Tag: Benchmark
1 post tagged as "Benchmark"
What is the Proper Benchmark for Momentum or Trend-Following Strategies?
July 25, 2016
Most academics and practitioners tend to compare momentum or trend-following strategies to a buy and hold investment strategy. They do so by comparing the results of the strategies to a benchmark that is a proxy for buy and hold. From this type of analysis many ‘experts’ justify why the strategies are either superior to buy…