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Trend following remains the largest individual signal allocation within The Winton Fund’s multi-strategy portfolio and has been the primary driver of returns year-to-date. We have long argued that trading speed is an important differentiator between trend-following strategies and the topic has been subject to continual research throughout the firm’s history. Here, we discuss the challenges associated with selecting a trading speed and the rationale behind our choice of speed, before touching on other areas of focus in our research.

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