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Look Who Decided to Show Up to the Party…

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

QTAA Paper

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

 

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