Trend Following: a persistent market anomaly

1 May 2015

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In this note we present a study of trend following using two centuries of data. We find that trend following is a persistent market anomaly with highly significant performance over this long back-test. We also present a combined portfolio of a trend following investment and a standard basket of equities and bonds. We conclude that trend following is a valuable contribution to any portfolio manager's toolbox.

 

[This short note is a condensed version of our paper "Two centuries of trend following" published in the journal of Investment Strategies, 3, 41 - 61 (2014). Please refer to the long version for a more detailed discussion of the subject and an extensive bibliography of references.]
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