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Category Archives: Trend following
Sustained Negative Correlation Bewteen Stock and Bond Returns is Problematic
Over the longer-term stock and bond returns show a small but positive correlation. Periods of sustained low negative correlation usually indicate increasing stock market uncertainty and risk. The 120-day rolling correlation between SPY and TLT has been on a downtrend since February of last … Continue reading
Posted in Economic Analysis, ETF Analysis, Technical Analysis, Trend following
Tagged correlation, SPY, TLT, yields, ^TNX
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Trend-following Disaster on the Horizon?
October was another bad month for some trend-following funds adding to the monthly losses realized since the middle of this year. Funds with exceptional historical records in terms of annual return and drawdown are down 25% or even more year-to-date, making someone wonder whether the negative … Continue reading
Why trend following is hard – a quantitative answer
In this post I will try to demonstrate with a quantitative analysis why trend following is harder than other trading methods that use much shorter timeframes . I will start with the fundamental statement that a trading system is profitable if the sum of its … Continue reading
Commoditization of Trend following will not affect trends
Another excellent article by Jez Liberty backed by numerical results, something that is uncommon nowadays. These are my views as related to alpha, beta and the commoditization of trend following: