趨勢跟隨策略一般被大眾認為是買權益波動度策略，因為在景氣極端的時候有比較好的報酬，而在景氣普通的時候的報酬則沒有那麼好。Fung and Hsieh (2001) 提出PTFS因子來解釋趨勢跟隨策略的報酬，他們發現PTFS相較於一般的線性因子對於趨勢跟隨策略有較好的解釋能力。本篇論文用趨勢跟隨策略與五個PTFS因子做迴歸，探討在不同景氣與不同的VIX百分比變動下，趨勢跟隨策略指數報酬是否反映趨勢跟隨策略經理人投資在五個不同的金融市場。Kaminski (2012) 提出如果趨勢跟隨策略真的是買權益波動度策略，則趨勢跟隨策略應該跟權益波動度的變動有高度的相關性。本篇論文計算趨勢跟隨策略與標準普爾五百指數每月標準差的變動在不同景氣與不同的VIX百分比變動的相關係數來探討趨勢跟隨策略是否為買權益波動度策略。研究結果顯示趨勢跟隨策略經理人在景氣蕭條或是VIX增加的時候會投資在債券市場，景氣繁榮或是VIX下降的時候會投資在匯率及商品市場。而趨勢跟隨策略並不是買波動度策略因為趨勢跟隨策略的報酬與權益波動度的變動並不是呈現正相關。根據以上的分析，趨勢跟隨策略與MSCI世界指數月報酬呈現U型的原因並不是因為趨勢跟隨策略是買波動度策略，而是因為在不同的情況下趨勢跟隨經理人會投資在不同的市場。 Trend-following strategies have been thought as long equity volatility strategies because they have better performance when economy is in extreme states and less well when economy is in normal states. Fung and Hsieh (2001) showed that PTFS factors have better explanatory power than the linear factors. This thesis regresses trend-following monthly returns against the five PTFS factors in different economy states as well as in different states of the percentage changes of VIX to see if the trend-following index has return exposure to any specific PTFS factor in each state scenario. Kaminski (2012) mentioned that if trend-following strategies are really long equity volatility, then trend-following should have high and positive correlation with equity volatility changes. This thesis calculates the correlation coefficients between trend-following monthly returns and the changes of one-month standard deviations of S&P 500 index returns to see the relationship between trend-following and the changes of volatility. This investigation can see if trend-following strategies are really long equity volatility strategies. The results show that trend-follower index exposed to PTFSBD when economy is in depression state or when the percentage changes of VIX increase, and exposed to PTFSFX and PTFSCOM when economy is in boom state or when the percentage changes of VIX decline. Further, trend-following strategy is not always a long equity volatility strategy because it does not always have positive correlation to the changes of volatility. Given the analyses above, the reason that the payoffs of trend-following strategy have a U-shaped pattern across states of MSCI World Index monthly returns is attributed to the fact that trend followers are capable of investing in different markets in accordance with different states, not because trend-following strategy is a long equity volatility strategy.