Overview of Trend-Following Strategies .................................................................. 9

Risks of Momentum Strategies ............................................................................... 12

CTAs and Momentum Strategies ............................................................................ 14

Absolute Momentum Prototypes ............................................................................. 20

Relative Momentum Strategies ............................................................................... 25

Correlation of Momentum Strategies ...................................................................... 30

Selection of Trend Signal ........................................................................................ 36

Investment Horizon, Rebalance Frequency and Transaction Costs......................... 42

Dynamically Rebalanced Signals ............................................................................ 46

CTA Exposure to Prototype Momentum Factors .................................................... 48

Stop-Loss and Volatility Signals ............................................................................. 56

Incorporating Value/Reversion Factors ................................................................... 62

Risk Adjusted Momentum ....................................................................................... 66

Long Only Momentum ............................................................................................ 69

Risk Methods: J.P. Morgan Mozaic and Efficiente ................................................. 71

Diversified Trend-Following Strategies .................................................................. 73

Other Potential Enhancements ................................................................................ 79

Introduction to Seasonality ...................................................................................... 85

Quantifying Seasonality Across Assets ................................................................... 89

Prototype Seasonality Risk Factors ......................................................................... 98

Seasonality and Momentum Factor Portfolios ...................................................... 102

J.P. Morgan Investable Momentum Indices .......................................................... 110

J.P. Morgan Research on Momentum Strategies ................................................... 113

An Introduction to Commodity Trading Advisors (CTAs) ................................... 124

Mathematics of Trend Filtering Methods .............................................................. 136

CTA Exposure to Fung and Hsieh Factors ............................................................ 139

Rebalancing and Investment Horizons .................................................................. 140

Transaction Cost Analysis ..................................................................................... 146

Performance of Alternative Trend Signals ............................................................ 150

Stop-Loss Trigger and Short-Term Reversion Sensitivities .................................. 153

Macro and Market Regimes .................................................................................. 161

Performance-Risk Analytics .................................................................................. 163

Review of Portfolio Construction Methods ........................................................... 166

Academic References ............................................................................................ 171

Glossary ................................................................................................................. 177