Historical Trend Following Evidence: Performance for Centuries Over All Market Climates

Trend following performance goes back centuries. Consider the data:

  1. A Century of Evidence on Trend-Following Investing by AQR (PDF)
  2. Two Centuries of Trend Following by CFM (PDF)
  3. The Multi-Centennial View of Trend Following by ISAM (PDF)
  4. The Historical Performance of Trend Following by Winton Capital (URL)

It works for several reasons:

  1. On the Nature and Origins of Trend Following (PDF)
  2. The Winners and Losers of the Zero-Sum Game (PDF)
  3. The Pit and the Pendulum: A Menagerie of Speculative Follies (PDF)
  4. Michael Covel’s Books (URL)

Big picture considerations: