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Vineer Bhansali Trend Following White Paper

Feedback in:

Mike, Can you send me the white paper that was referenced in the Vineer Bhansali podcast? I apologize if this is posted somewhere obvious and I missed it. Normally I’d probably have found it on my own, but having a 3 week old newborn is temporarily draining my productivity! It’d be much appreciated if you could point me in the direction of the research that was discussed. What a refreshing podcast to hear a more mainstream financial institution embrace real trend following.

Thanks,
[Name]

Thanks. Go here for his white paper. And good luck with your new little one!

Also in:

Michael, great show. Do you have additional information about the research/historical performance work done by Vineer Bhansali or is it just the information from the PIMCO pages?

Do you know if this fund actually follows the 100% systematic “simple” trend-follower approach back tested in the article or is this just a bait and switch for a discretionary fund? Do you know the actual rules for the “simple” trend-follower approach back-tested in this paper?

Many Thanks,
[Name]

Best bet is to reach out to them for all questions about their papers.

PIMCO: Trend Following Through the Rates Cycle

From PIMCO:

Some investors have been concerned that the historical success of trend following–a quantitative strategy that seeks positive returns by capturing momentum across major asset classes–would unravel in a period of range-bound or rising interest rates. PIMCO’s New Neutral thesis anticipates that interest rates will remain lower for longer. Eventually, however, rates are likely to rise from today’s rock-bottom levels. Even so, history shows that trend following strategies have the potential to generate positive returns amid rising rates–and indeed, across all interest rate environments. Most asset classes have benefited from 30 years of falling interest rates, as future cash flows have been discounted at steadily lower rates, boosting present values. Accordingly, passive long-only strategies now face a challenge in generating positive returns in a period of range-bound–or worse, rising–rates, which could partially reverse this discounting windfall. Trend following strategies, which take long or short positions across equity, bond, currency and commodity futures markets consistent with trends in these markets, rode the long downward trend in rates and often profited. However, unlike most passive strategies (and many active ones), trend followers have no fixed directional bias and can short any and all markets that are falling. By their nature, trend followers will often miss turning points. But whether markets are rising or falling, if trends are persistent and strong, trend following strategies are designed to seek profits.

Nice.

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