I mentioned on Twitter the other day that trendfollowing is my desert island strategy. Trendfollowing had a great Sep, and is having a great 2014 so far. (But a tepid to terrible last 5 years depending on the system and markets.)
We’ve done testing going back 100 years or so (so has AQR in their paper ) and I was delighted to see a new book out by the crew at ISAM (up a whopping 28% this year) that has a 800 year backtest! Looking forward to reading it.
If you want some background reading on Trendfollowing search the archives, lots and lots in there including some of the below:
Podcast interviews that are excellent
Bhansali paper on Trendfollowing through the Rate Cycle
On the Nature and Origins of Trendfollowing – Stig Ostgaard
Dual Momentum Investing – Antonacci
Following the Trend – Clenow
Trendfollowing Bible – Abraham
Global Investment Returns Yearbook – Dimson, Marsh, Staunton
Appendix in Smarter Investing in Any Economy – Michael Carr
Trendfollowing – Michael Covel
The Capitalism Distribution – LondBoardFunds
Annotated Bibliography of Selected Momentum Research Papers – AQR Website
