Trends and Risk Premia: Update and Additional Plots
Portfolio Management
2017-08-28 v1
Abstract
Recently, our group has published two papers that have received some attention in the finance community. One is about the profitability of trend following strategies over 200 years, the second is about the correlation between the profitability of "Risk Premia" and their skewness. In this short note, we present two additional plots that fully corroborate our findings on new data.
Keywords
Cite
@article{arxiv.1708.07637,
title = {Trends and Risk Premia: Update and Additional Plots},
author = {Tung-Lam Dao and Daniel Hoehener and Yves Lempérière and Trung-Tu Nguyen and Philip Seager and Jean-Philippe Bouchaud},
journal= {arXiv preprint arXiv:1708.07637},
year = {2017}
}
Comments
Short note, 2 figures