Category Archives: Trend following

S&P 500 Momentum Just Generated a Sell Signal

A popular momentum strategy based on the 12-month moving average in S&P 500 just generated an unconfirmed sell signal. Is this a replay of the 2015-2016 chop action or bear market signal?

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CTA Woes Continue in 2018

According to actual performance data, top 20 CTA woes continue in 2018 with an average return of about -2.65% year-to-date. A statistical test shows that the null hypothesis of random performance of top 20 CTAs since 1987 cannot be rejected.

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Emerging Markets Trend Followers Still In Red Despite Recent Rally

Despite a 33.4% year-to-date gain in the iShares MSCI Emerging Markets ETF (EEM), trend followers in the last seven years are still in the red.

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The Limiting Case Of Equity Trend-following is Passive Investing

Many of us who were trend-followers in the 1990s find the current notion of equity trend-following sort of peculiar, if not amusing, due to hindsight bias effect.

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Neal Berger: Trend-Following Won’t Survive

Neal Berger, the CIO of Eagle’s View Asset Management, thinks trend-following and other “pedestrian” quant strategies, such as momentum, won’t survive due to lack of dumb money. I have also been saying this for a few years.

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Tactical Investing Conundrum

One of the most difficult problems of tactical investing is using timing strategies that are not biased due to special market conditions of the past.  However, most promoters of tactical investing are unaware of this problem and rely on hypothetical … Continue reading

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