| A number of years ago, I worked as an equity portfolio manager at a Commodity Trading Advisor that used trend following models. While I knew nothing about the specifics of their models, I knew that the traders next door appeared white-knuckled at the end of the day. Even though they were diversified across many different contracts, the trading system often steered them into a single big macro bet.
The bet might be characterized as a directional exposure to interest rates, or currencies, etc. It was then I realized that the application of trend following models on commodity, bond and currencies was picking up directional economic trends - but that's another story...............................................Full Article: Source
|