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Funeral for a Friend?

Insch Capital Management SA gives some trend following food for thought:

The bell tolls. The death of trend following has been announced. The grave has been dug and the obituary has been published. Dust to dust…

The mourners are gathered by the graveside. Tear reddened eyes distinguish the truly saddened from the less saddened who smirk to themselves in their familiar “I told you so” way. (At last! A prediction come true!)

This is a painfully sad affair. Trend following is dead. Again.

Cheer up! Our suspicion is that trend following is not dead. Our suspicion is that no resurrection is required.

This suspicion is not based on a judgment, a fundamental view or (even worse) a prediction from a besuited soothsayer. It is based on the evidence of the numbers. The statistical evidence is of continued life, not the eternal darkness of death.

Read all (PDF).

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.

The Trend Is Our Friend White Paper

Read The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation. Abstract:

We examine the effectiveness of applying a trend following methodology to global asset allocation between equities,bonds,commodities and real estate.The application of trend following offers a substantial improvement in risk-adjusted performance compared to traditional buy-and-hold portfolios. We also find it to be a superior method of asset allocation than risk parity. Momentum and trend following have often been used interchangeably although the former is a relative concept and the latter absolute. By combining the two we find that one can achieve the higher return levels associated with momentum portfolios but with much reduced volatility and drawdowns due to trend following. We observe that a flexible asset allocation strategy that allocates capital to the best performing instruments irrespective of asset class enhances this further.

More trend following white papers.

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