Trend Following Research (PDFs)

Trend Following

Trend Following

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Will use this thread to post interesting trend following PDFs + other trend following comments/writings. Some new, some old, but all timeless relevant.

1. Origins of trend following:

http://www.michaelcovel.com/pdfs/stig-ostgaard.pdf

2. The Role of Managed Futures and Commodity Funds: Protecting Wealth during Turbulent Periods

Professor John M. Mulvey Department of Operations Research and Financial Engineering Bendheim Center for Finance Princeton University Chairman, DPT Capital Management, LLC

Second one is simple search. Was having hard time linking to.
 
4. David Harding of Winton Capital May 2013:

Q: And the returns in the last few months in particular.
A: Well, the trend-following systems have been working a bit and you’ll see that in the rest of the industry. There has been a big trend in the yen which has been helpful and obviously stock markets have risen to all-time highs and that constitutes a trend, though I should point out, not one which is uncorrelated with the performance of stock markets because we and some of the other trend following managers are making money from the rise of stock markets. That’s a part of what we do. We’ve been making money from our non-trend following strategies as well and also from our new equity trading. Where our [managed] accounts are able to invest in equity trading they’ve been able to benefit from a good run for the equity systems as well.

Q: Can we expect the rest of the year to continue in the same vein?
A: I have no idea. You know, as I alluded to, and as I’ve alluded to many times before, one is more optimistic when one is making money but that doesn’t mean that the future prospects are any brighter at all. One is pessimistic when one is losing money and one is optimistic when one is making money. But the future prospects are essentially semi-random. Not over the long-term obviously. We hope that with this big research effort we’re tipping the odds onto our side. We’re loading the dice in the long-term in our favour. But, a dice that’s loaded in your favour does not systematically come up six every time you throw it and what will happen in the rest of the year will be largely random. I can tell you with certainty one of two things; we’ll be either up or down.
 
Quote from marketsurfer:

Why they leave off the last 2 years of performance? LOL!
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Doubtful nefarious intent as the point of the piece was to discuss 100 years of performance. I do understand some can only focus on the last 5 minutes.
 
Quote from HeSaidSheSaid:

Thanks Trend_Following!

basing on your experience, how would you assess the current trend of the indexes? Thanks
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There is no great analysis that can be afforded at any one moment for any market. The key is to have a system, with exits firmly in place, and stick with it. Once you have that the day to day guesses so popular about where markets may or may not go--stop.
 
Quote from Trend Following:

6. A Century of Evidence on Trend-Following Investing (PDF):

http://www.investireoggi.it/forum/a...-a_century_of_evidence_on_trend_following.pdf
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Hey Mike, have you read the paper and noticed the absurdly low
transaction cost estimates? This is a marketing piece not an academic paper used in an effort to make trend following look better. Look at 'appendix b'... roughly 1 es point, or a fraction of a bond tick--... do you really think a $10 billion trendfollowing firm can turn around a position with that little market impact?

The real numbers are at least 10x higher, so you can see how there is NO EVIDENCE of trend following success per the paper.

surf
 
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