Trend Following

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TREND-FOLLOWING WITH VALERIY ZAKAMULIN: TECHNICAL TRADING RULES (PART 3)

By |2018-10-08T15:49:37-04:00August 11th, 2017|Trend Following, Trend-Following Course, Introduction Course|

A trend following strategy is based on switching between a financial asset and cash depending on whether the asset prices trend upward or downward. Specifically, when the strategy identifies that prices trend upward (downward), it [...]

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

By |2018-10-08T15:49:36-04:00August 13th, 2017|Trend Following, Trend-Following Course, Introduction Course, Guest Posts, Investor Education|

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 [...]

Trend-Following with Valeriy Zakamulin: Performance Measurement and Outperformance Tests (Part 5)

By |2018-10-08T15:49:36-04:00August 18th, 2017|Trend Following, Trend-Following Course, Introduction Course, Investor Education|

We consider an investor and a financial market that consists of only two assets: one risky asset and one safe (or risk-fee) asset. An example of a risky asset is an investable stock market index. [...]

Trend-Following: Testing the Profitability of Trading Rules (Part 6)

By |2020-04-07T08:38:48-04:00August 25th, 2017|Trend Following, Trend-Following Course, Introduction Course, Investor Education|

The difficulty in testing the profitability of trend-following rules stems from the fact that the procedure of testing involves either a single- or multi-variable optimization. Specifically, any trading rule considered in Part 3 has at [...]

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

By |2018-10-08T15:49:34-04:00September 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: Trading in Various Financial Markets (Part 8)

By |2018-10-08T15:49:33-04:00September 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. [...]

Using Trend-Following Rules to Enhance Factor Performance

By |2017-08-18T16:53:57-04:00January 4th, 2017|Research Insights, Factor Investing, Trend Following, 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, [...]

Magic Formula and MA Rules: A Bad Combo!

By |2017-08-18T17:01:14-04:00November 27th, 2011|Research Insights, Trend Following, Value Investing Research|

Recently, I've been investigating various risk management systems. A lot of the work we've done is beyond the scope of the blog and/or is related to things we do with our investment management business. Nonetheless, [...]

What is the correct benchmark for trend following?

By |2018-10-22T09:30:53-04:00October 16th, 2018|Research Insights, Trend Following|

"What is the correct benchmark for trend following?" This is a difficult question, and there really is no perfect answer. As many of our readers know, we are fans of trend following and trend-followed portfolios. For [...]

How large is the tracking error created by trend following?

By |2018-10-25T13:09:54-04:00October 25th, 2018|Research Insights, Trend Following|

A question I've received in the past is the following: If you could go back in time five years ago and tell yourself something about investing, what would it be? My response is the following: [...]

How to Use Trend Following within a Portfolio

By |2018-12-04T09:01:33-05:00December 4th, 2018|Research Insights, Trend Following|

A question we have been receiving recently is the following: How should I use trend following within a portfolio? Generally, the questions are related to our Global Value, Momentum, and Trend Index, which allocates to [...]

The Smart Money Indicator: A New Risk Management Tool

By |2019-02-08T09:25:33-05:00February 8th, 2019|Research Insights, Trend Following, Guest Posts, Tactical Asset Allocation Research|

We have all heard the mantra, “You can’t time the market!” But in reality, investors attempt to do just that every day as part of their tactical asset allocation strategies, which are less extreme variants [...]

Trend-Following: A Decade of Underperformance

By |2019-02-20T00:29:24-05:00February 20th, 2019|Research Insights, Trend Following|

Everyone in finance remembers 2008--the Global Financial Crisis. Yes, I know, the final downward movement in the stock market was in early 2009. However, many remember 2008 as the year of the crisis. So now [...]

If you had to do a trend following strategy, what would it be and why?

By |2020-04-06T10:36:26-04:00February 22nd, 2019|Research Insights, Trend Following, Introduction Course|

The topic of this blog post was inspired by Wes, who said the following: Valeriy, you have done more formal academic research on trend-following than anyone I know...Skepticism aside, let's I forced you to pick [...]

Compound Your Knowledge Episode 6: Trend Following and HFs

By |2019-06-18T09:04:26-04:00February 25th, 2019|Compound Your Knowledge, Research Insights, Podcasts and Video, Trend Following, Media|

In today's video, we examine three articles from last week. The first article examines the (under) performance of trend-following over the last decade. The second article by Valeriy Zakamulin examines common questions, and Valeriy's responses, [...]

DIY Asset Allocation Weights: May 2019

By |2019-05-01T12:55:31-04:00May 1st, 2019|Index Updates, Research Insights, Trend Following, Tool Updates|

Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you want to access the site directly. Exposure Highlights (bold implies [...]

Trend Following: The Epitome of No Pain, No Gain

By |2019-11-18T08:36:31-05:00June 26th, 2019|Research Insights, Trend Following, Key Research|

One of the recurring themes we see in our research is the concept of "no pain; no gain." Or as Corey Hoffstein says, "No pain, no premium." Cliff Asness may put it best when he [...]

Market Sell-off Analysis: Baseline Historical Facts

By |2019-07-10T11:12:01-04:00July 10th, 2019|Research Insights, Trend Following, Tactical Asset Allocation Research|

We often hear that the market is 5% off its highs or that it is down 5% from the high of the year. This alone does not tell us much. The questions I want to [...]

Compound Your Knowledge Ep. 16: Trend-Following, Large-Cap Value, Active Mgmt

By |2019-07-01T10:51:35-04:00July 1st, 2019|Compound Your Knowledge, Research Insights, Podcasts and Video, Trend Following, Media, Value Investing Research|

In this week's post, we discuss three papers. The first post, written by Wes, covers a deep-dive into trend-following on equities. The second post, written by Andrew Miller, examines Large-Cap Value portfolios. The last post, [...]

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