Most trend-following research focuses on signal construction: how to detect trends better, faster, or earlier. The paper asks a different question, and arguably a more important one for investors: once a market regime has been identified, what is the optimal portfolio exposure in that regime?
That is the central novelty of the paper which is available here.
Traditional time-series momentum strateg...
This paper represents a meaningful advancement in trend-following research by addressing a long-overlooked gap: the mechanical nature of exposure rules in regime-based strategies. The methodology is robust, leveraging Sharpe optimization to derive regime-specific weights, and the empirical validation across multiple datasets lends credibility to its claims. However, a peer reviewer might question the generalizability of the findings—while the out-of-sample period (1998–2025) is extensive, it may...