Trends and Risk Premia: Update and Additional Plots
Tung-Lam Dao, Daniel Hoehener, Yves Lemp\'eri\`ere, Trung-Tu Nguyen,, Philip Seager, Jean-Philippe Bouchaud
TL;DR
This paper updates previous research on trend following profitability and risk premia skewness, providing new data visualizations that reinforce earlier findings in finance.
Contribution
It offers additional plots with new data to confirm prior results on trend strategies and risk premia, enhancing the robustness of previous conclusions.
Findings
Trend following strategies remain profitable over 200 years.
Risk premia profitability correlates with skewness.
New data plots support earlier findings.
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.
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Taxonomy
TopicsFinancial Markets and Investment Strategies · Economic theories and models · Financial Reporting and Valuation Research