Trend Following

///Trend Following

Trust the Process

By |2018-08-16T08:10:20+00:00June 21st, 2018|Factor Investing, Trend Following, Research Insights, Key Research, Value Investing Research, Momentum Investing Research|

As a native Philadelphian and huge basketball fan, I fully agree with the 76ers fan's rally cry -- Trust the Process. Even the players, such as Joel Embiid, have echoed the sentiment of the fans: [...]

Are Trend-Following and Time-Series Momentum Research Results Robust?

By |2018-06-04T07:51:29+00:00April 27th, 2018|Trend Following, Research Insights, Momentum Investing Research, Tactical Asset Allocation Research|

When it comes to trend following and/or time-series momentum research, we got ya covered! A few places to dig in: Evidence for Long-Term Trend-Following by Alpha Architect World's Longest Trend-Following backtest by Alpha Architect Diversification Benefits of [...]

Are Factors Better and More Diversifying Than Asset Classes?

By |2018-02-23T11:06:14+00:00February 23rd, 2018|Factor Investing, Trend Following, Guest Posts, Low Volatility Investing|

Executive Summary Factor investing promises outperformance at low cost. But to add value in a portfolio, it must deliver positive risk-adjusted returns and with low correlation to existing holdings. Historically, pure factor exposures have earned [...]

Time Series Momentum (aka Trend-Following): A Good Time for a Refresh

By |2018-02-09T10:57:32+00:00February 8th, 2018|Trend Following, Research Insights, Momentum Investing Research, Managed Futures Research|

Similar to some better-known factors like size and value, time-series momentum is a factor which has historically demonstrated above-average excess returns. Time-series momentum, also called trend momentum or trend-following, is measured by a portfolio which [...]

Book Review — Market Timing with Moving Averages

By |2017-12-20T09:53:01+00:00December 20th, 2017|Trend Following, Trend-Following Course, Research Insights, Book Reviews|

Trend-following is something I've struggled with for years -- always felt like voodoo magic and data-mining. That said, I finally came around to appreciating the practice after a ton of research replication efforts, independent research. [...]

Do Trend-following Managed Futures Increase Safe Withdrawal Rates?

By |2017-11-08T12:09:53+00:00November 8th, 2017|Trend Following, Research Insights, Managed Futures Research|

Andrew Miller, a regulator contributor to the blog, is passionate about the intersection of academic finance research and financial planning. We obviously love the academic finance research stuff, but our financial planning advice lacks serious [...]

Trend-Following: A Deep Dive Into A Unique Risk Premium

By |2017-10-18T10:56:41+00:00October 18th, 2017|Factor Investing, Trend Following, Research Insights|

Trend-following strategies have historically been laughed at via the modern academic finance research community. Having first-hand knowledge of that community, we can verify that academic researchers are humans like the rest of us (we checked, [...]

Trend-Following with Valeriy Zakamulin: Trading in Various Financial Markets (Part 8)

By |2017-11-21T11:33:56+00:00September 8th, 2017|Trend Following, Trend-Following Course, Introduction Course|

In our final blog post, that finishes the trend-following series, we briefly review the results of the forward-tests of the profitability of various trend following rules in different financial markets: stocks, bonds, currencies, and commodities. [...]

Trend-Following with Valeriy Zakamulin: Trading the S&P 500 Index (Part 7)

By |2017-09-01T08:02:37+00:00September 1st, 2017|Trend Following, Trend-Following Course, Introduction Course|

The Standard and Poor's (S&P) 500 index is a value-weighted stock index based on the market capitalizations of 500 large companies in the US. This index was introduced in 1957 and intended to be a [...]

Trend-Following with Valeriy Zakamulin: Anatomy of Trading Rules (Part 4)

By |2017-08-18T16:54:23+00:00August 13th, 2017|Trend Following, Trend-Following Course, Guest Posts, Investor Education, Introduction Course|

In our context, a technical trading indicator can be considered as a combination of a specific technical trading rule with a particular moving average of prices. In two preceding blog posts we showed that there [...]

Diversification Benefits of Time Series Momentum

By |2017-08-18T17:06:44+00:00August 10th, 2017|Trend Following, Larry Swedroe, Research Insights|

Similar to some better-known factors like size and value, time-series momentum is a factor that historically has demonstrated above average excess returns. Time-series momentum, also called trend-momentum or absolute momentum, is measured by a portfolio long assets that have had recent positive returns and short assets that have had recent negative returns. Compare this to the traditional (cross-sectional) momentum factor that considers recent asset performance only relative to other assets. The academic evidence suggests that inclusion of a strategy targeting time-series momentum in a portfolio improves the portfolio’s risk-adjusted returns.

Trend-Following with Valeriy Zakamulin: Types of Moving Averages (Part 2)

By |2017-08-18T16:54:20+00:00July 21st, 2017|Trend Following, Trend-Following Course, Guest Posts, Investor Education, Introduction Course|

In this post we aim to give an overview of some specific types of moving averages. Specifically, we cover "ordinary" moving averages and mention some examples of exotic moving averages.

Trend-Following with Valeriy Zakamulin: Moving Average Basics (Part 1)

By |2017-08-18T16:54:22+00:00July 14th, 2017|Trend Following, Trend-Following Course, Guest Posts, Investor Education, Introduction Course|

One of the basic principles of technical analysis is that ``prices move in trends". Traders firmly believe that these trends can be identified in a timely manner and used to generate profits and limit losses. Consequently, trend following is the most widespread market timing strategy; it tries to jump on a trend and ride it. Specifically, when stock prices are trending upward (downward), it's time to buy (sell) the stock. Even though trend following is very simple in concept, its practical realization is complicated. One of the major difficulties is that stock prices fluctuate wildly due to imbalances between supply and demand and due to constant arrival of new information about company fundamentals. These up-and-down fluctuations make it hard to identify turning points in a trend. Moving averages are used to ``smooth" the stock price in order to highlight the underlying trend.

The Value Momentum Trend Philosophy

By |2018-06-14T08:40:41+00:00June 6th, 2017|Factor Investing, Trend Following, Research Insights, Key Research, Value Investing Research, Momentum Investing Research|

If you've been reading our blog for a number of years you're 1) probably a finance geek, and you're 2) probably tired of us discussing the following themes: Value investing: buy cheap stocks (see our [...]

The Dirtiest Word In Finance: Market Timing

By |2017-08-18T16:55:39+00:00March 20th, 2017|Trend Following, Research Insights, Guest Posts, Tactical Asset Allocation Research|

In 2015, Cliff Asness made the case that to earn attractive returns with proper risk-based diversification and low correlation to traditional markets, investors need to embrace ‘the three dirty words in finance,’ which he defined [...]

Dual Momentum with Stock Selection

By |2017-10-27T18:10:46+00:00March 14th, 2017|Trend Following, Research Insights, Momentum Investing Research, Tactical Asset Allocation Research|

Jack did a nice recap on a momentum paper last week that looks at using fundamentals (revenue volatility, low cost of goods, and B/M) to help identify the best price momentum stocks.This paper sounds similar to the paper Jack reviewed, but there is a key difference: the researchers are looking at the momentum of the fundamentals, not the absolute value of the fundamentals. The authors compile a fundamental momentum variable by calculating the moving averages of 7 elements:return on equity return on assets earnings per share accrual-based operating profitability cash-based operating profitability gross profitability net payout ratio

Tactical Asset Allocation Insights via the Geeks from Thinknewfound

By |2017-08-18T16:56:23+00:00February 16th, 2017|Trend Following, Interviews, Tactical Asset Allocation Research|

How do we identify who is a flash in the pan blogger versus the next Michael Kitces, Josh Brown, or Ben Carlson?We've tried to do our part and help to promote and share research from up and coming "undiscovered" bloggers/writers out there. In our early days, we were helped by long-time bloggers such as Meb Faber and Tadas Viskanta, so we try and return the favor. Recent examples of up and coming guest writers we've highlighted include Dan Sotiroff (now heading to Morningstar!), Aaron Brask, Andrew Miller, Elisabetta Basilico, and Dan Grioli -- all of whom have written interesting and insightful pieces!

Go Skew Yourself with Managed Futures

By |2017-08-18T17:04:39+00:00January 10th, 2017|Trend Following, $wdti, Research Insights, Guest Posts, Managed Futures Research|

Skewness is a statistical measure of how returns behave in the tails of a probability distribution.  Wikipedia has a more robust definition of skewness with some good visuals here. If an investment (e.g., stocks) has negative [...]

Using Trend-Following Rules to Enhance Factor Performance

By |2017-08-18T16:53:57+00:00January 4th, 2017|Factor Investing, Trend Following, Research Insights, Tactical Asset Allocation Research|

After reviewing the 2016 performance of trend-following (-18.15%), its unclear why anyone would mention the word "trend following" in a public forum. But we'll give it a whirl anyway... The comedian Victor Borge once famously observed, [...]

The World’s Longest Trend-Following Backtest

By |2018-01-16T20:53:30+00:00November 9th, 2015|Trend Following, Key Research, Tactical Asset Allocation Research|

Were in the middle of an academic research project and we ran a simple long-term trend-following model from January 1, 1801 to September 30, 2015. Recently, there has been some research on the performance of trend-following rules [...]

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