Breaking Bad Trends

IF 3.4 3区经济学 Q1 BUSINESS, FINANCE

Financial Analysts Journal Pub Date : 2023-11-20 DOI:10.1080/0015198x.2023.2270084

Christian L. Goulding, Campbell R. Harvey, Michele G. Mazzoleni

引用次数: 0

Abstract

We document and quantify the negative impact of trend breaks (i.e., turning points in the trajectory of asset prices) on the performance of standard monthly trend-following strategies across severa...

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打破坏趋势

我们记录并量化了趋势中断(即资产价格轨迹的转折点)对几个时期标准月度趋势跟踪策略表现的负面影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Financial Analysts Journal BUSINESS, FINANCE-

CiteScore

5.40

自引率

7.10%

发文量

期刊介绍： The Financial Analysts Journal aims to be the leading practitioner journal in the investment management community by advancing the knowledge and understanding of the practice of investment management through the publication of rigorous, peer-reviewed, practitioner-relevant research from leading academics and practitioners.