TrendFolios: A Portfolio Construction Framework for Utilizing Momentum and Trend-Following In a Multi-Asset Portfolio

TL;DR

This paper introduces TrendFolios, a portfolio construction framework that leverages momentum and trend-following signals across multiple asset classes to generate excess returns and manage risks over more than two decades.

Contribution

The paper presents a novel multi-asset portfolio framework that actively incorporates momentum and trend-following strategies to improve performance and risk management.

Findings

Outperforms industry standard benchmarks

Reduces volatility and drawdowns

Achieves consistent excess returns over 22+ years

Abstract

We design a portfolio construction framework and implement an active investment strategy utilizing momentum and trend-following signals across multiple asset classes and asset class risk factors. We quantify the performance of this strategy to demonstrate its ability to create excess returns above industry standard benchmarks, as well as manage volatility and drawdown risks over a 22+ year period.