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Learning From PIMCO's "Trend-Following Through the Rates Cycle"

Absolute Momentum strategies have the potential to generate positive returns across all interest rate environments, including a rising interest rate environment.

01 October, 2014 / 0 Comments

Learning From Capital Fund Management's "Two Centuries of Trend Following"

Trend following effects have been very stable and consistent across four asset classes (commodities, currencies, stock indexes and bonds) over the last two centuries.

01 July, 2014 / 0 Comments

Learning From Gary Antonacci's "Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay"

Absolute Momentum asset allocation approach improves risk-adjusted returns and significantly reduces drawdowns.

01 June, 2014 / 0 Comments

Learning From Modus Quantitative Advisors' "The Significance of Trading Frequency and Stop Loss in Trend Following Strategies"

Trading higher frequency shows no significant benefits. Stop loss rules improve maximum drawdowns.

01 January, 2014 / 0 Comments

Learning From Longboard's "Does Trend Following Work On Stocks?"

Trend following can work well on stocks. Buying stocks at new all time highs and exiting them after they’ve fallen below an ATR trailing stop would have yielded a significant return on average.

01 January, 2014 / 0 Comments

Learning From 1741's "CTAs – Which Trend Is Your Friend?"

No single approach of trend measurement method can systematically deliver better results across all dimensions. To determine which method is appropriate, various aspects need to be considered. These include length of measured trend, the way signal is compared and conversion of signal into position.

01 December, 2013 / 0 Comments

Learning From Johan's "Demystifying momentum"

The paper finds positive momentum profits for the 6 different types of momentum strategies tested but these profits were only better than an equal-weighted strategy in the in-sample period.

01 July, 2013 / 0 Comments

Learning From Mebane Faber's "A Quantitative Approach to Tactical Asset Allocation"

Quantitative market timing utilising a 10-month moving average approach reduces portfolio risk significantly.

01 April, 2013 / 0 Comments

Learning From Gary Antonacci's "Risk Premia Harvesting Through Dual Momentum"

Both Absolute and Relative Momentum can enhance returns and Absolute Momentum reduces volatility and drawdown more. Combining Absolute and Relative Momentum gives the best risk-adjusted returns.

01 March, 2013 / 0 Comments

Learning From ISAM's "The Fallacy of Trend-Following Trend-Following"

Trend following portfolio's returns are mean-reverting.

01 January, 2013 / 0 Comments

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