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Trend Following with Managed Futures by Alex Greyserman & Kathryn Kaminski
- "Approachable introduction for beginners"
- "Exploration of approach via data"
- "Explains dispersion in managed futures through strategy-specific betas"
A Quantitative Approach to Tactical Asset Allocation by Meb Faber
"Very accessible exploration of a simple trend rule on different asset classes"
Time Series Momentum by Tobias Moskowitz
- "Puts academic weight behind what most trend followers already knew for decades"
- "Explores 58 liquid instruments and fast to slow time series models"
Two Centuries of Trend Following by Capital Fund Management
"Takes trend following "out of sample" by looking at previously unexplored historical data"
Risk in Hedge Funds Strategies: Theory and Evidence from Trend Followers by Fung & Hsieh
"Models trend following based upon "lookback straddles," connecting options and trend following together"
The Convexity of Trend Following by Capital Fund Management
- "Understanding why trend following is mechanically convex"
- "Why its internal diversification means it might not be a great hedge against equity losses"
Market Timing with Moving Averages: Anatomy and Performance of Trading Rules by Valeriy Zakamulin
"Demonstrates that most trend rule systems are actually mathematical cousins"
Trend Filtering Methods for Momentum Strategies by Bruder et al
"A technical review of different estimators of trend."
Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies by Jusselin et al
- "in depth"
- "Derives a number of important theoretical results"
- "Amazing references"