper, faster sell-offs? Or, better yet, how can we profit from them? ‘Attack wins you games, defence wins you titles’. Those are the words of Sir Alex Ferguson, arguably British football’s most accomplished coach, whose 13 Premier League trophies were embodied by an impeccable and resolute defensive line. This defensive philosophy is equally applicable to the arena of asset management and offers a robust principle for portfolio construction. In this paper, we explore how a long/ short (L/S) quality cash equity strategy has similar defensive characteristics to trend-following, but achieves this by a differentiated yet complementary approach.

Introduction

In a previous article, Trend Following: A Different Point of Skew,  we observed that the ‘crisis alpha’ provided by trend-following strategies depends on the period over which we are seeking protection. When sell-offs last longer than a few months, which is the typical sensitivity of trend-followers, strategies have time to react. Over relatively short periods, say one week, trend-following does not have enough time to adapt, and the ‘crisis alpha’ property disappears. This naturally leads us to ask: how can we protect ourselves against sharper, faster sell-offs? Or, better yet, how can we profit from them?

To answer this, we turn to the insights shared by our Man Group colleagues in ‘The Best of Strategies for the Worst of Times: Can Portfolios Be Crisis Proofed?’, by exploring how a L/S quality cash equity strategy can be a diversifying complement to trend-following whilst also sharing its defensive characteristics.

Read the full article here.

Subscribe to HedgeBrev, HedgeNordic’s weekly newsletter, and never miss the latest news!

Our newsletter is sent once a week, every Friday.

Man Group
Man Grouphttp://www.man.com
Man Group is a global, technology-empowered active investment management firm focused on delivering alpha and portfolio solutions for clients. Headquartered in London, we manage $151.7 billion* and operate across multiple offices globally. *As at 30 June 2023.

Latest Articles

The Value of Short Selling for Symmetry

Stockholm (HedgeNordic) – Stock-picking hedge fund Symmetry Invest has achieved a net-of-fees annualized return of 18 percent since its inception just over 11 years...

Month in Review – June 2024

Stockholm (HedgeNordic) – Despite June marking the end of a long streak of consecutive positive months, the Nordic hedge fund industry still achieved its...

New Equity Managers Join Borea to Bolster Fund Offerings

Stockholm (HedgeNordic) – Following the acquisition of a majority stake by Frendegruppen – a consortium of Norwegian independent banks, Borea Asset Management is strengthening...

Obligo Raises Final €75 Million for PE Fund

Stockholm (HedgeNordic) – Obigo Investment Management has announced the final close of its infrastructure-oriented private equity fund, Obligo Nordic Climate Impact Fund (ONCIF), raising...

RFP: Irish Investor in Search of Tail Risk Mitigation

Stockholm (HedgeNordic) – An Irish institutional investor seeks an overlay manager or managed options strategies to mitigate tail risk in its €2.5 billion fund-of-funds...

Cevian on Buying Spree, Discloses 5% Stake in Smith & Nephew

Stockholm (HedgeNordic) – Swedish activist investor Cevian Capital has disclosed a five percent stake in UK medical device manufacturer Smith & Nephew, signaling intentions...

Allocator Interviews

In-Depth: High Yield

Voices

Request for Proposal

- Advertisement -