  The performance of trend following strategies can be ascribed to the
difference between long-term and short-term realized variance. We revisit this
general result and show that it holds for various definitions of trend
strategies. This explains the positive convexity of the aggregate performance
of Commodity Trading Advisors (CTAs) which -- when adequately measured -- turns
out to be much stronger than anticipated. We also highlight interesting
connections with so-called Risk Parity portfolios. Finally, we propose a new
portfolio of strangle options that provides a pure exposure to the long-term
variance of the underlying, offering yet another viewpoint on the link between
trend and volatility.
