Suppose you are given the mandate to run the strategy of trend following with $100,000,000 (for simplicity, call this gross notional), and need to rebalance it periodically (e.g. monthly, although it does not matter exactly). Can you explain how you plan to make the key trading decisions for each rebalance?

1. Signal Generation ("WHAT do we trade?) How do we determine which assets we expect to have a positive return? (TS/DR: and how high or low a return do we expect?)

2. Portfolio Construction(HOW MUCH do we trade?) How do we determine what percentage of our capital to allocate to each asset? (TS/DR: this percentage may be positive or negative.)

3. Trade execution (HOW do we trade?) How do we determine how much transaction cost we expect to pay to trade each asset? (TS/DR: and how do we minimize this?) Compare it to the previous two?