Category Archives: Trend following
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?
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.
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.
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.
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.