The convexity of trend-following

CFM research finds trend-following strategies can protect your assets, but perhaps not as much as you would like

Much has been made recently of crisis alpha or crisis risk offset. And, in particular, of using trend-following as a hedge of future downside moves in, mostly, equity markets. We demonstrate that trend-following is mechanically convex relative to the underlying upon which one is trending, but, that the overall convexity