“Has anyone published data on the efficacy of trend following using mutual funds…”

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Hi, Michael. Thanks for keeping this site up and updated. Anything controversial is never easy, even when you know you’re doing the right thing.

I got intro’d to trend following by Matthew Erickson’s book, “Asset Rotation”, and I’m working my way through your “Trend Following” now. First, I have a copy that published in the early 2000s. Do more recent editions address how to tactically survive and potentially defeat a lot of the whipsaw I’m seeing in data since 2012?

Second, has anyone published data on the efficacy of trend following using mutual funds?

Thanks much, and have a great week ahead, sir.

Whipsaws are not new and the only way to avoid them is to not trade. I don’t see anything special about 2012 to now, especially since I have no idea what you are doing or what data you are analyzing. My 5th edition of Trend Following blows away the total content of my 1st edition of Trend Following. 1000s of mutual funds buying and holding will naturally have high correlation, so I don’t see the need or benefit there. Trade the stock indicies in a trend following portfolio and there you go. The same thing.

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