Breaking Bad Trends
研究了趋势断裂（资产价格轨迹的转折点）对标准月度趋势跟踪策略表现的负面影响，发现2008年金融危机后美国经济扩张期趋势断裂频率增加，并提出了利用两种趋势断裂类型（市场修正和反弹）的动态趋势跟踪修复方法。
We document and quantify the negative impact of trend breaks (i.e., turning points in the trajectory of asset prices) on the performance of standard monthly trend-following strategies across several assets and asset classes. In the years of the US economy’s expansion following the global financial crisis of 2008, we find an increase in the frequency of trend breaks, which helps explain the lower performance of these trend strategies during this period. We illustrate how to repair such strategies using a dynamic trend-following approach that exploits the return-forecasting properties of the two types of trend breaks: market corrections and rebounds.