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

Author

Listed:
  • Joseph Lu
  • Randall R Rojas
  • Fiona C. Yeung
  • Patrick D. Convery

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.

Suggested Citation

  • Joseph Lu & Randall R Rojas & Fiona C. Yeung & Patrick D. Convery, 2025. "TrendFolios: A Portfolio Construction Framework for Utilizing Momentum and Trend-Following In a Multi-Asset Portfolio," Papers 2506.09330, arXiv.org.
    • Handle: RePEc:arx:papers:2506.09330
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    File URL: http://arxiv.org/pdf/2506.09330
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    References listed on IDEAS

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    1. Shimizu, Hidehiko & Shiohama, Takayuki, 2020. "Constructing inverse factor volatility portfolios: A risk-based asset allocation for factor investing," International Review of Financial Analysis, Elsevier, vol. 68(C).
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