I was wondering what your thoughts might be on how one might define a “benchmark” for Trend following, not in the sense of an average of manager returns, but in terms of a basic set of rules and the commensurate strategy return. Have you come across efforts to do so? I ask because as we move to a world where more institutional investors may want to allocate to trend following at the portfolio level, inevitably investment committees will like to have some yardstick against which to measure performance. Is this something you’ve ever thought about?
I have seen people try on the benchmark front, but there will never be a one size fits all perspective or solution. Maybe one day the investment committees will get wise.