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 [...]
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 [...]
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. [...]
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 [...]
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 [...]
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. [...]
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, [...]
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?" 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 [...]
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: [...]
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 [...]
Trend following is well-known and the simplest version is as follows: you buy an asset when it has positive momentum (the price goes up) and you sell it and go to cash (or any other [...]
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 [...]
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 [...]
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 [...]
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, [...]
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 [...]
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 [...]
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 [...]
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, [...]