Summary
Researchers at Capital Fund Management in Paris test trend following on commodities, currencies, stock indices and bonds, using futures since 1960 and spot prices back to 1800.
They call the existence of trends one of the most statistically significant anomalies in financial markets, and find no sign that long-term trends have weakened.
Source
- Title
- Two Centuries of Trend Following
- Author
- Y. Lempérière, C. Deremble, P. Seager, M. Potters and J. P. Bouchaud
- Year
- 2014
- Published by
- Capital Fund Management (arXiv)
- Length
- 17 pages
- File
- PDF · 452 KB