RT Journal Article SR Electronic T1 Protecting the Downside of Trend When It Is Not Your Friend JF The Journal of Portfolio Management FD Institutional Investor Journals SP 99 OP 111 DO 10.3905/jpm.2019.1.087 VO 45 IS 5 A1 Kun Yang A1 Edward Qian A1 Bryan Belton YR 2019 UL https://pm-research.com/content/45/5/99.abstract AB Simple trend-following strategies have been documented as cost-effective, transparent alternatives to the hedge-fund style managed futures strategies. Although largely capturing the returns of the managed futures industry, those simple strategies may periodically suffer significant losses due to oversimplified trend signals and underdiversified portfolio construction. In this article, the authors show that trend-following strategies with moderate sophistication and better diversification can significantly reduce the downside risk of simple trend-following strategies without sacrificing much upside potential. The authors therefore recommend that investors who seek the benefits of cost-effective trend-following strategies consider adding reasonable complexity to the strategies.TOPICS: Real assets/alternative investments/private equity, futures and forward contracts, portfolio construction, risk management