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

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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

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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

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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:

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