DoubleLine Publishes Paper: "A Trend-Following Strategy for Portfolio Diversification"
DoubleLine's Deputy Chief Investment Officer, Jeffrey Sherman, and Quantitative Analyst, Eric Dhall, have published a paper on market-return momentum and trend-following indexes.
Sentiment and the balance of points
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Rhea-AI Summary
DoubleLine's Deputy Chief Investment Officer, Jeffrey Sherman, and Quantitative Analyst, Eric Dhall, have published a paper on market-return momentum and trend-following indexes. They introduce the DoubleLine Multi-Asset Trend Strategy, which aims to leverage crowd psychology and pricing dynamics to capture a positive momentum risk premium. This strategy combines exposure to the BNP Paribas Multi-Asset Trend Index and fixed income securities, providing investors with enhanced trend exposure and incremental income at competitive prices.
Positive
- Introduction of the DoubleLine Multi-Asset Trend Strategy that offers superior trend exposure.
- Combines trend-following exposure with a portfolio of low interest-rate risk fixed income securities.
- Provides investors with both trend exposure and an incremental income stream.
Negative
- None.
Details
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LOS ANGELES, Oct. 28, 2022 /PRNewswire/ -- In a new research paper, DoubleLine Deputy Chief Investment Officer Jeffrey Sherman and Quantitative Analyst Eric Dhall explore the theory of market-return momentum and the applied results of trend-following indexes. Then they introduce the DoubleLine Multi-Asset Trend Strategy.
"Crowd psychology and pricing dynamics create observable momentum in returns, prices tending to continue in one direction until a catalyst shifts sentiment," Messrs. Sherman and Dhall write. In their paper, they "explore the performance, benefits and limitations of actual trend-following indexes and the academic case for a positive momentum risk premium that the algorithms driving these indexes seek to capture. Then we will present the DoubleLine Multi-Asset Trend Strategy, which we believe offers a superior trend-exposure solution."
To read the paper, please click on this link: https://doubleline.com/wp-content/uploads/2022/10/Trend-Following-Strategies_October-2022.pdf
The DoubleLine Multi-Asset Trend Strategy is a turnkey solution offering what DoubleLine thinks is a superior trend exposure along with enhanced collateral management at a competitive price. By simultaneously providing exposure to the BNP Paribas Multi-Asset Trend Index (accessed through a swap contract) and a portfolio of fixed income securities with low interest-rate risk, investors obtain trend exposure and an incremental income stream in their portfolio.
DoubleLine Capital is an investment adviser registered under the Investment Advisers Act of 1940. DoubleLine's offices can be reached by telephone at (213) 633-8200 or by e-mail at info@doubleline.com. Media can reach DoubleLine by e-mail at media@doubleline.com. DoubleLine® is a registered trademark of DoubleLine Capital LP.
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SOURCE DoubleLine
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