As an investment style, trend-following has existed for a very long time. Some 200 years ago, the classical economist David Ricardo's imperative 'to cut short your losses' and 'let your profits run on' suggest an attention to trends. The most basic trend-following strategy is time series momentum - going long markets with recent positive returns and shorting those with recent negative returns. This strategy explains the strong performance of Managed Futures funds from the late 1980s, when fund returns and index data first became available. This presentation highlights the key points from our recent paper 'A century of evidence on trend-following investing', which seeks to establish whether the strong performance of trend-following is a statistical fluke of the last few decades, or a more robust phenomenon that exists over a wide range of economic conditions.
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